This course will take place online on 9th & 10th June 2021.
The purpose of this course is to provide an update treatment of the core topics in
the modeling of high-frequency data. Advances in computing and data technology make it possible to observe markets at very fine intervals of time. Using high-frequency data permits the calculation of realized measures which are superior to volatility measures generated from GARCH and stochastic volatility models. However, the processing and financial modeling of high-frequency data remains a challenge to both researchers and practitioners. This course aims to provide guidance on the techniques involved in processing, filtering and modeling such data. Using data from TAQ and TICK- DATA databases, the attendees will have an intensive introduction to both the theoretical and empirical aspects of high-frequency data.