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.
To obtain more information about our next available training course, please visit the course website
This course is currently in its fifth edition. Below you can find some pictures from previous years.