High-Frequency Data Econometrics

Location: Aarhus University

Price: 0 DKK / 1000 DKK (see below)

ECTS: 4

Registration and more information

Course content

The course covers topics from the recent developments in high-frequency econometrics.

We will review the econometrics of non-parametric estimation of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. The interaction of the new data sources with new econometrics methodology is leading to a paradigm shift in one of the most important areas in econometrics: Volatility measurement, modeling and forecasting using high-frequency data.

Careful data cleaning is one of the most important aspects of volatility estimation from high-frequency data. The most challenging problem in this context is dealing with various forms of market frictions, which obscure the latent price from the econometrician. We will characterize types of statistical models of friction and discuss how econometricians have been attempting to overcome them. The main data focus will be on the TAQ data base.

Agenda