High frequency modeling

Ects : 6

Enseignant responsable :

  • EMMANUEL BACRY

Volume horaire : 9

Description du contenu de l'enseignement :

- Financial Markets and Products

- Order books

- Some basics in estimation theory

- High frequency financial series

- Stylized facts of daily series - Models

- Seasonality of volatility - Intraday stylized facts

Compétence à acquérir :

This course introduces the empirical properties of financial data across scales from the perspective of statistical finance.