The goal of this seminar is to help the students to prepare their bachelor or master
degree thesis. In this seminar, we are going to work with the high-frequency financial
data (i.e., the tick-by-tick data from either equity market or foreign exchange
market). We investigate the methods for data mining based on the unique features of the
high-frequency financial data. With help of the high-frequency data, we are going to
test trading models, investigate topics based on market microstructure, estimate the
trading costs, identify investors' behavior, and build models for risk management.
Joel Hasbrouck (2007). Empirical Market Microstructure. Oxford University Press.
Maureen O'Hara (1997). Market Microstructure Theory. Blackwell Publishing.
M. Dacorogna (2001). An Introduction to High-Frequency Finance. Academic Press.
Für weitere Informationen: http://statistik.ets.kit.edu/