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Mathematical and Empirical Finance

Mathematical and Empirical Finance
type: Seminar (in englischer Sprache)
chair: Statistik, Ökonometrie und Mathematische Finanzwirtschaft
semester: SS 2011
place: Geb. 20.13, 006

Blockveranstaltung, Termine werden am 19.04. besprochen

start: 19.04.2011

Dr. Sun

sws: 2
ects: 4
lv-no.: 2520363

nach Vereinbarung


Anmeldung:  bitte per e-mail an edward.sun@kit.edu


Svetlozar T. Rachev, Stoyan Stoyanov, and Frank J. Fabozzi, Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures, John Wiley,Finance, 2007
Svetlozar T. Rachev, J. Hsu, B. Bagasheva, Frank J. Fabozzi, Bayesian Methods in Finance, John Wiley, Finance , 2007
Svetlozar T. Rachev, S. Mittnik, Frank J. Fabozzi, S. Foccardi, T. Jasic, Financial Econometrics, John Wiley,Finance, 2007
Svetlozar T. Rachev, C. Menn Frank J. Fabozzi, Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio selection, and Option Pricing JohnWiley, Finance, 2005
Svetlozar T. Rachev and S. Mittnik. Stable Paretian Models in Finance , John Wiley, Series in Financial Economics and Quantitative Analysis, Chechester, New York, 2000.


Seminar Introduction:

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/