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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
time:

Blockveranstaltung, Termine werden am 19.04. besprochen

start: 19.04.2011
lecturer:

Dr. Sun

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

nach Vereinbarung

information:

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

Literatur

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.

Inhalte

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.

Reference:

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/