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/