FERC/MMF One Day Workshop 20th May
HIGH FREQUENCY ECONOMETRICS AND MARKET MICROSTRUCTURE
FINANCIAL ECONOMETRICS RESEARCH CENTRE
WARWICK BUSINESS SCHOOL
UNIVERSITY OF WARWICK
Realised Volatility
10.00- 10.45 Properties of Realized Variance under Alternative Sampling
Schemes
Roel Oomen (Warwick)
10.45-11.15 COFFEE
High Frequency FX
11.15-12.00 Dynamics of Arbitrage in the Foreign Exchange Market: Turning
on the Microscope,
Farooq Akram, Dagfinn Rime, (Bank of Norway), Lucio Sarno (Warwick)
12.00-12.45 Exchange Rate Fundamentals and Order Flow,
Martin Evans (Georgetown) and Rich Lyons (U.C. Berkeley)
12.45- 1.30 LUNCH
Econometrics of Order Books
1.30- 2.15 Dynamic Latent Factor Models for Intensity Processes,
Nikolaus Hautsch (Copenhagen and FERC) and Luc Bauwens(CORE)
2.15- 3.00 Long Memory Time Deformation in Financial Markets,
James McCulloch (UTS and FERC) and Mark Salmon (Warwick)
3.00-3.45 Inference with non-Gaussian Ornstein-Uhlenbeck Processes for
Stochastic Volatility
Mark Steel and Jim Grifin (Warwick)
3.45-4.00 TEA
Trading
4.00-4.45 Relative Volume as a Doubly Stochastic Binomial Point Process
James McCullough (UTS and FERC)
4.45-5.30 Feedback Trading
Jon Danielsson and Ryan Love (LSE)
Room: A1.01 in the Business School Building, Scarman Road.
If you would like to participate in this workshop please contact Rhona
MacDonald on [log in to unmask]
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