High-Frequency Trading
With the worldwide dominance of electronic trading platforms, high-frequency trading has become a major factor in financial markets. Once confined to use by hedge funds, it is now a mainstay for an increasing number of banks. A profound knowledge of econometric and statistical models is needed to understand the underlying risks and realize the full potential of this complex trading methodology.
Recent research in financial econometrics and statistics has been strongly influenced by the availability of high-frequency data on the lowest aggregation level. High-frequency data provide deep insights into trading processes, liquidity, and volatility dynamics on the highest frequency. New models combining time-series techniques with methods from micro-econometrics, point-process theory, and multivariate statistics need to be developed to capture the specific statistical properties of this data.
This program addresses the relevant models for traders and managers in charge of high-frequency trading activities. Participants will gain an understanding of the latest models and their uses in high and ultra-high frequency trading.
Target Audience
Managers in charge of (proprietary) trading, risk managers, and traders with a focus on high-frequency trading.Key Topics
- Properties of financial transaction data
- Econometrics of trading processes
- High-frequency-based volatility estimation
- Estimating and predicting liquidity
- Estimating vast-dimensional co-variances using high-frequency data
Take-Home Value
Participants will gain a thorough understanding of the dynamics of the models used for high-frequency trading and their impact on liquidity, order book, and volatility. The program will also allow them to discuss cutting-edge research results on high-dimensional covariance estimation using high-frequency data as well as local adaptive methods for market monitoring.A part of the course consists of empirical illustrations or practical exercises where participants are instructed to apply econometric concepts to financial data using statistical software.
Meet the Faculty
Jan U. Hagen (Program Director)Full biography
Jan U. Hagen is a member of the ESMT faculty as well as Head of Practice Group Financial Services, ESMT Customized Solutions. Prior to ESMT, he was an assistant to a member of the board of Deutsche Bank, senior manager at A.T. Kearney, Principal with Booz Allen & Hamilton, and a Partner at Consileon Business Consultancy.
Nikolaus Hautsch
Full biography
Nikolaus Hautsch is a professor of econometrics at Humboldt-Universität zu Berlin. His areas of expertise include econometrics and empirical finance.
ESMT European School of