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- New Book "Econometrics of Financial High-Frequency Data" by Nikolaus Hautsch
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The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis. Amazon.de Link |
Announcements
- Executive Course "High Frequency Econometrics"
Nikolaus Hautsch will teach an executive course on high frequency econometrics from November 7th to 9th, 2012. The course covers recent developments in high-frequency econometrics including models for trading processes, liquidity and order book dynamics as well as high-frequency volatility. Moreover, cutting-edge research results on high-dimensional covariance estimation using high-frequency data as well as local adaptive methods for market monitoring are discussed. The course will be hosted by the European School of Management and Technology (ESMT). A tentative outline is found here. More details and practical information will be announced in due time. In case of questions on course details, please contact Nikolaus Hautsch. In case of organizational questions, please contact Jan Hagen, ESMT.
News
Mai 2012
- Nikolaus Hautsch was invited to the Financial Econometrics Conference in Toulouse.
- Julia Schaumburg visited the Tilburg University for a research stay from 06 to 26 Mai.
April 2012
- Gustav Haitz, Christian Gische, Gagandeep Singh, Cindy Lamm and Caroline Stiel participated in the Econometric Game 2012 that took place in Amsterdam from 17 to 19 April 2012.
- Melanie Schienle, Julia Schaumburg, Gustav Haitz and Peter Malec participated at the joint workshop of the Collaborative Research Center 649 "Economic Risk" and the Collaborative Research Center 823 "Statistical modelling of nonlinear dynamic processes" that took place from 29 April to 01 Mai at the "Kloster Drübeck" in the Harz.
March 2012
- Nikolaus Hautsch attended the SoFiE 2012 Conference at the Tinbergen Institute in Amsterdam from 26 to 27 March 2012and presented his paper "On the Dark Side of the Market: Identifying and Analysing Hidden Order Placement"
- Julia Schaumburg was invited to the research seminar of Deutsche Bundesbank (Frankfurt/Main), where she presented "Financial Network Systemic Risk Contributions" on March 5th
Feburary 2012
- LBB-Lecture in Econometric Forecasting "Der Prognose- und Anlageprozess in der Oldenburgischen Landesbank AG" von Diplom Volkswirt, Christoph Siebecke, CIIA, CEFA, Oldenburgische Landesbank AG, 14.02.2012 at 18:15 in R.23 click here for more information
- Melanie Schienle visited the University of Mannheim for a research stay form Feburary 6th to 8th.
January 2012
- Julia Schaumburg attended the Campus for Finance Research Conference at WHU Vallendar from January 11-12, where she gave a talk on "Financial Network Systemic Risk Contributions"
- Nikolaus Hautsch attended the Conference “Asset and Risk Management in the Aftermath of the Financial Crisis” in Lausanne in January 2011.
November 2011
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Melanie Schienle visited the University of Louvain-la-Neuve for a seminar of the
Center for Operations Research and Econometrics (CORE) on November 21th.
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Nikolaus Hautsch visited the University of Aarhus for a research stay from November 21th to 25th.
October 2011
- The first class of "Econometric Forecasting" takes place on 25.10.
- All students willing to write their thesis this term are asked to come to the first meeting of the Seminar for Bachelor, Master and PhD Students, on 21.10., SPA1, R21a, 16:00-18:00
September 2011
- The Chair welcomes our research guest Helena Chuliá Soler. Helena is a lecturer in Financial Econometrics at the University of Barcelona and will be our guest from September until December.
July 2011
- Melanie Schienle visited Mannheim University for a research stay with Enno Mammen and Kyusang Yu from July 25th to 27th.
- Franziska Lottmann attended the 5th World Conference of the Spatial Econometrics Association in Toulouse from July 6th to 8th, where she gave a talk on "Regional Unemployment in Germany"
- The latest version of the order-book generating online tool LOBster is now online. This joint project with the RDC gives users from all around the world easy access to level 2 data for any NASDAQ-traded equities. Currently, data for the period 2008-2010 is available. For full access please register on the LOBster page, if you have any questions contact us.
June 2011
- Nikolaus Hautsch and Melanie Schienle attended the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago , June 15th-17th, where Nikolaus Hautsch gave a talk on "Quantifying Marginal Systemic Risk Contributions".
May 2011
- Nikolaus Hautsch gave a talk entitled "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Models" at the Conference on Macro and Financial Economics: Theory and Applications at Brunel University on May 24th.
- Nikolaus Hautsch was invited as a participant and discutant ath the Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant at the Toulouse School of Economics from May 19th to 21st.
- On May 13th and 14th, the second Humboldt-Copenhagen Conference on Financial Econometrics took place in Copenhagen. Further information can be found here.
April 2011
- Melanie Schienle gave a gave a talk on "Nonparametric Regression with Generated Covariates" at the Symposium on Econometric Theory and Applications that took place at Monash University Melbourne from April 12th to 18th, 2011.
March 2011
- Nikolaus Hautsch and Ruihong Huang gave a talk entitled "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements" at École Polytechnique Paris on March 14th, 2011
- Axel Gross-Klussmann gave a talk on 'Using Automated Text Analytics to Quantify High Frequency News Impacts' at Thomson Reuters in London on March 7th, 2011
- Nikolaus Hautsch gave a talk on "Estimating and Predicting Vast Dimensional Covariances" at University of Manchester on March 3rd, 2011
