Course Description: The last decade has seen tremendous growth in the availability of high‐ frequency data, new financial instruments and markets. This course explores the framework that is developing to explore the information in high‐frequency data for return dynamics and asset pricing, with a focus on the risk‐return trade‐off. It will be focused on liquid markets to bring out new issues in “pure” form. The course intends to inspire ideas for future research.
This course is suitable for researchers, academics, MA and PhD students and employees of national and international institutions.