Honors Junior Research Workshop in Finance


Application of tools and techniques developed in statistics and economics to research into the structure of financial markets at the very high frequencies. Topics include testing for jumps in financial prices, the role of high frequency micro-structure noise that masks fundamental price, the importance of macroeconomic news announcements, the roles of various asymmetries such as volatility feedback, and interactions across financial markets at the very high frequency. Research project analyzing large data samples. Pre-requisites: MATH212, STA111, ECON205D, 210D, 208D and one finance course (ECON471, 372, 373). ECON208D and finance may be taken concurrently. Consent of instructor required. One course.

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