An Isaac Newton Institute Event

Financial Data Day

Thursday 31 January 2008

Isaac Newton Institute for Mathematical Sciences, Cambridge, UK

Organiser: Professor Chris Rogers (Statistical Laboratory, Cambridge)

in association with the Newton Institute programme Statistical Theory and Methods for Complex, High-Dimensional Data (7 January to 27 June 2008)

Thirty years ago, most econometric studies worked on quarterly or daily data, but nowadays intraday data is readily available, and there is enormous interest in such large datasets, recording every trade or quote in one or more assets. Handling such large datasets is intrinsically challenging, but the modelling questions are also quite wide open. What are appropriate models for high-frequency data? What questions should a study of high-frequency data help us to answer? What are the stylised facts of high-frequency data, and to what extent are they common across assets? This meeting will provide an introduction to some of the market data, and provide a practitioner view of what is important in it.

Web Seminars are available at www.newton.ac.uk/webseminars/pg+ws/2008/sch/0131/

09:00 10:00
Dr Ewan Kirk (CEO, Cantab Capital Partners) High frequency micro structure in futures markets
10:00 10:45
Prof Chris Rogers (Statistical Laboratory) Choosing a portfolio of many assets
10:45 11:00
Coffee
11:00 12:00
Dr Philip Clarkson (BNP Paribas) A database of foreign exchange deals
12:00 13:00
Lunch at the Newton Institute

Anyone interested is welcome to attend. Please let Tracey Andrew at the Institute know by 25 January 2008 if you intend to come: telephone (01223) 760992; fax: (01223) 330508; e-mail: t.andrew@newton.ac.uk

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