Organiser: Professor Chris Rogers (Statistical Laboratory, Cambridge)
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.
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