Introduction to Low Frequency Financial Markets Data
Speaker:
Matt Davison
Date and Time:
Monday, July 16, 2018 - 11:30am to 1:00pm
Location:
WSC 240
Abstract:
A brief introduction to various financial datasets on low frequency (daily, weekly) is provided, including stocks, stock indicies, commodity forwards, options, interest rates, and foreign exchange (fx) rates. Stylized features of these datasets including Markov properties, (the efficient market hypothesis and otherwise), volatility clustering, correlation breakdown, and fat tailed returns are examined empirically.