High Frequency Econometrics: Foundation and Recent Progress
报告人：Dachuan Chen (Nankai University)
时间：2022-09-22 14:00-15:00
地点：Tencent 280-219-727
Abstract: This talk is mainly designed to review the foundation and recent progress in the field of high frequency econometrics. We will start by showing the typical features of the real high frequency data. As the second step, we will briefly introduce the knowledge of stochastic calculus and asymptotic statistical theory which can be connected to high frequency econometrics. Thirdly, as a simple example, we will show the theoretical development of realized volatility. Lastly, the evolution and the recent progress of the research in high frequency econometrics will be reviewed and some future directions will be identified.
About the Speaker:
陈大川，现任南开大学统计与数据科学公司特聘副研究员。研究方向为金融计量与高频数据分析。2019年5月博士毕业于美国伊利诺伊大学芝加哥分校。曾在国际知名杂志Journal of Econometrics和Journal of American Statistical Association上发表多篇论文。2018年获美国芝加哥大学Stevanovich员工奖学金。2012年获得南开大学统计学学士学位。2015-2016年在美国芝加哥大学统计学系做访问学者。
Tencent Meeting：https://meeting.tencent.com/dm/6zOpF39L7ZHS
Meeting ID：280-219-727
