Lecture

Financial Big Data: Correlations and Response Functions

In course

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Description

This lecture covers the analysis of financial big data, focusing on intraday correlations, response functions, and the influence of order book events on mid prices. Topics include Epps effect, lead-lag networks, and statistically-validated lead-lags. The instructor discusses the dynamics of mid price, the influence of events on mid prices, and the average influence of a single trade on future mid prices. Flash crashes are also explored, with a case study on the famous 6 May 2010 event.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_ygta582m

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Ontological neighbourhood

Business

Finance: Quantitative finance

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