Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Lecture
Financial Big Data: Correlations and Response Functions
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.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.