It is an honor to announce that Professor Mathieu Rosenbaum, from the Polytechnic of Palaiseau, will teach the course
Recent developments in financial statistics for high frequency markets
for our doctoral students in Economics and Finance, track Mathematics and Data Analytics for Finance, at the University of Verona, campus Santa Marta, via Cantarane 24
The course is given in person, in English, and will be divided in 6 lessons of 3 hours each, from 29/4/2025 to 28/5/2025, as follows Tuesday 29/4/25: 3 pm-6 pm Wednesday 30/4/25: 9.15 am - 12:15 pm Tuesday 6/5/25: 3 pm-6 pm Wednesday 7/5/25: 9.15 am - 12:15 pm Tuesday 27/5/25: 3 pm-6 pm Wednesday 28/5/25: 9.15 am - 12:15 pm
The initiative was possible thanks to the funding offered by INdAM (National Institute of Higher Mathematics, based in Rome)
PROGRAM OF THE COURSE Introduction of various recent statistical tools which are nowadays essential when working on electronic markets. In particular, optimal high frequency trading and hedging, limit order book modelling, optimal tactics and statistical arbitrage were considered. We also addressed several regulation questions occurring at the microstructure level and made links with the recent literature on rough volatility. 1- Introduction to high frequency markets 2- Optimal trading 3- High frequency statistics 4- Limit order book modelling 5- Regulatory issues 6- From microstructure to market impact and rough volatility
All the interested people are warmly invited to participate