## 基本素養 Basic Literacy

Ethical Reasoning
Graduate students should be able to identify ethical dilemmas and to determine necessary courses of action.

Global Vision
Graduate students should possess a global data science perspective and an awareness of the global business.

## 核心能力 Competence

Speaking
Graduate students should be able to appreciate data analysis approaches and to present research findings/ results effectively in speaking and in writing.

Writing
Graduate students should be able to appreciate data analysis approaches and to present research findings/ results effectively in speaking and in writing.

Interdiscip. Competence/ Prob. Solving
Graduate students should be able to integrate different functional areas in solving data analysis problems.

Critical Thinking/ Innovation
Graduate students should be able to analyze data effectively and to recommend effective statistical methods.

Teamwork
Graduate students should be able to coordinate actions and solve problems jointly with other members of a professional team.

## 課程概述 Course Description

This course will introduce the new type financial data, namely high frequency financial data. These high frequency financial data are taken at a finer time scale and recorded of tick-by-tick data. They provide a rich source, however, also bring several challenges in statistical inference. In this course, I will introduce the high frequency financial data and describe the difficulties in analyzing these data. Applying the high frequency financial data to the conventional investment will also be shown.
This course will introduce the new type financial data, namely high frequency financial data. These high frequency financial data are taken at a finer time scale and recorded of tick-by-tick data. They provide a rich source, however, also bring several challenges in statistical inference. In this course, I will introduce the high frequency financial data and describe the difficulties in analyzing these data. Applying the high frequency financial data to the conventional investment will also be shown.

## 課程學習目標 Course Objectives

• 讓學生能了解並分析高頻財務資料
• 讓學生能將高頻財務資料應用至實際交易
• ## 課程進度 Progress Description

進度說明 Progress Description
1Introduction of high frequency financial data
2First report
3Single period investment
4Is Brownian motion necessary?
5Second report/Realized volatility and its convergence
6The existence of microstructure noise
7Mid-Exam
8No class (Tomb Sweeping Day)
9The quadratic estimators on integrated volatility (I)
10The quadratic estimators on integrated volatility (II)
11Third report
12Asynchronous -- previous tick and refresh time
13High frequency financial data for portfolio allocation
14The estimators on integrated co-volatility matrix
15Limit order books
16Realized volatility based on Limit order books
17Final exam
18Fourth report
以上每週進度教師可依上課情況做適度調整。The schedule may be subject to change.

## 有關課程其他調查 Other Surveys of Courses

1.本課程是否規劃業界教師參與教學或演講? 否
Is there any industry specialist invited in this course? How many times? No
2.本課程是否規劃含校外實習(並非參訪)? 否
Are there any internships involved in the course? How many hours? No
3.本課程是否可歸認為學術倫理課程? 否
Is this course recognized as an academic ethics course? In the course how many hours are regarding academic ethics topics? No
4.本課程是否屬進入社區實踐課程? 否
Is this course recognized as a Community engagement and Service learning course? Which community will be engaged? No