Syllabus

This course is an introduction to high-frequency financial econometrics. Its focus is on understanding the core theory and applying its theorems to observed high-frequency financial data. Students will work with high-frequency data on different financial assets and create weekly project reports. The course is designed for students interested in obtaining a general understanding of high-frequency financial econometrics. See below for a list of topics.

• Main Text: High-frequency Financial Econometrics by Ait-Sahalia and Jacod
• Secondary Text (Advanced): Discretization of Processes by Jacod and Protter

• Lecture Notes
• Papers from the literature (indicated in the lecture notes)

• This course is intended for Duke MA and PhD students.
• Undergraduate econometrics or advanced statistics is required. Specifically, students should be comfortable with the notions of asymptotic approximations.
• Knowledge of Matlab is required. Students must have the latest version of Matlab installed, which is freely available via Duke OIT services.
• The following software packages can be learned over the semester: Python 3.x, TensorFlow, Bash and Git.

• Final grade will be based on weekly projects, a midterm and a final examination.
• Exams can be either 48-hour take home or in-class closed book with a note sheet allowed.
• Grade Division:
  • Projects: 35%
  • Midterm: 20%*
  • Final: 45%
• *If a student misses the midterm for any reason, then its weight is placed on the final examination. If a student attempts the midterm but fails to turn it in, then this student's midterm score is recorded as zero.

• Projects will be assigned on a weekly basis.
• Problem sets are individual. Each student must do the entire problem set. This includes: writing your own code, making your own plots, interpreting the results, and preparing a pdf report with Latex.
• The best way to learn the contents of the course and obtain an excellent grade is to do the hard work yourself.
• Grading of Projects:
  • Projects are due by midnight of the announced due date. See schedule below for dates.
  • No late projects are accepted.
  • Grading is done on a 0-10 scale.
  • Projects with excessive overlap with other student's answers will receive a zero grade. Students must uphold the Duke Community Standard.

The table below contains our schedule for the semester. Notice that the midterm and the final exam are already scheduled.