F8. Modelling international business finance and high-frequency data in financial markets

The availability of high-frequency data on transactions, quotes and order flow in financial markets has revolutionized data processing and modelling techniques in finance and presented new theoretical and computational challenges. This session aims to examine recent issues in the statistical modelling of high-frequency data in financial markets, including equities, foreign exchange, fixed-income and derivatives. Potential topics may include, but are not limited to, the following:

1. issues on globalization and financial market integration in the region
2. the modelling of intraday volatility and liquidity in financial markets
3. the dynamics of price discovery in closely related financial markets
4. price impact modelling
5. the dynamics of electronic order-driven markets
6. the dynamics of limit order books.