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European Science Foundation Exploratory Workshop


High Frequency Econometrics and the Analysis of Foreign Exchange Markets

Main Objectives of the Workshop

Financial Econometricians and finance theorists are in the process of developing new statistical techniques and new models of behaviour in financial markets and applying them to tick by tick data sets. At the same time a paradigm shift seems to be occurring in exchange rate economics- away from the traditional macro fundamental approach towards a more micro analysis or towards analyzing the FX market from a markets point of view.  This new approach to exchange rates focuses on information flow in the market and the structure of the order book in order to explain movements in exchange rates.

The main objective of the workshop is to bring together these two groups of researchers so that each may benefit from a greater understanding of the developments in both fields and to learn from each other. The workshop will therefore consider recent developments in the analysis of foreign exchange rates using high frequency data, limit order book analysis, realized volatility, intensity modeling and the analysis of information flow and order flow in FX markets.

The programme is available by clicking 'programme' in the left hand navigation column.

Contact Details:

Research Co-ordinator:

T:  +44(0) 24 76 524118
F:  +44(0) 24 76 524167