prdk_day5a - A d v a n c e d P r o g r a m m i n g i n Q u...

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Unformatted text preview: A d v a n c e d P r o g r a m m i n g i n Q u a n t i t a t i v e E c o n o m i c s Introduction, structure, and advanced programming techniques 17 – 21 August 2009, Aarhus, Denmark Charles Bos cbos@feweb.vu.nl VU University Amsterdam Tinbergen Institute Advanced Programming in Quantitative Economics – p. 1 Tutorial Day 5 - Morning 10.30P Selected exercises. Choice of ◦ Reading HF data ◦ Implement HF Autoregressive Duration Model ◦ Using graphing package ◦ AR(p) estimation with/without ARFIMA package 12.00 Lunch Advanced Programming in Quantitative Economics – p. 2 IBM Tick data High frequency data displays strange characteristics. As an exercise, investigate the fraction of trades which show small price changes. Take the data file ibm0908tick.csv (Source: WRDS) with the prices , and see if you can recreate the following table: Price differences Δ P-0.04-0.03-0.02-0.01 0.00 0.01 0.02 0.03 0.04 n 17697 32244 57774 127748 637664 127676 58104 32223 17801 % 1.50 2.73 4.90 10.82 54.03 10.82 4.92 2.73 1.51 Also get me a plot of the prices during the first 45 minutes of trading on the first day of the sample. Advanced Programming in Quantitative Economics – p. 3 AR Conditional Duration models The file mmm9912-adur.txt contains 1680 adjusted intraday trading durations of 3M stock in December 1999. There are 39 10-minutedurations of 3M stock in December 1999....
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This note was uploaded on 05/28/2010 for the course ECONOMIC FM407 taught by Professor Kimcj during the Spring '04 term at 카이스트, 한국과학기술원.

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prdk_day5a - A d v a n c e d P r o g r a m m i n g i n Q u...

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