High frequency : probabilistic tools, statistical modeling across scales and trading problems

M. Rosenbaum

The aim of this course is to present the issues and statistical techniques of high frequency finance. The objective is to develop the mathematical tools to acquire a fine and operational understanding of the microstructure of the markets necessary for any market participant today.

  • Reminders: Portfolio Optimisation
  • Introduction to market microstructure and high frequency trading problems
  • High frequency estimation
  • Order book models
  • High frequency hedging
  • Microstructure, non-arbitrage and volatility
  • Some regulatory issues


  • Bouchaud, J. P., & Potters, M. (2003). Theory of financial risk and derivative pricing: from statistical physics to risk management. Cambridge university press.