Scottish Financial Risk Academy,

Room EMB 1.12,

Earl Mountbatten Building,

Riccarton Campus,

Heriot-Watt University,

Edinburgh, Scotland, UK EH14 4AS

Programme Coordinator

Stephen Marshall

office: 0131 451 8440

email: stephen.marshall@hw.ac.uk

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Upcoming Dates in 2020

Bloomberg Laboratory, Heriot Watt University

Please contact Stephen Marshall to register your interest

High Frequency Financial Data Bloomberg Workshop

Introduction to High Frequency Financial Data Sets

  • Limit Order Book (LOB) data and how to extract it in Bloomberg

  • Preparation of LOB data for modelling and analysis

  • Order types on electronic exchanges

  • Understanding attributes of Trades and Quotes

  • Basics of Hawkes Process modelling for LOB Data


LOB Data Extraction Exercise

  • Create plots of volume profiles and mid price dynamics

  • Study basic time series properties of LOB data