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