Workshop on

Risk Measures & Risk Management for High-Frequency Data

March 6-8, 2006

EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Speakers  & Participants |Registration | Practical Information


New and Emerging Science and Technology (NEST)



The new area of statistics dealing with high-frequency data enjoys a rapid development. Techniques from traditional statistics in general, even from data mining in particular, are not capable to cope with the vast amount of information that comes out of tic-by-tic or intraday financial data. The number of incoming data is enormous; moreover this inflow is not a one-time event but repeats itself at high speed. Of course, not all incoming information is equally useful. High-frequency statistics needs to find sound indicators to single out what information is relevant and how it needs to be incorporated in further decision making and risk management. As asset trading is currently done via high-speed computer programs, it becomes a genuine challenge for the statistician to single out what incoming information needs to be taken into account and what part can be safely neglected. Often this information can be crystallized into specific measures that again require an appropriate kind of statistical treatment.

While a lot of scientific activity emerges from stochastic finance, there are other areas that cope with similar issues. We mention computational biology, fast on-line computation and simulation, network management as a few prominent examples.

This workshop is planned to stimulate further research in stochastic and statistical thinking when dealing with high-frequency data,. The idea of the workshop is to provide a platform where experts both from academia and from practice can meet, discuss and exchange ideas and expertise. Each speaker is expected to give a 40 minutes lecture with additional discussion. A part of the workshop will be reserved for a Round Table Discussion. If there is sufficient interest then we might second the lectures by poster sessions for the other participants.

The main themes of the workshop are the following:

1. Description and modelling of high-frequency data

2. Risk measures for high-frequency data

3. Risk management for high-frequency data

4. Computational and statistical aspects

5. Multivariate high-frequency data

6. Applications

Confirmed SPEAKERS

Wolfgang BREYMANN - Institut für Physik, ETH-Zürich, Switzerland
Michel DACOROGNA - Converium, Zürich, Switzerland
Vicky FASEN, Technische Universität Münich, Germany
Joachim GRAMMIG - Universität Tübingen, Germany
Ivo GROSSE - Institut für Pflanzengenetik, Gatersleben, Germany
Laszlo GULYAS - AITIA, Budapest, Hungary
Stephan HAUG - Technische Universität München, Germany
Takaki HAYASHI, Columbia University, NY, U.S.A.
Dimitrios KONSTANTINIDIS, University of the Aegean, Greece
Alexander LINDNER - Technische Universität Münich, Germany
Asger LUNDE - Aarhus School of Business, Denmark
Loriano MANCINI - Universität Zürich, Switzerland
Thomas MIKOSCH - University of Copenhagen, Denmark
Stefan MITTNIK - Universität München, Germany
Per A. MYKLAND - University of Chicago, U.S.A.
Wolfgang POLASEK, Institut für Höhere Studien (IHS), Austria
Eric RENAULT - University of North Carolina at Chapel Hill, U.S.A.
Jürgen SCHMIEGEL - Aarhus University, Denmark
Robert STRESING - Universitaet Oldenburg, Germany
Jeanette WOERNER - University of Goettingen, Germany
Nakahiro YOSHIDA - University of Tokyo, Japan


Monday March 6, 2006

9.00 Coffee/Tea  
9.30 Welcome and opening  
09.45-10.30 P. Mykland A Gaussian Calculus for Inference from High Frequency Data
10.30-11.15 E. Renault Causality Effects in Return Volatility Measures with Random Times
11.15-11.30 Coffee/Tea  
11.30-12.30 I. Grosse Data integration, analysis, and modelling in computational biology
12.30-14.00 Lunch  
14.00-14.45 L. Gulyas

Statistical Challenges in Agent-Based Computational Modeling

14.45-15.30 N. Yoshida Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
15.30-16.00 Coffee/Tea  
16.00-16.45 A. Lunde Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
16.45-17.30 S. Mittnik

The Volatiliy of Realized Volatiliy

Tuesday March 7, 2006

9.30-10.15 M. Dacorogna Multivariate Extremes, Aggregation and Risk Estimation
10.15-11.00 T. Hayashi Nonsynchronously observed diffusions and covariance estimation
11.00-11.15 Coffee/Tea  
11.15-12.00 J. Grammig Time and the Price Impact of a Trade - A Structural Approach
12.00-12.45 T. Mikosh A Poisson cluster model for high frequency arrrivals
12.45-14.00 Lunch  
14.00-14.45 J. Woerner

On the fine structure of price processes

14.45-15.30 D. Konstantinidis Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
15.30-15.45 Coffee/Tea  
15.45-16.30 A. Lindner On continuous time GARCH processes of higher order
16.30-17.15 L. Mancini Out of Sample Forecasts of Quadratic Variation
18.00 DINNER Restaurant "Listers", Kleine Berg 57h
040 - 2961370

Wednesday March 8, 2006

09.00-09.45 W. Breymann

Intraday Diversified World Stock Index: Dynamics, Return Dirstributions, Dependence Structure

09.45-10.30 R. Stresing Analysis of financial data on different timescales
10.30-11.15 J. Schmiegel Time change and universality: Heavy tailed distribution in turbulence and finance
11.15-11.45 Coffee/Tea  
11.45-13.00 Round Table  
13.00-14.00 Lunch  
14.00-14.45 V. Fasen Asymptotic results for sample ACF and extremes of generalized  Ornstein-Uhlenbeck processes
14.45-15.30 S. Haug An exponential continuous time GARCH(p,q) process
15.30-16.15 W. Polasek Irregularly Spaced AR and ARCH (ISAR-ARCH) Models
16.15 Closing  


There is no registration fee.

(The workshop is open, but the number of participants is limited)


Conference Location

the workshop location is EURANDOM,  Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.

EURANDOM is located on the campus of Eindhoven University of Technology, in the 'Laplacegebouw' building' (LG on the map).  The university is located at 10 minutes walking distance from Eindhoven railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).


For those arriving by plane, there is a convenient train connection between Amsterdam Schiphol airport and Eindhoven, with only one change at Duivendrecht. This trip will take about two hours. For more detailed information, please consult the NS travel information pages or see EURANDOM web page location. 

Many low cost carriers also fly to Eindhoven Airport. There is a bus connection to the Eindhoven central railway station from the airport. (Bus route number 401) For details on departure times consult 

The University  can be reached easily by car from the highways leading to Eindhoven (for details, see our route descriptions or consult our map with highway connections


EURANDOM made preliminary group reservations in

hotel Hampshire Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room  82* euro, double room 92* euro(breakfast included)

Queen hotel, Markt 7, Eindhoven. Special price single room 80* euro, double room 95* euro (breakfast included)

 * excl. tourist tax 3,50 euro per night

If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.

For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.


March 6-7-8 lunches are being organised; free of costs for all participants, if ordered on the registration form.

On Tuesday evening, March 7 there will be a workshop dinner. For non-invitees an amount of 30 euro is requested, to be paid at arrival in cash (preferably exact amount in euros)


For more information please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at



Last up-dated 24-02-09

This page is maintained by Lucienne Coolen