DGPE course. High-frequency econometrics: from realized volatility to realized drift (2026)

Welcome to DGPE course. High-frequency econometrics: from realized volatility to realized drift

Description:
The course is designed for PhD students who have an interest in the application of time series methods to financial data. 

The analysis of tick-by-tick financial data has become a central topic in financial econometrics, driven by the increasing availability of such data. Compared with traditional time series, high-frequency data provide a substantial number of observations, which can yield richer information. 

This course consists of two parts. The first part introduces the fundamental concepts of continuous-time econometrics, such as how to model log-prices, the infill asymptotic regime and how to estimate realized volatility. We also revise the concepts of Brownian motion and Poisson process. 

The second part will show the development of a recent research agenda which was devoted to the analysis of the drift component of the Ito semimartingale. The topics covered will be: 

• Why drift is invisible in the classical case? 
• Non classical model 1: drift bursts 
• The economics of drift bursts 
• Non classical model 2: frequency-dependent drift 
• Back to the classical model: drift estimation 
• Application: flash crashes, volatility explosions, volatility forecasting, momentum trading.

Learning objectives: The course will provide graduate students a knowledge of recent results in the field of high-frequency econometrics and their applications to finance.

Prerequisites: Prerequisites: graduate level knowledge of statistics or econometrics; notions of probability theory and analysis.

Evaluation: In order to receive the 2 ECTS the students will have to submit a referee report of a paper assigned randomly, which deals with the topic of the course.

Organizer: Francesco Benvenuti, Assistant Professor, MATH, AAU; Orimar Sauri, Associate Professor, MATH, AAU; J. Eduardo Vera-Valdés, Associate Professor, MATH, AAU Contact: fraben@math.aau.dk

Lecturers:From AAU: Title, Name, Affiliation: Francesco Benvenuti, Assistant Professor, MATH, AAU; Orimar Sauri, Associate Professor, MATH, AAU. External: Roberto Renò, Professor, ESSEC Business School

ECTS: 2

Time: March 26- 27, 2026

Place: Aalborg University TMV25 C.004 MTR - Auditorium

City: Aalborg

Deadline: March 12, 2026

For registration and more details see more here: https://math-at-aalborg-university.github.io/HF-PhD.html