Internship for 5 to 6 months : Microstructure Theory: Towards a better Description of the Price Process

At this microscopic level of the price formation process, new analytical tools must be brought in because of issues such as stochastic time or the bid-ask bounce. A massive amount of computing power can be brought in to help solve problems, and a creative approach must be brought in because algorithms must be parallelized to run on vector processors or parallel cores. We propose a challenging internship research subject that aims at understanding how to handle microstructure noise.

microstructure_study2.pdf — PDF document, 76Kb