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The course is intended for Ph.D. students and researchers in statistics, econometrics and finance with an introduction to methods to analyze high frequency data and estimate parametric and nonparametric financial models using such data. The course assumes some familiarity with stochastic...
Summer School Theme: "The Econometrics and Asset Pricing of Foreign Exchange Markets" Topics : - Overview of Empirical FX Market Microstructure literature on Price Discovery, Order Flow, Liquidity, and Volume; - Description and Discussion of Rationale for the Breakdown of the Covered Interest...
One theme of the conference seeks to highlight econometric research in the area of artificial intelligence and machine learning in finance.
The course is intended for Ph.D. students and researchers in statistics, econometrics and finance with an introduction to methods to analyze high frequency data and estimate parametric and nonparametric financial models using such data. The course assumes some familiarity with stochastic...
The conference will showcase the latest advances in financial econometrics, with special emphasis on the new technological developments in finance and econometric methods for Fintech and machine learning. The conference also intends to foster the dialogue between academics and practitioners on...
All topics in financial econometrics are acceptable, but with some preference given to topics that are in line with the theme of the summer school. Topics: - The econometrics of parametric option pricing inference under alternative asymptotic settings (large and short time spans, large and short...
The 10th Annual SoFiE Conference is a special 10-year anniversary conference. There will be a Pre-Conference for junior researchers on June 20, 2017. Participants in the SoFiE annual meeting are encouraged to attend in the Pre-Conference as well. All submissions should be sent for consideration...
The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to sharing …
Everybody planning to attend the Annual SoFiE conference is invited to register and attend this Pre-Conference. It will help raise the quality and recognition to the benefit of the scholars in our organization! The pre-conference provides students, postdocs, and untenured professors (with up to...
The SoFiE Financial Econometrics Summer School is an annual week-long research-based course for Ph.D. students and new faculty in financial econometrics. The lectures will be organized around four themes: 1. The role of stochastic volatility in option pricing. Options prices as expectations of a...
Created in cooperation with RFE-Resources for Economists of the American Economic Association (AEA)