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SoFiE Seminars

The Society for Financial Econometrics Seminar Series features monthly presentations of cutting-edge research by leading scholars in financial econometrics. Presentations are followed by discussion and audience participation. The SoFiE Seminar series is organized and moderated by Eric GhyselsEkaterina Smetanina and Dacheng Xiu.


SoFiE Seminar Series events are held as Zoom webinars and are open to all. If you would like to receive updates about these events, please email sofie@stern.nyu.edu and request to join our mailing list. Otherwise, please continue check this website for the most up-to-date list of our events. Recordings of past events will be featured on SoFiE's YouTube channel.


Upcoming SoFiE Seminars


Past SoFiE Seminars

Host: Ekaterina Smetanina (The University of Chicago Booth School of Business)
Presenter: Federico Bandi (Johns Hopkins University)
Paper: "Discontinuous trading in continuous-time econometrics"
Discussant: Nikolaus Hautsch (University of Vienna)
Date: December 5, 2022
Recording: https://youtu.be/4jk4Q-wPt0I
Host: Dacheng Xiu (The University of Chicago Booth School of Business)
Presenter: Stefan Nagel (The University of Chicago Booth School of Business)
Paper: "When do cross-sectional asset pricing factors span the stochastic discount factor?"
Discussant: Stefano Giglio (Yale School of Management)
Date: November 14, 2022
Recording: https://youtu.be/v4BhoSYRZhs
Host: Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter: Sydney Ludvigson (New York University)
Paper: Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
Discussant: Frank Schorfheide (U Penn)
Date: October 3, 2022
Recording: https://youtu.be/XjlZEHz4d6k
Host: Ekaterina Smetanina (The University of Chicago Booth School of Business)
Graduate Student Presenter #1: Gleb Gertsman
Paper #1: Selective Learning and Price Over- and Under-reaction
Graduate Student Presenter #2: Kristy A.E. Jansen
Paper #2: Long-term Investors, Demand Shifts, and Yields
Graduate Student Presenter #3: Chukwuma Dim
Paper #3: Should Retail Investors Listen to Social Media Analysts?
Evidence from Text-Implied Beliefs
Graduate Student Presenter #4: Hao Ma
Paper #4: Conditional Latent Factor Models Via Econometrics-Based Neural Networks
Date: December 20, 2021
Recording: https://youtu.be/JNycQb4s-ec
Host: Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter: Paolo Zaffaroni (Imperial College London)
Paper: "Factor Models for Conditional Asset Pricing"
Discussant: Patrick Gagliardini (USI, Lugano)
Date: November 15 2021
Recording: https://www.youtube.com/watch?v=U0yjc66JEBQ
Host: Dacheng Xiu (Chicago Booth, The University of Chicago)
Presenter: Jianqing Fan (Princeton University)
Paper: "How and When are High-Frequency Prices Predictable?"
Discussant: Torben Andersen (Kellogg School of Management Northwestern University)
Date: October 18 2021
Recording: https://youtu.be/thrGjWjetX0

 



PAST SOFIE SEMINARS (Organized and Hosted by Andrew Patton, Scientific Committee members: Yingying Li and Nour Meddahi):

Presenter: Christian Gourieroux (University of Toronto / ENSAE)
Paper: "Inference for Noisy Long Run Component Processes"
Discussant: Anders Rahbek (University of Copenhagen)
Date: April 19 2021
Recording: https://www.youtube.com/watch?v=Jb_uV6vmfFA
Presenter: Patrick Gagliardini (Università della Svizzera italiana)
Paper: “Extracting Statistical Factors When Betas Are Time-Varying”
Discussant: Seth Pruitt (Arizona State University)
Date: October 19 2020
Recording: https://www.youtube.com/watch?v=KGH-gIpJpHw
Presenter: Merrick Li (Cambridge)
Paper: “A ReMeDI for Microstructure Noise”
Date: October 5 2020
Recording: https://www.youtube.com/watch?v=knZXvuYguNI
Presenter: Xavier Gabaix (Harvard University) and Ralph Koijen (Chicago Booth)
Paper: “Granular Instrumental Variables”
Discussant: Lutz Kilian (Federal Reserve Bank of Dallas)
Date: August 24 2020
Recording: https://www.youtube.com/watch?v=xuf99NvvyKM
Presenters: Francis X. Diebold (University of Pennsylvania)Robert F. Engle (NYU Stern)Ravi Jagannathan (Northwestern University)Eric Renault (University of Warwick)
Paper: Panel Discussion with SoFiE Past Presidents on “Financial Econometrics and the Pandemic”
Date: August 10 2020
Recording: https://www.youtube.com/watch?v=uNRCIb2Gkq8
Presenter: Yingying Li (Hong Kong University of Science and Technology)
Paper: “Estimating Large Efficient Portfolios with Heteroscedastic Returns”
Discussant: Michael Wolf (University of Zurich)
Date: July 27 2020
Recording: https://www.youtube.com/watch?v=pMP7MPMWpFc

SoFiE Seminar Submissions

The SoFiE Seminar Series welcomes the submission of papers on any aspect of financial econometrics for possible inclusion in the series. Submissions will be reviewed by the Series’ scientific committee and will be considered on a rolling basis; there is no deadline for submissions.

- To submit a paper, email a PDF version of the paper to Sofie.Seminar.Submissions@gmail.com.

- Complete papers are preferred to incomplete papers or summaries.

- Submissions do not need to be blinded.

- Papers should not already be accepted for publication when submitted, though they can have been presented in other seminar series or conferences/workshops.

- Due to resource constraints, it is impossible to respond to everyone who submits a paper; you will be contacted only if your paper is selected for inclusion in the series.

- Submissions from junior authors and members of groups that are under-represented in the field are particularly encouraged.

- Seminars are held every other Monday at 11am New York time.