SoFiE Seminar Series
The Society for Financial Econometrics Seminar Series features bi-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 Andrew Patton from Duke University.
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.
Presenter: | Claudia Moise (Duke University) |
Paper: | "High-Frequency Arbitrage and Market Illiquidity" |
Discussant: | Joel Hasbrouck (NYU Stern) |
Date: | February 8 2021 |
Time: | 11am New York / 8am San Diego / 4pm London / 5pm Paris / 12am Beijing | Access: | A Zoom Link will be made available shortly prior to the presentation |
Recording: | A link to a video recording will be available here soon after the event. |
Presenter: | Caio Almeida (Princeton University) |
Paper: | "Pricing of Index Options in Incomplete Markets" |
Discussant: | Torben Andersen (Northwestern University) |
Date: | February 22 2021 |
Time: | 11am New York / 8am San Diego / 4pm London / 5pm Paris / 12am Beijing | Access: | A Zoom Link will be made available shortly prior to the presentation |
Recording: | A link to a video recording will be available here soon after the event. |
Presenter: | Seth Pruitt (Arizona State University) |
Paper: | "Modeling Corporate Bond Returns" |
Discussant: | Jennie Bai (Georgetown University) |
Date: | March 8 2021 |
Time: | 11am New York / 8am San Diego / 4pm London / 5pm Paris / 12am Beijing | Access: | A Zoom Link will be made available shortly prior to the presentation |
Recording: | A link to a video recording will be available here soon after the event. |
Presenter: | Eric Ghysels (UNC Chapel Hill) |
Paper: | "Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios" |
Discussant: | Max Farrell (University of Chicago) |
Date: | March 22 2021 |
Time: | 11am New York / 8am San Diego / 3pm London / 4pm Paris / 11pm Beijing | Access: | A Zoom Link will be made available shortly prior to the presentation |
Recording: | A link to a video recording will be available here soon after the event. |