This week the Econometric institute of Erasmus School of Economics welcomed Yacine Aït-Sahalia, Otto Hack 1903 Professor of Finance and Economics at Princeton University, whose research concentrates on the estimation of continuous-time models in financial economics.
Tinbergen Institute Econometrics Lectures 2021
On 10 and 11 November, Professor Aït-Sahalia focused on the topic Machine learning in Finance as part of the renowned Tinbergen Institute Econometrics Lectures 2021. The lectures described the main methodologies employed in machine learning and went over some applications of these methods in finance, including credit scoring, factor models, sentiment analysis and trading, and others. The last lecture described in more detail a study of high frequency asset price predictability using machine learning methods.
Research workshop in Financial Econometrics
On 12 November, Professor Aït-Sahalia took actively part in a research workshop in Financial Econometrics and related fields, along with other presenters including Leopoldo Catania, Patrick Gagliardini, Frank Kleibergen, Roger Laeven and Fabio Trojani.
From the hands of Assistant Professor Anastasija Tetereva of the Econometric Institute, Professor Yacine Aït-Sahalia received a copy of the biography about Jan Tinbergen, a professor at the predecessors of Erasmus School of Economics and Erasmus University Rotterdam and winner of the first Nobel Memorial Prize in Economic Sciences in 1969.
About Yacine Aït-Sahalia
Yacine Aït-Sahalia is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary area of research is financial econometrics. He has been serving as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014. Prior to that, he was Professor of Finance at the University of Chicago Booth School of Business.
About the Tinbergen Institute Econometrics Lectures
The Tinbergen Institute Econometrics Lectures are a co-production of Princeton University Press and the Econometric Institute of Erasmus School of Economics. For every series of lectures an internationally leading scholar in applied econometrics is invited to give lectures over a three-day period, on a topic in which they have contributed significantly. The first sets of lectures were given in 2003 by Robert Engle, Nobel laureate in Economics in that same year. The fifth set of lectures was given by Tom Sargent, Nobel Laureate in Economics in 2011. After the event, the renowned Princeton University Press publishes these lectures as a book.
- More information
For more information, please contact Ronald de Groot, Media and Public Relations Officer at Erasmus School of Economics: rdegroot@ese.eur.nl and +31 6 53 641 846.