Researchers Robin Lumsdaine, Anastasija Tetereva and Gustavo Freire of the Econometric Institute have distinguished themselves during the annual conference of the Society for Financial Econometrics (SoFiE) at Sungkyunkwan University in Seoul (South Korea).
SoFiE is a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It promotes and expands research and education by organising and sponsoring conferences, programmes and activities at the intersection of finance and econometrics, including links to macroeconomic fundamentals.
The Econometric Institute joined SoFiE as an institutional member this year, following its success at last year’s annual meeting in Cambridge, UK, where 10 Erasmus faculty and students were on the program, more than any other university.
About Robin Lumsdaine
Professor Robin Lumsdaine is treasurer of SoFiE and chaired two sessions: one on Factor Models and a plenary session on Long Run Real Rates (a talk delivered by Barbara Rossi, Professor at University Pompeu-Fabra and Editor of the Journal of Applied Econometrics). Robin Lumsdaine is Professor of Applied Econometrics at Erasmus School of Economics through a cooperative arrangement with American University. At American University’s Kogod School of Business, she holds the Crown Prince of Bahrain Chair in International Finance.
About Gustavo Freire and Anastasija Tetereva
Assistant Professors Gustavo Freire and Anastasija Tetereva both presented one or more papers. Freire presented his paper (co-authored with Caio Almeida of Princeton University) 'Which (Nonlinear) Factor Models?' during a session on Asset Pricing.
Tetereva presented a paper 'Fund Selection using Textual Analysis' (co-authored with Christiaan van den Berg, Fabian Neefjes and Maarten Jansen; the paper came out of case studies work they conducted under her supervision) in a Machine Learning session. She presented a second paper (coauthored with Erasmus assistant professor colleagues Rasmus Lonn and Onno Kleen), titled 'Tracking Trees for Macroeconomic Risk using Individual Stocks', during a Forecasting session.
Best Paper Award for PhD candidate Evgenii Vladimirov
Evgenii Vladimirov, PhD candidate in Financial Econometrics (University of Amsterdam and Tinbergen Institute), received the Best Paper Award at the pre-conference for young scholars. His paper 'iCOS: Option-Implied COS method' was selected by the conference organisers based on both the quality of the paper and his presentation of it. He will be joining the Econometric Institute as an assistant professor later this year.
Financial Econometrics meets Machine Learning (FinEML) conference on 10 and 11 November
On 10 and 11 November 2023 Erasmus School of Economics will host the Financial Econometrics meets Machine Learning (FinEML) conference in Rotterdam. The Conference is organised jointly with University of Geneva, and Università della Svizzera italiana.
Confirmed speakers are Svetlana Bryzgalova (London Business School), Jianqing Fan (Princeton University), Patrick Gagliardini (Università della Svizzera italiana) and Fabio Trojani (University of Geneva).
- Professor
- Assistant professor
- Assistant professor
- More information
For more information, please contact Ronald de Groot, Media & Public Relations Officer at Erasmus School of Economics: rdegroot@ese.eur.nl, +31 6 53 641 846.
- Related content
