In August, the Volatility Institute at NYU Shanghai (VINS) became the latest institution to host the Society for Financial Econometrics (SoFiE) Financial Econometrics Summer School, an annual week-long research-based course for Ph.D. students and junior faculty in financial econometrics. VINS follows Oxford, Harvard, and Northwestern’s Kellogg School of Management in being selected by SoFiE, a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics, to host the prestigious summer school on campus.
Yacine Aït-Sahalia, a professor of finance and economics at Princeton University, and Per Myklandis, a professor of statistics and finance at the University of Chicago, led this year’s summer school course, which was titled Introduction to High Frequency Financial Econometrics and Statistics.
A total of 53 students from institutions such as University of Chicago, University of Luxembourg, Victoria University of Wellington, University of Muenster, Columbia University, Peking University, Singapore Management University, Shanghai Stock Exchange, and Dongxing Securities studied methods to analyze high frequency data and estimate parametric and nonparametric financial models using such data.
Nam Hoang, a professor of University of New England – Australia, said the course was the best of similar ones in Asia.
“We believe that it is meaningful to hold a summer course that provides Asian scholars with access to the world's top professors,” said NYU Shanghai Professor Xin Zhou, executive director of VINS. We hope that the course will help our young scholars to grow and promote mutual cooperation among them, and foster the development of research in related fields.”
Founded in 2014, VINS seeks to create opportunities for market volatility research focused on both the Chinese financial markets and markets around the world. VINS facilitates collaboration among market participants and academic researchers within China and abroad. It also aims to help improve global financial markets by providing timely financial information and analysis to academics, practitioners, regulators and policymakers through innovative technology platforms and services.
NYU Shanghai will again host the SoFiE Summer School in 2019.
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