TI Econometrics Lectures 2021
Yacine Aït-Sahalia (Princeton University, United States) gave the Tinbergen Institute Econometrics Lectures 2021.
Aït-Sahalia is the Otto A. Hack Professor of Finance and Economics at Princeton University, United States and the Founding Director of the Bendheim Center for Finance at Princeton. Professor Ait-Sahalia’s research has concentrated on the estimation of continuous-time models in financial economics.
Date: 10-11 November, 2021
Venue: On campus at Erasmus University Rotterdam campus.
Topic: Machine Learning in Finance
The lectures describe the main methodologies employed in machine learning and go 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.
On Friday 12 November the Econometric Institute organised a Research Workshop in Financial Econometrics (and related fields) with Professor Aït-Sahalia. Other presenters include Leopoldo Catania, Patrick Gagliardini, Frank Kleibergen, Roger Laeven and Fabio Trojani.