Keynote speakers

John Y. Campbell (Harvard University)

Andrew W. Lo (MIT Sloan)

Theme

The Econometrics of Financial Markets, by John Campbell, Andrew Lo, and Craig MacKinlay, has become a classic for empirical research in finance. Marking the 20th anniversary of the book, this conference aims to bring together scholars that are shaping, shall we say, potential new chapters of the book?

The conference will feature papers on the following topics:

  • Financial networks
  • Financial technology and market design
  • Financial applications of machine learning
  • Individual investor portfolios, preferences, and strategies
  • Market microstructure and high-frequency trading
  • Liquidity in all of its incarnations
  • Systemic risk measurement and management

Program committee

Yacine Aït-Sahalia (Princeton)

Mila Getmansky Sherman (UMass Amherst)

Terrence Hendershott (Berkeley)

Björn Hagströmer (Stockholm Business School)

Leonid Kogan (MIT)

Sydney C. Ludvigson (NYU)

Albert J. Menkveld (VU Amsterdam)

Motohiro Yogo (Princeton)

Organizing committee

Björn Hagströmer, Stockholm Business School (conference chair)

Albert J. Menkveld, VU University Amsterdam (co-chair)

Lu Liu, Stockholm Business School

Doris Rehnström, Stockholm Business School

Abalfazl Zareei, Stockholm Business School

Contact

For any questions regarding this event, please email us at econometrics@sbs.su.se

Sponsors

The conference is generously funded by grants from Riksbankens Jubileumsfond (RJ) and Handelsbankens Forskningsstiftelser.