SoFiE

13th Annual SoFiE Conference. Hosted by University of California, San Diego's Rady School of Management

SoFiE

The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It is an independent non-profit membership organization, currently housed at New York University. SoFiE is committed to promoting and expanding research and education by organizing and sponsoring conferences, programs and activities at the intersection of finance and econometrics, including links to macroeconomic fundamentals.

Upcoming Conference

Fourteenth Annual SoFiE Conference
Sponsored by: TBD
Date: June 2021
Conference Location: University of Cambridge, UK

Past Conferences

ANNUAL SoFiE CONFERENCES:

Twelfth Annual SoFiE Conference (Asia)
June 11-14, 2019: Shanghai, China, the School of Economics and School of Data Science
at Fudan University

Eleventh Annual SoFiE Conference (Europe)
June 11-14, 2018: Lugano, Switzerland, Università della Svizzera Italiana (USI)

Tenth Annual SoFiE Conference (North America)
June 20-23, 2017: NYU Stern Volatility Institute, Salomon Center, Finance Department and Investment Technology Group

Ninth Annual SoFiE Conference (Asia)
June 14-17, 2016: City University of Hong Kong and GRU (Hong Kong)

Eighth Annual SoFiE Conference (Europe)
June 23-26, 2015: CREATES at Aarhus University and the Danish National Research Foundation (Denmark)

Seventh Annual SoFiE Conference (North America)
June 11-13, 2014: Rotman School of Management and the Global Risk Institute in Financial Services (Canada)

Sixth Annual SoFiE Conference (Asia)
June 12-14, 2013: Sim Kee Boon Institute for Financial Econometrics, Singapore Management University & the Risk Management Institute, National University of Singapore (Singapore)

Fifth Annual SoFiE Conference (Europe)
June 20-22, 2012: Oxford-Man Institute at the University of Oxford (England)

Fourth Annual SoFiE Conference (North America)
June 15-17, 2011: University of Chicago (USA)

Third Annual SoFiE Conference (Asia)
June 16-18, 2010: University of Melbourne (Australia)

Second Annual SoFiE Conference (Europe)
June 10-12, 2009: Swiss Finance Institute at the University of Geneva (Switzerland)

Inaugural SoFiE Conference (North America)
June 4-6, 2008: NYU Stern School of Business (USA)

SoFiE-SPONSORED JOINT CONFERENCES:

With the University of Chicago, Stevanovich Center
October 3 – 5 2019: “Big Data and Machine Learning in Econometrics, Finance, and Statistics”
Location: Chicago, IL
Conference Website: Click here

With the NYU Stern Volatility Institute (Eleventh Annual Conference)
April 26, 2019: “Financial Volatility in an Age of Geopolitical Risks”
Location: New York, NY
Conference Website: Click here

With the University of Chicago, Stevanovich Center
May 2 – 4 2019: “Market Microstructure and High Frequency Data”
Location: Chicago, IL
Conference Website: Click here

With the University of Chicago, Stevanovich Center
July 23 – 27 2018: “Machine Learning and Finance: The New Empirical Asset Pricing”
Location: Chicago, IL

With Aix-Marseille University
May 30 – June 1, 2018: “Quantitative Finance and Financial Econometrics”
Location: Aix-Marseille School of Economics (AMSE)
Conference Website: Click here

With the University of Chicago, Stevanovich Center
May 10 – 12 2018: “New Aspects on Statistics, Financial Econometrics, and Data Science”
Location: Chicago, IL

With the University of Chicago, Stevanovich Center
May 3 – 5 2018: “Market Microstructure and High Frequency Data”
Location: Chicago, IL

With the NYU Stern Volatility Institute (Tenth Annual Conference)
April 27, 2018: “A Financial Approach to Climate Risk”
Location: New York, NY
Conference Website: Click here

With the NYU Stern Volatility Institute (Ninth Annual Conference)
April 27, 2017: “Derivatives and Volatility: The State of the Art”
Location: New York, NY
Conference Website: Click here

With Lancaster University
June 30 – July 1, 2016: “Conference on Financial Econometrics & Empirical Asset Pricing”
Location: Lancaster, UK

With the NYU Stern Volatility Institute (Eighth Annual Conference)
April 29, 2016: “Commodities and Emerging Market Risks”
Location: New York, NY
Conference Website: Click here

With the NYU Stern Volatility Institute (Seventh Annual Conference)
April 24, 2015: “Fixed Income Risk: Measurement, Modeling and Management”
Location: New York, NY
Conference Website: Click here

With Center on Sustainable Architecture for Finance in Europe (SAFE) at Goethe University Frankfurt, Center for Financial Research at Waseda University, NYU Stern Salomon Center for the Study of Financial Institutions, and the European Central Bank
March 10-11, 2015: “2nd International Conference on Sovereign Bond Markets: Determinants of Sovereign Bonds Yields and the Effectiveness of Central Bank Intervention”
Location: Frankfurt am Main, Germany

With Banque de France and Régulation et Risques Systémiques
July 3-4, 2014: “Systemic Risk and Financial Regulation”
Location: Paris, France

With the Faculty of Economics of Cambridge University and the Institute for New Economic Thinking(INET)
April 28-29, 2014: “Skewness, Heavy Tails, Market Crashes, and Dynamics”
Location: Cambridge, UK
Conference Website: Click here
INET Master Class with Prof. Eric Ghysels: Click here
INET Master Class with Prof. Paul Embrechts: Click here

With the NYU Stern Volatility Institute (Sixth Annual Conference)
April 25, 2014: “Market Liquidity and Funding Liquidity: Implications for Economic Risk”
Location: New York, NY
Conference Website: Click here
Conference Program: Click here

With the Swiss Finance Institute (SFI), and Labex Louis Bachelier
October 11-12, 2013: “Large-Scale Factor Models in Finance Conference”
Location: Lugano, Switzerland

With the NYU Stern Volatility Institute (Fifth Annual Conference)
April 26, 2013: “Volatility of Credit Risk”
Location: New York, NY
Conference Website: Click here
Conference Program: Click here

With the Getulio Vargas Foundation
December 13-14, 2012: “Asset Pricing and Portfolio Allocation in the Long Run”
Location: Rio de Janeiro, Brazil
Conference Website: Click here
Conference Program: Click here

With the National Centre for Economic Research, Queensland University of Technology
July 9, 2012: “Volatility Modelling and Financial Decision Making”
Location: Brisbane, Australia

With the NYU Stern Volatility Institute (Fourth Annual Conference)
April 27,2012: “Co-movement of Volatilities, Returns and Tails”
Location: New York, NY
Conference Website: Click here
Conference Program: Click here

With Tinbergen Institute
March 27, 2012: “Measuring and Understanding Asset Price Changes: The Price of Liquidity, and the Liquidity of Price”
Location: Amsterdam, Netherlands

With the Federal Reserve Bank of New York and the NYU Stern Volatility Institute
November 17, 2011: “Global Systemic Risk”
Location: New York, NY
Conference Website: Click here

With the NYU Stern Volatility Institute (Third Annual Conference)
April 8, 2011: “Long-Term Volatility and Economic Fundamentals”
Location: New York, NY

With the Depository Trust & Clearing Corporation and the NYU Stern Volatility Institute
November 17, 2010: “Managing Counterparty and Systemic Risk Under Dodd-Frank”
Location: New York, NY

With NYU’s Volatility Institute and the Nasdaq OMX Derivatives Research Project
October 15, 2010
Location: New York, NY

With CREATES, Aarhus University
October 15-16, 2010: “Measuring and Predicting Risk from Financial High-Frequency Data”
Location: Aarhus, Denmark
Conference Website: Click here

With the NYU Stern Volatility Institute (Second Annual Conference)
April 16, 2010: “Volatility and Systemic Risk”
Location: New York, NY

With the The Stevanovich Center at the University of Chicago
October 30, 2009: “Liquidity, Credit Risk, and Extreme Events”
Location: Chicago, IL

With the NYU Stern Volatility Institute (Inaugural Conference)
April 3rd, 2009: “Volatilities and Correlations in Stressed Markets”
Location: New York, NY

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SoFiE 2020 Sponsors: