Prof. Dr. Nikolaus Hautsch

Professor of Finance and Statistics

Research Interest

  • financial econometrics and
  • empirical finance including high-frequency finance
  • market microstructure analysis
  • price discovery
  • estimation of volatility
  • liquidity
  • high-dimensional covariance prediction
  • systemic risk
  • financial network analysis

 

Personal Assistant

Julia Brandstätter
Room: 06.311
Phone: +43-1-4277-38681
Fax: +43-4277-8-38681
E-Mail: julia.brandstaetter@univie.ac.at

 

Inaugural lecture

"Hochgeschwindigkeit auf Finanzmärkten – Fluch oder Segen?"

uni:view Magazin

Map

 


Größere Kartenansicht

 

 

Recent Book

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Contact

Department of Statistics and Operations Research
Faculty of Business, Economics and Statistics
Oskar-Morgenstern-Platz 1
University of Vienna
A-1090 Vienna
Austria

Room: 06.309
Phone: +43-1-4277-38680
Fax: +43-4277-8-38680
E-Mail: nikolaus.hautsch@univie.ac.at

Internship

Deutsche Börse Group:

Market Supervision
Eurex Frankfurt AG in Frankfurt am Main
at least 3 months

Further Information

Upcoming Events

Conference HFT 2016:

High-Frequency Trading
Curse or Blessing?

Vienna, 22 - 23 September 2016
University of Vienna

https://hft2016.univie.ac.at/

Job Offers