Prof. Dr. Nikolaus Hautsch

Professor of Finance and Statistics

Research Interests

  • financial econometrics
  • econometrics of high-frequency data
  • market microstructure analysis and liquidty
  • risk management
  • blockchain-based markets
  • machine learning
  • sports statistics


Personal Assistant

Viktoria Schildhammer
Room: 05.48
Phone: +43-1-4277-38681
Fax: +43-4277-8-38681


uni:view Magazin



Größere Kartenansicht




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.


Department of Statistics and Operations Research
Faculty of Business, Economics and Statistics
Kolingasse 14-16
University of Vienna
A-1090 Vienna

Room: 05.55
Phone: +43-1-4277-38680
Fax: +43-4277-8-38680


Artificial Intelligence in Rowing

Past Events

Vienna-Copenhagen Conference on Financial Econometrics
June 2-4, 2022
University of Copenhagen

Vienna Workshop on ''Econometrics of Options Markets''
April 19-21, 2021
University of Vienna