Prof. Dr. Nikolaus Hautsch

Professor of Finance and Statistics

Research Interests

  • financial econometrics and
  • econometrics of high-frequency data
  • market microstructure analysis and liquidty
  • volatility and risk
  • systemic risk
  • blockchain-based markets

 

Personal Assistant

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

 

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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

Past Events

Conference on ''High-Frequency Trading -- Curse or Blessing?''
https://hft2016.univie.ac.at/
September 22 - 23, 2016
University of Vienna
 

Vienna-Copenhagen Conference on Financial Econometrics
http://vieco2017.univie.ac.at/
March 9-11, 2017
University of Vienna

Upcoming Events

Vienna Workshop on ''Econometrics of Options Markets''
https://econws20.univie.ac.at/
July 2-3, 2020
University of Vienna