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Torben G. Andersen, the Nathan S. and Mary P. Sharp Professor of Finance at Kellogg

Prof. Torben Andersen

Kellogg School finance scholar Torben Andersen elected to Econometric Society

Prestigious appointment to international economic theory body latest honor for Kellogg asset pricing and volatility expert

By Matt Golosinski

12/15/2008 - Kellogg School finance professor Torben G. Andersen has been elected a fellow of The Econometric Society, an elite professional body composed of global economic experts.

The society, which was founded in 1930 and is dedicated to promoting study whose aim is the unification of theoretical and empirical quantitative approaches to economic problems, also publishes the leading journal Econometrica. In addition, the society publishes a monograph series and hosts scientific conferences worldwide.

Current society fellows, numbering nearly 450, vote to introduce a handful of new fellows each year. Andersen, the Nathan S. and Mary P. Sharp Professor of Finance at Kellogg, was one of only 15 scholars named to the society in 2008.

“It is a real honor for me to have been elected fellow of The Econometric Society,” said Andersen, who joined Kellogg in 1991. “It reflects a vote among the existing fellows of the society — a global group of exceptionally renowned and accomplished scholars — so I consider it a truly flattering and humbling recognition of my research conducted at Kellogg over a period spanning more than 15 years.”

A widely published Kellogg professor whose expertise includes the study of asset pricing, empirical finance and volatility fluctuation modeling, Andersen expressed pleasure that his appointment to the society could also help embellish the Kellogg School’s research profile even more broadly.

“It’s important that Kellogg faculty be seen as naturally belonging to the most select groups of scholars within their professional research disciplines,” Andersen said. “This is a vital part of the school’s long-term intellectual reputation and branding.”

He also noted that his work, which is concerned with issues such as the research frontier of financial economics and econometrics, often is based on analysis using “high-frequency (tick-by-tick) financial return data.” As such, this cutting-edge work is typically not yet reflected in standard business texts, according to Andersen. Still, he said that the implications of this research are already garnering attention.

“A few topics have started to show up in introductory characterizations of financial markets, including the intraday volatility patterns across the trading day, the immediate impact of news announcements on financial prices and the use of high-frequency data based volatility measures for portfolio and risk management,” Andersen said. “As research in this area evolves, I anticipate it will command even more attention in regular business and finance text books.”

In addition to his teaching and research, Andersen is director of the Kellogg School’s International Business & Markets Program and Research Center. He is also a research fellow of the National Bureau of Economic Research and an international fellow of the Center for Research in Econometric Analysis of Economic Time Series in Aarhus, Denmark.

Andersen’s work has centered on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection and the term structure of interest rates. His current work explores the use of large data sets of very-high-frequency data for volatility forecasting, portfolio choice and risk management. He has received grants from the National Science Foundation, the Sloan Foundation and the Institute for Quantitative Research in Finance (the Q-Group). He has been a member of the editorial board of various journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, Journal of Business and Economic Statistics, and Management Science.

Professor Andersen has served as a consultant to the Stafford Trading Group, various Federal Reserve Banks, universities and other organizations. He received his doctorate in economics from Yale University.