Fourth Penn Quantitative Policy Workshop

Some years ago I blogged on the first Workshop on Quantitative Tools for Macroeconomic Policy Analysis hosted by the Penn Institute for Economic Research (PIER). We just completed the fourth! It was a great group as usual, with approximately 25 participants from around the globe, mostly economists at country central banks, ECB, etc. Some of the happy campers, along with yours truly, appear in the photo. You can find all sorts of information on the workshop site. Information / registration for the next Workshop (May 2019) will presumably be posted in fall. Please consider joining us, and tell your friends!

Online Volatility Data and Labs

I am reminded that I had planned to post on data/analysis sites that focus on financial asset return volatility measurement and modeling.

To my mind, the key trio is implied vol, GARCH vol, and realized vol. For implied vol it's the VIX at CBOE. For GARCH vol it's Rob Engle's V-Lab at NYU. For realized vol it's Neil Shephard's Realized Library at Oxford.

Yes, conspicuously missing is stochastic volatility. It's an academic simulator's paradise, but largely missing from serious/practical industry application. It's no accident; the benefit/cost ratio is just too low to excite many real financial-market modelers. One could argue that ten years from now things will look different. Perhaps, but I'm not at all sure. 

Quantitative Tools for Macro Policy Analysis

Penn's First Annual PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis will take place in May 2015.  The poster appears below (and here if the one below is a bit too small), and the website is here. We are interested in contacting anyone who might benefit from attending. Research staff at central banks and related organizations are an obvious focal point, but all are welcome. Please help spread the word, and of course, please consider attending. We hope to see you there!

NBER Econonometrics "Methods Lectures" Videos

For nearly a decade, the National Bureau of Economic Research has been holding a day of econometrics "Methods Lectures" during the Summer Institute, with the speakers and sub-topic changing each year.


Evidently it's not widely known that the lecture videos and slides are available online -- just click on any of the links below.

[Warning: Certain of the links reveal that audio/video recording/delivery is not the NBER's strong suit, but all the videos are there if you take a few minutes to figure things out.]


Summer Institute 2013
Econometric Methods for High-Dimensional Data
Victor Chernozhukov, Massachusetts Institute of Technology, Matthew Gentzkow, University of Chicago and NBER, Christian Hansen, University of Chicago , Jesse Shapiro, University of Chicago and NBER, Matthew Taddy, University of Chicago

Summer Institute 2012
Econometric Methods for Demand Estimation
Ariel Pakes, Harvard University and NBER and Aviv Nevo, Northwestern University and NBER

Summer Institute 2011
Computational Tools & Macroeconomic Applications
Lawrence Christiano, Northwestern University and NBER and Jesus Fernandez-Villaverde, University of Pennsylvania and NBER

Summer Institute 2010
Financial Econometrics
Sydney Ludvigson, New York University and NBER , Yacine Ait-Sahalia, Princeton University and NBER, Michael Brandt, Duke University and NBER and Andrew Lo, MIT and NBER

Summer Institute 2009
Using Field Experiments in Economics: An Introduction, and Conducting Field Research in Developing Countries
John List, University of Chicago and NBER and Michael Kremer, Harvard University and NBER

Summer Institute 2008
Whats New in Econometrics – Time Series
James H. Stock, Harvard University and NBER and Mark W. Watson, Princeton University and NBER

Summer Institute 2007
Whats New in Econometrics?
Guido Imbens, Harvard University and NBER and Jeffrey Wooldridge, Michigan State University

2014 SoFiE Financial Econometrics Summer School at Harvard

The 2014 Society for Financial Econometrics (SoFiE) Summer School in Financial Econometrics will take place July 28 - August 1 at Harvard University. This is the third annual edition; 2012 and 2013 were highly successful, and I'm certain that 2014 will be as well. The topic is the econometrics of option pricing, and the lecturers are Patrick Gagliardini (University of Lugano and the Swiss Finance Institute) and Eric Renault (Brown University). Students are typically drawn from top Ph.D. programs, world-wide. For additional information, and to apply for admission, go to http://www.stat.harvard.edu/SoFiE/index.html. Application deadline is March 25!

The event has an interesting history that traces largely to the vision and energy of Neil Shephard. While still at Oxford running the Oxford-Man Institute of Quantitative Finance, he had the idea, he asked SoFiE to partner with him (I was SoFiE President at the time), and he generously donated Oxford's beautiful facilities and fine administrative services. Now that he's moved to Harvard, the summer school has moved with him. Thanks, Neil, for your many wonderful ongoing contributions to econometrics education.



Here's a detailed 2014 course outline:
1. Stochastic-volatility option pricing. Options prices as expected Black-Scholes price. Volatility smiles.
2. Non-linear State-Space models.
3. GMM with latent variables: Indirect Inference and Implied-States GMM.
4. Nonparametric fitting of implied volatility surfaces. Implied binomial trees and maximum entropy
5. High-frequency data and option pricing
6. Extended Method of Moments (XMM).
7. Volatility risk premium and long memory in volatility.
8. VIX computation and methods for American options.

Is Economics too Important for Economists?

Like piranha fish in a feeding frenzy, different research tribes fight furiously to stake claims in new areas like financial engineering and risk management. Fringe players, in particular, often strive to move toward the center, or to redefine the center in ways that feather their nests.

Such competition is desirable, but healthy competition is based on merit, not mudslinging. Hence my disappointment when watching the video preview for "Financial Engineering and Risk Management Part I," a massively open online course (MOOC) by Martin Haugh and Garud Iyengar (H&I) at Columbia, to be given soon on Coursera. H&I come from Industrial Engineering and Operations Research, and they conclude their sales pitch with the brazen proclamation, "... it's often said that economics is too important to be left to economists. Well, we feel the same way about finance and financial engineering. It's too important to be left to economists..."

Wow, strong words. So what's in their syllabus? Here it is:

- Introduction to forwards, futures and swaps
- Introduction to options and the 1-period binomial model
- The multi-period binomial model and risk-neutral pricing
- Term structure models and pricing fixed income derivative securities
- Introduction to credit derivatives
- Introduction to mortgage mathematics and mortgage-backed securities

Huh? What? Isn't that largely financial economics, pioneered and continuously refined by an ongoing parade of financial economists? Of course. Indeed what else could it be?

A quick glance at the web indicates that H&I's research is high-quality, and I hope that the same will be true for their course. (I have registered.) I'm also glad that H&I are contributing to the wonderful Coursera MOOC phenomenon, and I applaud their declared desire to increase lay financial literacy. But I suggest that they and their tribe give credit where credit is due -- is that not necessary for true literacy? -- and think twice before glibly biting the financial economics hand that feeds them.