Society for Financial Econometrics (SoFiE) Conference 2018

The Society for Financial Econometrics (SoFiE) was founded in 2008 by an international group of researchers working broadly across the fields of econometrics and finance. The group includes lead academics, among them 2 Nobel laureates.SoFiE is dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It is an independent non-profit membership organization, currently housed at New York University. SoFiE is committed to promoting and expanding research and education by organizing and sponsoring conferences, programs and activities at the intersection of finance and econometrics, including links to macroeconomic fundamentals.The Society for Financial Econometrics hosts a journal, the Journal of Financial Econometrics (JFEC), at the leading edge of research. The journal has an impact factor of 1.8 and a 5 year impact factor of 2. Despite the young age of JFEC, these numbers are comparable to those of other established journals in the field, such as the Journal of Business and Economic Statistics, Finance & Stochastics, and Review of Finance.Among the most significant activities promoted by SoFiE together with thematic conferences and summer schools, the annual conference is the key event of the Society with a three-day intense program of talks by keynote speakers, plenary and parallel sessions with peer-reviewed contributions, and special thematic sessions. Over the past years, about 150 participants on average have attended the meeting from both academia and industry. The annual meeting is preceded by the Pre-conference for Young Scholars, where students, postdocs, and un-tenured professors have the opportunity to present their work in a format that enhances informal discussions and constructive feedbacks. The annual SoFiE meeting is traditionally smaller than other large-scale conferences in this field, but - thanks to its scientific standards - it has become a meeting point for referees and journal editors, not only for the Journal of Financial Econometrics, but also for other top academic journals in the field of finance and econometrics such as Econometrica, Journal of Econometrics, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. The meeting is characterized by its open and international environment, with a diverse blend of participants coming from the academia, regulatory agencies and authorities, and the financial industry. These aspects make it a unique opportunity to establish networks and share ideas with other scholars and researchers. The SoFiE Annual Conference rotates on a three-year basis among hosting universities in America, Europe and Asia. In the past years, the annual conference has been hosted at New York University Stern School of Business (2008), University of Geneva (2009), University of Melbourne (2010), University of Chicago (2011), Oxford-Man Institute at the University of Oxford (2012), National University of Singapore (2013), Rotman School of Management in Toronto (2014), Aarhus University (2015), Hong Kong City University (2016), and again New York University for the tenth anniversary of the Society in 2017.For the annual meeting in 2018, the Università della Svizzera Italiana (USI) has received the honor to host the annual meeting in Lugano. The opportunity for USI to organize such a prestigious event confirms and corroborates its strong links with SoFiE and with the whole financial econometrics academic community. USI is a partner university of the Swiss Finance Institute (SFI). The Institute of Finance at USI has established research in Finance and Econometrics, and its members publish routinely in the top journals of these fields. The group of researchers at USI active in the area of financial econometrics and serving as local organizing committee for the conference published about 20 papers in the last 5 years in the top journals in Econometrics, Statistics, and Finance. Prof. Gagliardini and Prof. Mancini both serve in the editorial board of JFEC as Associate Editors.The applicant Prof. Gagliardini is an active contributor to research in financial econometrics on topics strongly related to the conference's main focus. Specifically, the recent research of Professor Gagliardini and his group revolves around the development of novel estimation and inference techniques for large-dimensional panel factor models. These methods allow to address long-standing questions in empirical asset pricing, like the nature of pervasive factors impacting equity returns and the reward that investors ask in equilibrium to bear such risks, from a different angle, namely that offered by large databases of individual asset returns - as opposed to portfolios. Some of Prof. Gagliardini's recent papers have been published in journals such as Econometrica, Journal of Econometrics, Journal of Financial Econometrics, and Review of Financial Studies; see the attached CV and the personal website for a list of publications. Professor Gagliardini co-organized a SoFiE-sponsored thematic conference in Lugano in 2013 on Large-scale factor models in Finance, and the SNSF International Exploratory Workshop 'Pietro Balestra' on Recent developments in panel data econometrics. Further, he has also been teacher for a Summer School organized by SoFiE in 2014 at Harvard University, and hosted in 2015 by the National Bank of Belgium in Bruxelles, on the topic of 'The Econometrics of Option Pricing'. The Swiss academic community (including, but not restricted to that of the SFI) has a long-standing tradition in research in statistics and financial econometrics. Hosting the SoFiE meeting is an exceptional occasion for this community to strengthen and establish new connections with other leading scholars in the field, and gain terrific visibility on an international scale. In addition, the conference is a unique opportunity for Lugano and Switzerland to connect the academia and the financial industry, and stimulate their dialogue around research topics of common interest.