Time and venue

May 4 – 5, 2017, Stockholm Business School

Keynote speakers

John Y. Campbell (Harvard University)

Andrew W. Lo (MIT Sloan)

A. Craig MacKinlay (Wharton, University of Pennsylvania)


The Econometrics of Financial Markets, by John Campbell, Andrew Lo, and Craig MacKinlay, has become a classic for empirical research in finance. Marking the 20th anniversary of the book, this conference aims to bring together scholars that are shaping, shall we say, potential new chapters of the book?

Call for papers

We invite submissions of papers in all areas of financial econometrics. In particular, we encourage papers on the following topics:

- Financial networks

- Financial technology and market design

- Financial applications of machine learning

- Individual investor portfolios, preferences, and strategies

- Market microstructure and high-frequency trading

- Liquidity in all of its incarnations

- Systemic risk measurement and management

Submissions should be sent by email to econometrics@sbs.su.se no later than December 1, 2016. The program will consist of keynote speeches, paper presentations with discussants, and a poster session. Please indicate in the submission email whether the paper should also be considered for the poster session (aimed at PhD students and junior faculty).  Authors of selected papers will be notified by January 23, 2017.

Program committee

Yacine Aït-Sahalia (Princeton)

Terrence Hendershott (Berkeley)

Mila Getmansky Sherman (UMass Amherst)

Björn Hagströmer (Stockholm Business School)

Leonid Kogan (MIT)

Sydney C. Ludvigson (NYU)

Albert J. Menkveld (VU Amsterdam)

Motohiro Yogo (Princeton)

Organizing committee

Björn Hagströmer, Stockholm Business School

Lu Liu, Stockholm Business School

Albert J. Menkveld, VU University Amsterdam

Doris Rehnström, Stockholm Business School

Abalfazl Zareei, Stockholm Business School


For any questions regarding this event, please email us at econometrics@sbs.su.se