Yacine Aït-Sahalia (born 1966) is the Otto Hack 1903 Professor of Finance and Economics at
Princeton University
Princeton University is a private university, private research university in Princeton, New Jersey. Founded in 1746 in Elizabeth, New Jersey, Elizabeth as the College of New Jersey, Princeton is the List of Colonial Colleges, fourth-oldest ins ...
. His primary area of research is
financial econometrics
Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corpo ...
. He has been serving as the inaugural director of the
Bendheim Center for Finance
Bendheim Center for Finance (BCF) is an interdisciplinary center at Princeton University. It was established in 1997 at the initiative of Ben Bernanke and is dedicated to research and education in the area of money and finance, in lieu of there ...
at Princeton University from 1998 until 2014. Prior to that, he was an assistant professor (1993–96), associate professor (1996–98) and professor of finance (1998) at the
University of Chicago Booth School of Business
The University of Chicago Booth School of Business (Chicago Booth or Booth) is the graduate business school of the University of Chicago. Founded in 1898, Chicago Booth is the second-oldest business school in the U.S. and is associated with 10 N ...
.
He received his
undergraduate
Undergraduate education is education conducted after secondary education and before postgraduate education. It typically includes all postsecondary programs up to the level of a bachelor's degree. For example, in the United States, an entry-lev ...
degree from
École Polytechnique
École may refer to:
* an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée)
* École (river), a tributary of the Seine flowing in région Île-de-France
* École, Savoi ...
in
Paris
Paris () is the capital and most populous city of France, with an estimated population of 2,165,423 residents in 2019 in an area of more than 105 km² (41 sq mi), making it the 30th most densely populated city in the world in 2020. S ...
,
France
France (), officially the French Republic ( ), is a country primarily located in Western Europe. It also comprises of Overseas France, overseas regions and territories in the Americas and the Atlantic Ocean, Atlantic, Pacific Ocean, Pac ...
in 1987, his master's degree from
ENSAE ParisTech
ENSAE Paris (officially École nationale de la statistique et de l'administration économique Paris) is a university in France, known as Grandes Ecoles and a member of IP Paris (Institut Polytechnique de Paris). ENSAE Paris is known as the spec ...
in 1989, and received his
Ph.D.
A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is ...
in
economics
Economics () is the social science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services.
Economics focuses on the behaviour and intera ...
from the
Massachusetts Institute of Technology
The Massachusetts Institute of Technology (MIT) is a private land-grant research university in Cambridge, Massachusetts. Established in 1861, MIT has played a key role in the development of modern technology and science, and is one of the ...
in 1993.
He has served as editor of the ''
Review of Financial Studies
''The Review of Financial Studies'' is a peer-reviewed academic journal covering the field of finance. It is published by Oxford University Press on behalf of the Society for Financial Studies. It was established following discussions at the 19 ...
'' (2003–2006), co-managing editor of the ''
Journal of Econometrics
The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors.
The journal publishes work deal ...
'' (2012-2018), and associate editor of the ''
Annals of Statistics
The ''Annals of Statistics'' is a peer-reviewed statistics journal published by the Institute of Mathematical Statistics. It was started in 1973 as a continuation in part of the '' Annals of Mathematical Statistics (1930)'', which was split into th ...
'' (2003–2006), ''
Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Gui ...
'' (2007–2013), the ''
Journal of Finance
''The Journal of Finance'' is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946 and is considered to be one of the premier finance journals. The editor-in-chief ...
'' (2007–2010), ''
Finance and Stochastics'' (1996–2011), the ''
Journal of Econometrics
The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors.
The journal publishes work deal ...
'' (1999–2012) and the ''
Journal of Financial Econometrics
The ''Journal of Financial Econometrics'' is a peer reviewed academic journal of econometrics. It is published by Oxford University Press. Its editors are Allan Timmermann (UC San Diego) and Fabio Trojani (University of Geneva).
Abstracting and ...
'' (2001–2011). He served as director of the
Western Finance Association
The Western Finance Association (WFA) is an international professional society for academicians and practitioners with a scholarly interest in the development and application of research in finance.
Its purpose is:
*to serve as a focal point for c ...
(2003–2006) and is a research associate for the
National Bureau of Economic Research
The National Bureau of Economic Research (NBER) is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic c ...
(since 1995).
Research
Aït-Sahalia's research has concentrated on the estimation of continuous-time models in financial economics. His primary contributions include the development of nonparametric methods for estimating and testing these models, of expansions to implement maximum-likelihood estimation of arbitrary models using discrete data, and numerous advances in the estimation and testing of models using
high frequency data
High frequency data refers to time-series data collected at an extremely fine scale. As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis.Ruey S. Tsay (200 ...
with a focus on understanding the role and importance of
jumps
Jumping or leaping is a form of locomotion or movement in which an organism or non-living (e.g., robotic) mechanical system propels itself through the air along a ballistic trajectory. Jumping can be distinguished from running, galloping and o ...
.
Awards
Yacine Aït-Sahalia received fellowships from the
Alfred P. Sloan Foundation (1998–1999) and the
John Simon Guggenheim Memorial Foundation
The John Simon Guggenheim Memorial Foundation was founded in 1925 by Olga and Simon Guggenheim in memory of their son, who died on April 26, 1922. The organization awards Guggenheim Fellowship
Guggenheim Fellowships are grants that have been ...
(2008–2009). He was elected a Fellow of the
Econometric Society
The Econometric Society is an international society of academic economists interested in applying statistical tools to their field. It is an independent organization with no connections to societies of professional mathematicians or statisticians. ...
in 2002, of the
Institute of Mathematical Statistics
The Institute of Mathematical Statistics is an international professional and scholarly society devoted to the development, dissemination, and application of statistics and probability. The Institute currently has about 4,000 members in all parts o ...
in 2004, of the
American Statistical Association
The American Statistical Association (ASA) is the main professional organization for statisticians and related professionals in the United States. It was founded in Boston, Massachusetts on November 27, 1839, and is the second oldest continuousl ...
in 2008 and of the
Society for Financial Econometrics in 2013. He is a Fellow of the ''Journal of Econometrics'' (1998).
He received awards for research excellence, including the
Dennis J. Aigner Award (''Journal of Econometrics'', 2003), the
FAME Annual Research Prize (2001), the
Cornerstone Research Award (1998), the
Michael J. Brennan Award (1997) and the ''
Review of Economic Studies Tour'' (1993).
References
External links
Bendheim Center for Finance website
{{DEFAULTSORT:Ait-Sahalia, Yacine
MIT School of Humanities, Arts, and Social Sciences alumni
École Polytechnique alumni
Princeton University faculty
1966 births
Living people
Fellows of the Econometric Society
Fellows of the American Statistical Association
Economics journal editors
Econometricians