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 ...

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 ...

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 ''

'' (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