Torben Gustav Andersen

About

Torben Gustav Andersen is the Nathan S. and Mary P. Sharp Professor of Finance at the Kellogg School of Management. He joined the faculty in 1991 and has since established a distinguished career in financial econometrics, asset pricing, empirical finance, derivatives, and market microstructure. His research centers on modeling volatility fluctuations in financial returns, with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. Currently, he explores the use of high-frequency security returns and option data for asset pricing, volatility forecasting, market microstructure, and risk management. Professor Andersen is a highly recognized scholar, elected Fellow of several prestigious societies including the Econometric Society, Society for Financial Econometrics (SoFiE), Society for Economic Measurement (SEM), and the International Association for Applied Econometrics (IAAE). He has served as Chair of the Finance Department at Kellogg and is the President-Elect of SoFiE, with a term spanning 2025-2027. His extensive publication record and editorial roles include serving as Editor-in-Chief for the Journal of Business and Economic Statistics and co-editing the Journal of Financial Econometrics and the Journal of Econometrics. He has also consulted for various financial institutions and regulatory agencies, and developed high-frequency indices disseminated by Cboe Global Markets. His academic background includes a PhD in…

Research topics

• Economics
• Econometrics
• Finance
• Mathematics
• Financial economics
• Computer Science
• Accounting
• Business
• Statistics
• Actuarial science

Selected publications

• Tail risk and return predictability for the Japanese equity market

  Journal of Econometrics · 2020 · 49 citations

  1st authorCorresponding
  DOI

• Intraday Periodic Volatility Curves

  Journal of the American Statistical Association · 2023-02-07 · 30 citations

  article1st author

  The volatility of financial asset returns displays pronounced variation over the trading day. Our goal is nonparametric inference for the average intraday volatility pattern, viewed as a function of time-of-day. The functional inference is based on a long span of high-frequency return data. Our setup allows for general forms of volatility dynamics, including time-variation in the intraday pattern. The estimation is based on forming local volatility estimates from the high-frequency returns over…

  PublisherDOI

• A Descriptive Study of High-Frequency Trade and Quote Option Data*

  Journal of Financial Econometrics · 2020 · 27 citations

  1st authorCorresponding

  Abstract This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option exchanges. We review the existing literature that utilizes high-frequency options data, summarizes the general structure of the OPRA dataset, and presents a thorough empirical description of the ob…

  DOI

• Local mispricing and microstructural noise: A parametric perspective

  Journal of Econometrics · 2021-07-26 · 21 citations

  article1st authorCorresponding
  PublisherDOI

• Intraday cross-sectional distributions of systematic risk

  Journal of Econometrics · 2022-12-20 · 12 citations

  article1st authorCorresponding
  PublisherDOI

Recent grants

• Econometric Tools for Analysis of Derivatives Data

  NSF · $290k · 2015–2019

Frequent coauthors

• Francis X. Diebold

  246 shared

• Tim Bollerslev

  Duke University

  224 shared

• Peter Christoffersen

  University of Toronto

  113 shared

• Luca Benzoni

  94 shared

• Tim Bollerslev

  Duke University

  80 shared

• Viktor Todorov

  56 shared

• Dobrislav Dobrev

  41 shared

• Secretaire De Redaction

  Institut des Arts de Diffusion

  40 shared

Labs

• Kellogg School of ManagementPI

Awards & honors

• Fellow of the Econometric Society (2008)
• Fellow of the Society for Financial Econometrics, SoFiE (201…
• Fellow of the Society for Economic Measurement (SEM) (2018)
• Fellow of the International Association for Applied Economet…
• Fellow of the Journal of Econometrics (2021)

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