This simple question does not have a simple answer. The boundary of such an interdisciplinary area is always moot and any attempt to give a formal definition is unlikely to be successful. Broadly speaking, financial econometrics is to study quantitative problems arising from finance. It uses statistical techniques and economic theory to address a variety of problems from finance. These include building financial models, estimation and inferences of financial models, volatility estimation, risk management, testing financial economics theory, capital asset pricing, derivative pricing, portfolio allocation, risk-adjusted returns, simulating financial systems, hedging strategies, among others. Technological invention and trade globalization have brought us into a new era of financial markets. Over the last three decades, enormous number of new financial products have been created to meet customers demands. For example, to reduce the impact of the fluctuations of currency exchange rates on a firms finance, which makes its profit more predictable and competitive, a multinational corporation may decide to buy the options on the future of foreign exchanges; to reduce the risk of price fluctuations of a commodity (eg lumbers, corns, soybeans), a farmer may enter into the future contracts of the commodity; to reduce the risk of weather exposures, amuse parks (too hot or too cold reduces the number of visitors) and energy companies may decide to purchase the financial derivatives based on the temperature. An important milestone is that in the year 1973, the worlds first options exchange opened in Chicago. At the very same year, Black and Scholes (1973

Past, Present, and Future of Statistical Science was commissioned in 2013 by the Committee of Presidents of Statistical Societies (COPSS) to celebrate its 50th anniversary and the International Year of Statistics. COPSS consists of five charter member statistical societies in North America and is best known for sponsoring prestigious awards in stat

This is the <i>Leonardo da Vinci Lecture</i> given in Milan in March 2006. It is a survey on the concept of space-time over the last 3000years: it starts with Euclidean geometry, discusses the contributions of Gauss and Riemannian geometry, presents the dynamic concept of space-time in Einsteins general relativity, describes the importance of symmetries, and ends with Calabi-Yau manifolds and their importance in todays string theories in the attempt for a unified theory of physics.

This volume presents selections of Peter J. Bickels major papers, along with comments on their novelty and impact on the subsequent development of statistics as a discipline. Each of the eight parts concerns a particular area of research and provides new commentary by experts in the area. The parts range from Rank-Based Nonparametrics to Function Estimation and Bootstrap Resampling. Peters amazing career encompasses the majority of statistical developments in the last half-century or about about half of the entire history of the systematic development of statistics. This volume shares insights on these exciting statistical developments with future generations of statisticians. The compilation of supporting material about Peters life and work help readers understand the environment under which his research was conducted. The material will also inspire readers in their own research-based pursuits. This volume includes new photos of Peter Bickel, his biography, publication list, and a list of his students. These give the reader a more complete picture of Peter Bickel as a teacher, a friend, a colleague, and a family man.

This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection methods are effective in sparse high-dimensional modeling. The limits of dimensionality that regularization methods can handle, the role of penalty functions, and their statistical properties are detailed. Some recent advances in sparse ultra-high-dimensional modeling are also briefly discussed.

It is a great honor for me to be invited by Tsinghua University to talk today. Tsinghua has, in its history, made many contributions to mathematics. The two most famous mathematicians in modern Chinese history have both been closely related to Tsinghua University. One is Professor Hua Lo-Keng, the other is Prof essor Chern Shiing-Sheng. Especially since Professor Chern is my teacher, I feel proud to be able to say some words in the opening ceremony for the Center for Advanced Study. I chose the title of my talk also for this reason. Due to my critical comments, I have decided to spend most of my time in giving a general talk in English. The remainder of the talk will be in Chinese.

We present an evolution method for designing the styling curves of garments. The procedure of evolution is driven by aesthetics-inspired scores to evaluate the quality of styling designs, where the aesthetic considerations are represented in the form of streamlines on human bodies. A dual representation is introduced in our platform to process the styling curves of designs, based on which robust methods for realizing the operations of evolution are developed. Starting from a given set of styling designs on human bodies, we demonstrate the effectiveness of set evolution inspired by aesthetic factors. The evolution is adaptive to the change of aesthetic inspirations. By this adaptation, our platform can automatically generate new designs fulfilling the demands of variations in different human bodies and poses.

The estimation of large covariance and precision matrices is fundamental in modern multivariate analysis. However, problems arise from the statistical analysis of large panel economic and financial data. The covariance matrix reveals marginal correlations between variables, while the precision matrix encodes conditional correlations between pairs of variables given the remaining variables. In this paper, we provide a selective review of several recent developments on the estimation of large covariance and precision matrices. We focus on two general approaches: a rankbased method and a factormodelbased method. Theories and applications of both approaches are presented. These methods are expected to be widely applicable to the analysis of economic and financial data.

The varying coefficient models are very important tool to explore the dynamic pattern in many scientific areas, such as economics, finance, politics, epidemiology, medical science, ecology and so on. They are natural extensions of classical parametric models with good interpretability and are becoming more and more popular in data analysis. Thanks to their flexibility and interpretability, in the past ten years, the varying coefficient models have experienced deep and exciting developments on methodological, theoretical and applied sides. This paper gives a selective overview on the major methodological and theoretical developments on the varying coefficient models.

This paper gives a brief overview of the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inference for instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline the main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.