Research Team
This research is a joint venture between Professor Torben G. Andersen and Professor Viktor Todorov. They are both professors at Kellogg School of Management, Northwestern University.
Torben G. Andersen
Nathan S. and Mary P. Sharp Professor of Finance
Director of the International Business & Markets Program and Research Center
Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance. He joined the faculty in 1991 and is a Faculty Research Associate of the National Bureau of Economic Research (NBER) and an International Fellow of the Center for Research in Econometric Analysis of Economic Time Series (CREATES) in Aarhus, Denmark. In addition, Professor Andersen was elected Fellow of the Econometric Society in 2008, and Fellow of the Society for Financial Econometrics, SoFiE, in 2013, and Fellow of the Society for Economic Measurement (SEM) in 2018. He served as Chair of the Finance Department for the period 2015-2017. Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management. He has received grants from the National Science Foundation, the Sloan Foundation, and the Institute for Quantitative Research in Finance (the Q-Group). He served as the editor-in-chief for the Journal of Business and Economic Statistics in 2004-2006, Co-Editor for the Journal of Financial Econometrics, 2009-2014, and has served on the editorial board of leading journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, and Management Science. Professor Andersen has consulted for the Brattle Group, trading firms, the Federal Reserve Board of Governors, regional Federal Reserve Banks, foreign Central Banks, and universities. He received his PhD in Economics from Yale University.
Viktor Todorov
Harold H. Hines Jr. Professor of Risk Management
Co-chair of Faculty Research
Viktor Todorov is Harold H. Hines Jr. Professor of Risk Management and Professor of Finance at the Kellogg School of Management, Northwestern University. Professor Todorov is a Fellow of the Society for Financial Econometrics and the Journal of Econometrics. His research interests are in the areas of theoretical and empirical asset pricing, econometrics and applied probability. He has published extensively in these fields. His recent work focuses on the robust estimation of asset pricing models using high-frequency financial data as well as the development and application of parametric and nonparametric methods of inference for studying risks and risk premia using derivatives markets data. He currently serves as a Co-Editor for Econometric Theory, and is on the editorial board of a number of leading academic journals, including Econometrica and the Journal of Econometrics. He received his PhD in Economics from Duke University in 2007.
Wenju Jiang
Empirical Research Fellow
Wenju Jiang is Empirical Research Fellow at the Kellogg School of Management, Northwestern University. He has been working in the research team of Professor Andersen and Torodov since 2018 and assisted their research projects on empirical asset pricing and econometrics. Before joining Kellogg, he was a quantitative trader at a Hong Kong-based hedge fund. He received his Bachelor and Master degrees from the Hong Kong University of Science and Technology.
YANG ZHANG
Post-doctoral Research Fellow
Yang Zhang is a Post-doctoral Research Fellow in the Finance Department at Kellogg School of Management, Northwestern University. She joined the research team of Professors Torben Andersen and Viktor Todorov in 2018 and has been working on spot volatility inference and management using information from derivative markets. She received her PhD in Finance from Durham University in the United Kingdom in 2018.