Per Mykland

Robert M. Hutchins Professor of Statistics and Finance, and Scientific Director of the Stevanovich Center

Per Mykland is Robert M. Hutchins Distinguished Professor of Statistics and Finance at the University of Chicago, where he is also Scientific Director of the Stevanovich Center for Financial Mathematics. He is an Associate Member of the Oxford-Man Institute at the University of Oxford. He has held appointments at Oxford and Princeton.

Mykland’s main research interests are the statistics and econometrics for time dependent processes, including time series and and continuous processes. Highlights include the development of likelihood and expansion methods for martingales (fair games), especially in the context of estimating equations. The results have wide application, including the construction of new nonparametric likelihoods in time series and survival analysis.

His recent focus is high-frequency data, mainly in finance. In one breakthrough, he has shown how to connect the analysis of such data with classical statistical techniques. He has contributed to the theory of estimation under microstructure, including the development of the two-scales and pre-averaging estimators of volatility and other intra-day quantities. He has also developed an approach for integrating statistical and market information in the pricing and hedging of options, with a particular view to hedging against statistical uncertainty.

A long-run research goal is for a unified theory of continuous-time finance and high-frequency data. The former reasons through hypothetical high-frequency data, but now these data are no longer hypothetical but very real.

Professor Mykland is Associate Editor for several journals, including the Annals of Statistics, the Annals of Applied Statistics, the Journal of the American Statistical Association, and Journal of Financial Econometrics. He is a fellow of the Institute of Mathematical Statistics and the American Statistical Association. He has supervised fifteen PhD students, who are now spread between academia and industry.

Home Page

Mykland at Oxford

Mykland's publications

Math Genealogy, including graduated PhD students