Robert M. Hutchins Professor of Statistics and Finance, and Scientific Director of the Stevanovich Center, The University of Chicago
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. He is a leader in the field. 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, using contiguity. 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. Most recently, he has developed the “observed asymptotic variance”, which sets nonparametric standard errors for estimators based on high frequency data.
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 Journal of the American Statistical Association, and Journal of Financial Econometrics. He is a fellow of the Institute of Mathematical Statistics, the American Statistical Association and the Society for Financial Econometrics (SoFiE). He is a member of the Council of the SoFiE and has previously served on the Council of the Institute of Mathematical Statistics. Mykland is currently President of the Society for Financial Econometrics, from 2017 to 2019. He has supervised sixteen PhD students, who are now spread between academia and industry.
The owner of the Web page gratefully acknowledges the following grants from the National Science Foundation: DMS-89-02667, DMS-92-04504, DMS-93-05601, DMS 96-26266, DMS 99-71738, DMS 02-04639, DMS 06-04758, SES 06-31605, SES 11-24526, DMS 14-07812 and DMS 17-13129. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation. Also, the contents of the linked outside web pages do not necessarily reflect the views of the web page owner or the University of Chicago.