# SoFiE Conferences
## SoFiE Conferences
The Society for Financial Econometrics (SoFiE) holds a number of conferences each year including its Annual Conference, held each year during June at a rotating location.
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## Upcoming Conferences
**Conference**
**Eighteenth Annual SoFiE Conference**
**Date:** June 17-19, 2026, Pre-Conference June 16, 2026
**Conference Location:** The Faculty of Business Administration, University of Macau
**Conference Website:**
**Registration:**
**Program:** [**https://fba.um.edu.mo/sofie2026/programme/**](https://fba.um.edu.mo/sofie2026/programme/)
**Call for Papers:** [Details](https://www.stern.nyu.edu/sites/default/files/2026-01/CFP%202026.1.19.pdf)
## Past Conferences
**ANNUAL SoFiE CONFERENCES:**
**Eighteenth Annual SoFiE Conference**
Bates-White Best Paper Award: **Allan Timmermann and Luka Vulicevic, "**Compute, Complexity, and the Scaling Laws of Return Predictability."
SoFiE Best Paper pre-, post-Conference: **Xiao Zhang, "**When Buys Move Markets More Than Sells"
Engle Prize for Best Paper in Journal of Financial Econometrics: **Lin Fan, Junting Duan, Peter Glynn, and Markus Pelger**, "Change-Point Testing for Risk Measures in Time Series"
**Seventeenth Annual SoFiE Conference**
June 9-12, 2025 [ESSEC Business School, Cergy Campus/Paris, France](https://sites.google.com/essec.edu/sofie-conference-2025/home)
Bates-White Best Paper Award: Jean Jacod and **Nour Meddahi**, “High-Frequency Returns Sign-Based Robust Inference”
SoFiE Best Paper pre-, post-Conference: **Pierluigi Vallarino**, Daniele Massacci, Lucio Sarno
and Lorenzo Trapani, “A general randomized test of Mean-Variance efficiency.”
**Sixteenth Annual SoFiE Conference**
June 13-16, 2024 [Pontifical Catholic University of Rio de Janeiro, Brazil](https://sites.google.com/view/sofie2024/home)
Bates-White Best Paper Award: **Dacheng Xiu**, “Can Machines Learn Weak Signals?”
SoFiE Best Paper pre-, post-Conference: **Eric Wilson**, “The value of economic regularization for stock return predictability.”
**Fifteenth Annual SoFiE Conference**
June 15-18, 2023: [Sungkyunkwan University, Seoul, South Korea](https://sofie2023seoul.skku.edu/sofie/index.do)
Bates-White Best Paper Award: **Svetlana Bryzgalova**, Victor DeMiguel, Sicong Li, Markus Pelger, “Asset-Pricing Factors with Economic Targets.”
SoFiE Best Paper pre-, post-Conference: **Evgenii Vladimirov**, “iCOS: Option-Implied COS method.”
**Fourteenth Annual SoFiE Conference (Europe)**
June 24-27, 2022: [Janeway Institute, Faculty of Economics at the University of Cambridge, UK](https://www.janeway.econ.cam.ac.uk/event/fourteenth-annual-sofie-conference)
Bates-White Best Paper Award: **Torben Andersen**, “Intraday Cross Sectional Distributions of Systematic Risk.”
SoFiE Best Paper pre-, post-Conference: **Aditya Chaudhry**, “Great Expectations? The Causal Impact of Subjective Expected Returns on Asset Prices.”
**Thirteenth Annual SoFiE Conference (North America)**
June 14-17, 2021: [The Rady School of Management at the University of California, San Diego](https://sofie2021.rady.ucsd.edu/)
Bates-White Best Paper Award: **Raymond Kan**, “Finite Sample Analysis of Predictive Regressions with Long Horizon Returns.”
SoFiE Best Paper pre-, post-Conference: **Kristy Jansen** and Jiening Pan, “Long term investors, demand shifts, and yields.”
**Twelfth Annual SoFiE Conference (Asia)**
June 11-14, 2019: [Shanghai, China, the School of Economics and School of Data Science](http://www.econ.fudan.edu.cn/sofie2019/)
[at Fudan University](http://www.econ.fudan.edu.cn/sofie2019/)
**Eleventh Annual SoFiE Conference (Europe)**
June 11-14, 2018: [Lugano, Switzerland, Università della Svizzera Italiana (USI)](http://www.sofie2018.usi.ch/)
**Tenth Annual SoFiE Conference (North America)**
June 20-23, 2017: [NYU Stern Volatility Institute, Salomon Center, Finance Department and Investment Technology Group](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/sofie-conference-2017)
**Ninth Annual SoFiE Conference (Asia)**
June 14-17, 2016: [City University of Hong Kong and GRU (Hong Kong)](http://www.cb.cityu.edu.hk/conference/2016-sofie/)
**Eighth Annual SoFiE Conference (Europe)**
June 23-26, 2015: [CREATES at Aarhus University and the Danish National Research Foundation (Denmark)](http://creates.au.dk/sofie)
**Seventh Annual SoFiE Conference (North America)**
June 11-13, 2014: [Rotman School of Management and the Global Risk Institute in Financial Services (Canada)](http://inside.rotman.utoronto.ca/rgri/2-2014-conference-details/)
**Sixth Annual SoFiE Conference (Asia)**
June 12-14, 2013: [Sim Kee Boon Institute for Financial Econometrics, Singapore Management University & the Risk Management Institute, National University of Singapore (Singapore)](http://skbi.smu.edu.sg/conference/SoFie2013?itemid=501)
**Fifth Annual SoFiE Conference (Europe)**
June 20-22, 2012: [Oxford-Man Institute at the University of Oxford (England)](https://sofie.stern.nyu.edu/oxford2012)
**Fourth Annual SoFiE Conference (North America)**
June 15-17, 2011: [University of Chicago (USA)](https://sofie.stern.nyu.edu/chicago2011)
**Third Annual SoFiE Conference (Asia)**
June 16-18, 2010: [University of Melbourne (Australia)](https://sofie.stern.nyu.edu/melbourne)
**Second Annual SoFiE Conference (Europe)**
June 10-12, 2009: [Swiss Finance Institute at the University of Geneva (Switzerland)](https://sofie.stern.nyu.edu/node/53)
**Inaugural SoFiE Conference (North America)**
June 4-6, 2008: [NYU Stern School of Business (USA)](https://sofie.stern.nyu.edu/node/51)
**SoFiE-SPONSORED JOINT CONFERENCES:**
**With the University of Chicago, Stevanovich Center**
October 3-5, 2024: “Big Data and Machine Learning in Econometrics, Finance, and Statistics”
Location: Chicago, IL
**CIREQ-CMP Econometrics Conference in Honor of Eric Ghysels**
10-11 May 2024 (ITHQ)
Location: Montreal
Conference Website: [Click here](https://cireqmontreal.com/en/?p=77741)
**With the University of Chicago, Stevanovich Center**
May 9-10, 2024: “Market Microstructure, Quantitative Trading, High Frequency and Large Data”
Location: Chicago, IL
**With the Journal of Financial Econometrics**
May 9-10, 2024: “Fixed Income Markets and Inflation”
Location: Chicago
Details: [Click here](https://www.stern.nyu.edu/sites/default/files/2023-12/Call%20for%20Papers%20FRBC-FRBSF-JFEC%20fixed%20income%20and%20inflation.pdf)
**With the NYU Stern Volatility and Risk Institute (Fourth Annual Conference)**
April 28, 2023: "Managing Compound Risks in a Polycrisis World"
Location: New York, NY
Conference Website: [Click here](https://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-and-risk-institute/events/past-conferences/managing-compound-risks-polycrisis-world)
**With the NYU Stern Volatility and Risk Institute (Third Annual Conference)**
April 29, 2022: "Macroeconomic Consequences and Implications of Decarbonization"
Location: New York, NY
Conference Website: [Click here](https://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-and-risk-institute/events/past-conferences/macroeconomic-consequences-and-implications-decarbonization)
**With the NYU Stern Volatility and Risk Institute (Second Annual Conference)**
April 30, 2021: "A Financial Risk Framework For Climate Change: Portfolio Construction, Stress Testing, and Risk Transfer"
Location: (Virtual) New York, NY
Conference Website: [Click here](https://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-and-risk-institute/events/past-conferences/second-annual-volatility-and-risk-institute-conference-2021)
**With the The Kenan Institute of Private Enterprise at the University of North Carolina at Chapel Hill**
March 5, 2021: "2021 SoFiE Machine Learning Virtual Conference"
Location: (Virtual) The Kenan Institute of Private Enterprise at the University of North Carolina at Chapel Hill
Conference Website: [Click here](https://kenaninstitute.unc.edu/rethinc/index.php/event/virtual-event-rethinc-labs-2021-sofie-machine-learning-virtual-conference/)
Conference Video: [Click here](https://www.youtube.com/watch?v=ufZP1NbWAZs&list=PL4Bi5H5vaNCqOkUoZvdNTkjzn_DmEwqrl)
**With the NYU Stern Volatility and Risk Institute (Inaugural Volatility and Risk Institute Conference)**
April 24, 2020: "Cyber Resilience in the Time of COVID-19: Managing the Consequences of Risk Contagion"
Location: (Virtual) New York, NY
Conference Website: [Click here](https://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-and-risk-institute/events/past-conferences/inaugural-vri-conference)
**With the University of Chicago, Stevanovich Center**
May 2 - 4 2019: "Market Microstructure and High Frequency Data"
Location: Chicago, IL
Conference Website: [Click here](https://stevanovichcenter.uchicago.edu/conferences/)
**With the NYU Stern Volatility and Risk Institute (Eleventh Annual Conference)**
April 26, 2019: "Financial Volatility in an Age of Geopolitical Risks"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/upcoming-conferences)
**With the University of Chicago, Stevanovich Center**
October 3 - 5 2019: "Big Data and Machine Learning in Econometrics, Finance, and Statistics"
Location: Chicago, IL
Conference Website: [Click here](https://stevanovichcenter.uchicago.edu/conferences/)
**With the University of Chicago, Stevanovich Center**
July 23 - 27 2018: "Machine Learning and Finance: The New Empirical Asset Pricing"
Location: Chicago, IL
Conference Website: [Click here](https://stevanovichcenter.uchicago.edu/page/2018-conferences)
**With Aix-Marseille University**
May 30 - June 1, 2018: "Quantitative Finance and Financial Econometrics"
Location: Aix-Marseille School of Economics (AMSE)
Conference Website: [Click here](http://qffe2018.sciencesconf.org/)
**With the University of Chicago, Stevanovich Center**
May 10 - 12 2018: "New Aspects on Statistics, Financial Econometrics, and Data Science"
Location: Chicago, IL
Conference Website: [Click here](https://stevanovichcenter.uchicago.edu/page/2018-conferences)
**With the University of Chicago, Stevanovich Center**
May 3 - 5 2018: "Market Microstructure and High Frequency Data"
Location: Chicago, IL
Conference Website: [Click here](https://stevanovichcenter.uchicago.edu/page/2018-conferences)
**With the NYU Stern Volatility Institute (Tenth Annual Conference)**
April 27, 2018: "A Financial Approach to Climate Risk"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/past-conferences/10th-annual-volatility-institute-conference-financial-approach-climate-risk)
**With the NYU Stern Volatility Institute (Ninth Annual Conference)**
April 27, 2017: "Derivatives and Volatility: The State of the Art"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/past-conferences/derivatives-and-volatility-state-art-2017)
**With Lancaster University**
June 30 - July 1, 2016: "Conference on Financial Econometrics & Empirical Asset Pricing"
Location: Lancaster, UK
Conference Website: [Click here](http://www.lancaster.ac.uk/lums/finec/)
**With the NYU Stern Volatility Institute (Eighth Annual Conference)**
April 29, 2016: "Commodities and Emerging Market Risks"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/upcoming-conferences)
**With the NYU Stern Volatility Institute (Seventh Annual Conference)**
April 24, 2015: "Fixed Income Risk: Measurement, Modeling and Management"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/upcoming-conferences)
**With Center on Sustainable Architecture for Finance in Europe (SAFE) at Goethe University Frankfurt, Center for Financial Research at Waseda University, NYU Stern Salomon Center for the Study of Financial Institutions, and the European Central Bank**
March 10-11, 2015: "2nd International Conference on Sovereign Bond Markets: Determinants of Sovereign Bonds Yields and the Effectiveness of Central Bank Intervention"
Location: Frankfurt am Main, Germany
Conference Website: [Click here](http://www.greta.it/sovereign/conferences.htm#)
Conference Program: [Click here](http://www.greta.it/sovereign/sovereign2/programme.htm)
**With Banque de France and Régulation et Risques Systémiques**
July 3-4, 2014: "Systemic Risk and Financial Regulation"
Location: Paris, France
Conference Website: [Click here](https://www.banque-france.fr/en/economics-statistics/research/seminars-and-symposiums/systemic-risk-and-financial-regulation.html)
Conference Program:[ Click here](https://sofie.stern.nyu.edu/sites/default/files/ConFSRFRprogram.pdf)
**With the Faculty of Economics of Cambridge University and the Institute for New Economic Thinking(INET)**
April 28-29, 2014: "Skewness, Heavy Tails, Market Crashes, and Dynamics"
Location: Cambridge, UK
Conference Website: [Click here](https://sites.google.com/site/skewness2014cam/home)
INET Master Class with Prof. Eric Ghysels: [Click here](https://sofie.stern.nyu.edu/sites/default/files/Poster-Ghysels.pdf)
INET Master Class with Prof. Paul Embrechts: [Click here](https://sofie.stern.nyu.edu/sites/default/files/Poster-paul.pdf)
**With the NYU Stern Volatility Institute (Sixth Annual Conference)**
April 25, 2014: "Market Liquidity and Funding Liquidity: Implications for Economic Risk"
Location: New York, NY
Conference Website:[ Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/past-conferences/market-liquidity-funding-liquidity-implications-economic-risk-2014)
Conference Program:[ Click here](http://www.stern.nyu.edu/sites/default/files/assets/documents/con_047612.pdf)
**With the Swiss Finance Institute (SFI), and Labex Louis Bachelier**
October 11-12, 2013: "Large-Scale Factor Models in Finance Conference"
Location: Lugano, Switzerland
Conference Website: [Click here](http://sofielugano.weebly.com/)
**With the NYU Stern Volatility Institute (Fifth Annual Conference)**
April 26, 2013: "Volatility of Credit Risk"
Location: New York, NY
Conference Website:[ Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/upcoming-conferences/index.htm)
Conference Program:[ Click here](https://sofie.stern.nyu.edu/sites/default/files/VI%20Conference%202013%20Program%20FINAL.pdf)
**With the Getulio Vargas Foundation**
December 13-14, 2012: "Asset Pricing and Portfolio Allocation in the Long Run"
Location: Rio de Janeiro, Brazil
Conference Website: [Click here](http://epge.fgv.br/conferencias/longrun/)
Conference Program: [Click here](https://sofie.stern.nyu.edu/sites/default/files/LongRun%202012%20Program_Final.pdf)
**With the National Centre for Economic Research, Queensland University of Technology**
July 9, 2012: "Volatility Modelling and Financial Decision Making"
Location: Brisbane, Australia
Conference Website: [Click here](http://www.ncer.edu.au/events/Sofie-conference.jsp)
**With the NYU Stern Volatility Institute (Fourth Annual Conference)**
April 27, 2012: "Co-movement of Volatilities, Returns and Tails"
Location: New York, NY
Conference Website: [Click here](http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute/events/upcoming-conferences/index.htm)
Conference Program: [Click here](https://sofie.stern.nyu.edu/sites/default/files/VI%20Conference%202012%20Program%20FINAL_0.pdf)
**With Tinbergen Institute**
March 27, 2012: "Measuring and Understanding Asset Price Changes: The Price of Liquidity, and the Liquidity of Price"
Location: Amsterdam, Netherlands
Conference Website: [Click here](http://www.tinbergen.nl/~sofie2012/)
**With the Federal Reserve Bank of New York and the NYU Stern Volatility Institute**
November 17, 2011: "Global Systemic Risk"
Location: New York, NY
Conference Website: [Click here](http://www.newyorkfed.org/research/conference/2011/global_sysrisk.html)
**With the NYU Stern Volatility Institute (Third Annual Conference)**
April 8, 2011: "Long-Term Volatility and Economic Fundamentals"
Location: New York, NY
Conference Website: [Click here](http://w4.stern.nyu.edu/volatility/conference_2011/)
**With the Depository Trust & Clearing Corporation and the NYU Stern Volatility Institute**
November 17, 2010: "Managing Counterparty and Systemic Risk Under Dodd-Frank"
Location: New York, NY
**With CREATES, Aarhus University**
October 15-16, 2010: "Measuring and Predicting Risk from Financial High-Frequency Data"
Location: Aarhus, Denmark
Conference Website: [Click here](http://econ.au.dk/da/research/research-centres/creates/activities/conferences-and-symposia/conferences-and-symposia-2010/sofie-creates-joint-conference/)
**With NYU's Volatility Institute and the Nasdaq OMX Derivatives Research Project**
October 15, 2010
Location: New York, NY
**With the NYU Stern Volatility Institute (Second Annual Conference)**
April 16, 2010: "Volatility and Systemic Risk"
Location: New York, NY
**With the The Stevanovich Center at the University of Chicago**
October 30, 2009: "Liquidity, Credit Risk, and Extreme Events"
Location: Chicago, IL
Conference Website: [Click here](http://stevanovichcenter.uchicago.edu/conferences/liquidity2/program.shtml)
**With the NYU Stern Volatility Institute (Inaugural Conference)**
April 3rd, 2009: "Volatilities and Correlations in Stressed Markets"
Location: New York, NY