Torben Gustav Andersen

Torben Gustav Andersen is the Nathan S. and Mary P. Sharp Professor of Finance at the Kellogg School of Management, Northwestern University. He has been a faculty member since 1991 and holds positions as a Research Associate at the National Bureau of Economic Research (NBER), an International Associate at CoRE in Denmark, and a Research Fellow at the Canadian Derivatives Institute (CDI). His research focuses on volatility modeling, asset pricing, and market microstructure using high-frequency data. He has served as Editor-in-Chief of the Journal of Business and Economic Statistics and Co-Editor of the Journal of Financial Econometrics and the Journal of Econometrics. Andersen has received numerous awards, including Fellowships from the Econometric Society, SoFiE, and the Journal of Econometrics.

Education:

• PhD in Economics, Yale University, 1992
• MPhil in Economics, Yale University, 1988
• MA in Economics and Mathematics, University of Aarhus, 1985
• BA in Economics, University of Aarhus, 1980

Research Interests: Financial econometrics, asset pricing, empirical finance, international finance, and market microstructure. His work emphasizes volatility modeling, high-frequency data analysis, and their applications to derivatives pricing, portfolio selection, and risk management.

Awards & Honors:

• Fellow of the Econometric Society (2008)
• Fellow of the Society for Financial Econometrics (SoFiE, 2013)
• Bates-White Prize for Best Paper (2022-2023)
• Elected Distinguished Fellow of IETI

Grants & Consulting: Recipient of grants from the NSF, Sloan Foundation, and Cboe Global Markets. Advised institutions like the Federal Reserve and foreign central banks. Co-developed the LTV and SPOTVOL indices with Viktor Todorov.

Leadership: Chair of the Kellogg Finance Department (2015-2017), President-Elect of SoFiE (2025 onward), and organizer of international conferences in financial econometrics.