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Michael Johannes: Understanding the Structure of High Frequency Asset Prices

Biography

Columbia Business School
Ann F. Kaplan Professor of Business

Biography

Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.

Teaching

Spring 2018

Capital Markets & Investments (EMBA)

Summer 2017

MS Finance Thesis, 3 points (PHD)
MS Finance Internship (PHD)
MS Finance Thesis, 1.5 points (PHD)

Spring 2017

Capital Markets & Investments (EMBA)
MS Finance Internship (PHD)

Fall 2016

Capital Markets & Investments (EMBA)

Spring 2016

Capital Markets & Investments (EMBA)
MS Finance Thesis, 1.5 points (PHD)
MS Finance Thesis, 3 points (PHD)

Summer 2015

MS Finance Internship (PHD)

Spring 2015

MS Finance Thesis, 3 points (PHD)
Capital Markets & Investments (EMBA)
Topics in Financial Markets (PHD)
MS Finance Thesis, 1.5 points (PHD)

Spring 2014

MS Finance Thesis, 1 point (MBA)
MS Finance Thesis, 2 points (MBA)
MS Finance Internship (MBA)
Capital Markets & Investments (EMBA)

Summer 2013

Capital Markets & Investments (EMBA)

Spring 2013

Capital Markets & Investments (EMBA)
MS Finance Internship (MBA)

Fall 2012

(PhD) Computational Bayesian Methods (PHD)

Spring 2012

Capital Markets & Investments (EMBA)

Research

Journal articles

Sequential learning, predictability, and optimal portfolio returns In Journal of Finance (2014)
Coauthor(s): Michael Johannes, Arthur Korteweg, Nicholas Polson

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Particle Learning and Smoothing In Statistical Science (2010)
Coauthor(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

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Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices In The Review of Financial Studies (2009)
Coauthor(s): Michael Johannes, Nicholas Polson, Jonathan Stroud

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Understanding index option returns In Review of Financial Studies (2009)
Coauthor(s): Mark Broadie, Mikhail Chernov, Michael Johannes

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MCMC Maximum Likelihood for Latent State Models In Journal of Econometrics (2007)
Coauthor(s): Eric Jacquier, Michael Johannes, Nicholas Polson

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The Impact of Collateralization on Swap Rates In The Journal of Finance (2007)
Coauthor(s): Michael Johannes, M. Suresh Sundaresan

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Model specification and risk premia: Evidence from futures options In Journal of Finance (2007)
Coauthor(s): Mark Broadie, Mikhail Chernov, Michael Johannes

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The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models In The Journal of Finance (2004)
Coauthor(s): Michael Johannes

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The Impact of Jumps in Equity Index Volatility and Returns In Journal of Finance (2003)
Coauthor(s): Bjørn Eraker, Michael Johannes, Nicholas Polson

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Chapters

Particle Learning for Sequential Bayesian Computation In Bayesian Statistics 9 (2011)
Coauthor(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

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Bayesian computation in finance In Frontiers of Statistical Decision Making and Bayesian Analysis (2010)
Coauthor(s): Satadru Hore, Michael Johannes, Hedibert Lopes, Robert McColluch, Nicholas Polson

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MCMC Methods for Financial Econometrics In Handbook of Financial Econometrics Vol. 2 (2009)
Coauthor(s): Michael Johannes, Nicholas Polson

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Particle Filtering In Handbook of Financial Time Series (2009)
Coauthor(s): Michael Johannes, Nicholas Polson

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Working papers

Robust Filtering and Learning (2013)
Coauthor(s): Michael Johannes, Nicholas Polson, Seung Yae

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Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis (2013)
Coauthor(s): Michael Johannes, Jonathan Stroud

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Learning about Consumption Dynamics (2011)
Coauthor(s): Michael Johannes, Yiqun Mou

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The Asset Pricing Implications of Priced Structural Parameter Uncertainty (2011)
Coauthor(s): Michael Johannes

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MCMC Methods for Expected Utility Calculations (2011)
Coauthor(s): Eric Jacquier, Michael Johannes, Nicholas Polson

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Exact Particle Filtering and Parameter Learning (2006)
Coauthor(s): Michael Johannes, Nicholas Polson

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Education PhD University of Washington (2000) PhD University of Washington (1993) MS University of Washington (1988) BS University of Science and Technology of China (1987) Academic Expertise crowdsourcing data analytics e-commerce economics of information systems social network analytics ...
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