SMU SOE Economics Lecture Series (Nov 14, 2022, 9.15am-10.30am): Clustering Methods in Financial Economics

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Clustering Methods in Financial Economics

I will give a high-level overview of k-means clustering and some applications.

Some relevant papers:

1) Patton, A.J. and B.M. Weller, 2022, Risk Price Variation: The Missing Half of Empirical Asset Pricing, Review of Financial Studies, 35(11), 5127-5184.

2) Patton, A.J. and B.M. Weller, 2022, Testing for Unobserved Heterogeneity via k-means Clustering, Journal of Business & Economic Statistics, forthcoming.

ANDREW PATTON

Zelter Family Distinguished Professor of Economics and Professor of Finance

Duke University

Andrew Patton is the Zelter Family Distinguished Professor of Economics and Professor of Finance at Duke University, and the President-elect of the Society for Financial Econometrics. His research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, and empirical asset pricing. His research has appeared in a variety of academic journals, including Econometrica, Journal of the American Statistical Association, Journal of Finance, and Review of Financial Studies. He has served on the editorial boards of leading journals in econometrics and finance, and on the Federal Reserve Board’s Model Validation Council. Patton has previously taught at the London School of Economics, the University of Oxford, and New York University. He completed his undergraduate studies in finance and statistics at the University of Technology, Sydney, and his PhD in economics at the University of California, San Diego.

Please view the CV here.