- Statistics for stochastic processes
- Financial econometrics
- Statistics for stochastic (partial) differential equations
- High frequency and high dimensional financial data
- Asymptotic statistics
- Holder of the Chair of Applied Stochastics, University of Würzburg, since October 2020.
- W2-Professor for Stochastics, University of Marburg, February 2016 - September 2020.
- Junior Professor for Theoretical Econometrics and Statistics, Department of Economics, University of Mannheim, April 2015 - January 2016.
- Scientific employee of CRC 649, Economic Risk, Humboldt University of Berlin, 2011 - 2015.
- Guest researcher at University Pierre et Marie Curie (Paris VI), January - April 2014.
- Guest researcher and scholar of the German Academic Exchange Service at the Stevanovich Center for Financial Mathematics and the Department of Statistics at the University of Chicago, January - March 2012.
- Academic employee of the BMBF project FIDEUM (Financial derivatives in incomplete markets), University of Heidelberg and Humboldt University of Berlin, November 2007 - December 2010.
- Dr. rer. nat. at Humboldt University of Berlin in 2011.
- Diploma in Mathematics at University of Heidelberg in 2007.
- Scandinavian Journal of Statistics, since 2020
- Annals of the Institute of Statistical Mathematics, since 2020
- Statistical Inference for Stochastic Processes, since 2019
Scientific profile at
- Prize for outstanding dissertations by the probability & statistics group of the DMV (German Mathematical Society) .
Publications of Markus Bibinger at Google Scholar
- Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities (with Patrick Bossert), to appear in Japanese Journal of Statistics and Data Science (2023)
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion, Statistics & Probability Letters 161, (2020) doi: 10.1016/j.spl.2020.108725
- Volatility estimation for stochastic PDEs using high-frequency observations (with Mathias Trabs), Stochastic processes and their applications 130(5), pp. 3005-3052 (2020).
- On central limit theorems for power variations of the solution to the stochastic heat equation (with Mathias Trabs), in Stochastic Models, Statistics and Their Applications (Springer Proceedings in Mathematics & Statistics, PROMS, volume 294), pp. 69-84, Springer, Cham, (2019).
- Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book (with Christopher Neely and Lars Winkelmann), Journal of Econometrics 209(2), pp. 158-184 (2019).
- Change-point inference on volatility in noisy Itô semimartingales (with Mehmet Madensoy), Stochastic processes and their applications 129(12), pp. 4878-4925 (2019).
- Common price and volatility jumps in noisy high-frequency data (with Lars Winkelmann), Electronic Journal of Statistics 12(1), pp. 2018-2073 (2018).
- Estimating the spot covariation of asset prices - Statistical Theory and Empirical Evidence (with N. Hautsch, P. Malec and M. Reiß), Journal of Business and Economic Statistics 37(3), pp. 419-435 (2019).
- Nonparametric change-point analysis of volatility (with Moritz Jirak and Mathias Vetter), Annals of Statistics 45(4), pp. 1542-1578 (2017).
- Inference for Multi-Dimensional High-Frequency Data with an Application to Conditional Independence Testing (with Per A. Mykland), Scandinavian Journal of Statistics 43(4), pp. 1078-1102 (2016).
- Volatility estimation under one-sided errors with applications to limit order books (with Moritz Jirak and Markus Reiß), Annals of Applied Probability 26(5), pp. 2754-2790 (2016).
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (with Randolf Altmeyer), Stochastic Processes and their Applications 125(12), pp. 4556-4600 (2015).
- ECB monetary policy surprises: identification through cojumps in interest rates (with Lars Winkelmann and Tobias Linzert), Journal of Applied Econometrics 31(4), pp. 613-629 (2016).
- Econometrics of co-jumps in high-frequency data with noise (with Lars Winkelmann), Journal of Econometrics 184(2), pp. 361-378 (2015).
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (with Mathias Vetter), Annals of the Institute of Statistical Mathematics 67(4), pp. 707-743 (2015).
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (with N. Hautsch, P. Malec and M. Reiß), Annals of Statistics 42 (4), pp. 80–114 (2014).
- Spectral covolatility estimation from noisy observations using local weights (with Markus Reiß), Scandinavian Journal of Statistics 41(1), pp. 23–50 (2014).
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory, Stochastic Processes and their Applications 122(6), pp. 2411–2453 (2012).
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data, Scandinavian Journal of Statistics 38(1), pp. 23–45 (2011).
Preprint versions of all papers are on arXiv.
Working papers are listed at publications.
Book review on Measuring statistical evidence using relative belief; by Michael J. Evans [Chapman & Hall/CRC Press, Boca Raton, FL, 2015]. Journal of the American Statistical Association 111(514), 916–917, (2016).
- Gumbel convergence of the maximum of convoluted half-normally distributed random variables (2021)
- Applying volatility estimators based on limit order books (2014) (mit Moritz Jirak und Markus Reiß)
- Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters (2013)
- Asymptotics of Asynchronicity (2011)
- 2023: 64th ISI World Statistics Congress - Ottawa, Canada
- 2023: European Meeting of Statisticians (EMS) at Warsaw
- 2018 and 2015: WIAS-Seminar on Mathematical Statistics, Berlin
- 2018: Rhein-Main Kolloquium Stochastik, Mainz
- 2018: 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics, Lithuania
- 2018: Workshop on Statistical Inference in Energy Markets, Institut Henri Poincaré, Paris
- 2017: Conference on Digital Economy and Decision Analytics, Xiamen, China
- 2017: Colloquium des Instituts für Statistik und Operations Research, University of Vienna, Wien, Austria
- 2017: Seminar on Probability and Statistics, The University of Tokyo, Japan
- 2016: Conference ‘Market Microstructure and High-frequency data’, The Stevanovich Center for Financial Mathematics, Chicago, USA
- 2016: CREATES Seminar, Aarhus University, Denmark
- 2016: Econometrics Seminar, Cambridge University, UK
- 2015: Forschungsseminar Stochastische Analysis und Stochastik der Finanzmärkte, Technische Universität und Humboldt-Universität Berlin
- 2014: Symposium on Financial Engineering and ERM, Hitotsubashi University, Japan
- 2014: Séminaire Finance mathématique, probabilités numériques et statistique des processus, LPMA Paris
- 2013: Princeton-Humboldt conference, Princeton, USA
- 2012: The 3rd WISE-Humboldt-Workshop on “Nonparametric Nonstationary High-dimensional Econometrics”, Xiamen, China
- 2012: Workshop “Statistics for Stochastic Processes: Inference, Limit Theorems, Finance and Data Analysis”, Institut Louis Bachelier, Paris
- 2012: Financial Mathematics Seminar, The Stevanovich Center for Financial Mathematics, Chicago, USA
- 2011: Statistique Asymptotique des Processus Stochastiques (SAPS) VIII, Le Mans, France.
Organization of conferences and workshops:
• 2015: Conference Berlin Meeting on Statistical Analysis of Stochastic Processes
• 2014: Workshop Recent Advances in Statistics of High-Frequency Data
• 2012: Hermann Otto Hirschfeld Lecture with Tony Cai
Organization of sessions:
• 2021: Member of the Scientific Program Committee of the CMStatistics conference 2021 and Section Statistics for high-frequency price and volatility models
• 2020: Section Statistics for high-dimensional high-frequency data at the virtual CMStatistics conference 2020
• 2019: Section Statistics in Finance at the DAGStat-Tagung 2019 in Munich
• 2019: Session Statistics for Stochastic PDEs at the 14th Workshop on Stochastic Models, Statistics and their Applications (SMSA), in Dresden
• 2018: Section Statistics of stochastic processes at the 13th German Probability and Statistics Days 2018
Frequently for Annals of Statistics, Annals of the Institute of Statistical Mathematics, Bernoulli, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of the American Statistical Association, Scandinavian Journal of Statistics, Statistical Inference for Stochastic Processes, and Stochastic Processes and their Applications,
and also for Annales de l’Institut Henri Poincaré, Annals of Applied Probability, Applied Probability Journals (Journal of Applied Probability, Advances in Applied Probability), Applied Stochastic Models in Business and Industry, Biometrika, Digital Finance, Econometric Theory, Econometrics and Statistics, Electronic Journal of Probability, Electronic Journal of Statistics, Empirical Economics, Finance and Stochastics, Japanese Journal of Statistics and Data Science, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Inequalities and Applications, Journal of the Korean Statistical Society, Journal of Mathematical Analysis and Applications, Journal of Nonparametric Statistics, Journal of Statistical Planning and Inference, Journal of Time Series Analysis, Mathematical Finance, Statistical Papers, Statistics, Statistics & Probability Letters, Quantitative Finance and Quantitative Economics.