Looking for another Time Perspective on Time Series Data

The Conference on Intrinsic Time in Finance organized by Prof. Winfried Pohlmeier and the former department member Prof. Roxana Halbleib (Uni Freiburg) brought together leading international scholars and practitioners from areas of econometrics, mathematical statistics, and finance, to discuss the recent developments in the field of intrinsic time analysis. With intrinsic time an alternative time perspective is denoted, which differs from the conventional view of using calendar time, i.e., equally spaced time series observation for a given frequency. In contrast intrinsic time or activity time “runs” faster when there is more activity and slower where there is less. Accordingly, more observations are sampled in times of higher activity. The goal of the conference, which was financially supported by the Thyssen foundation, was to discuss new concepts of time deformation in high-frequency finance and to disseminate new research ideas and results with broad social-economic benefits.

The major conference results will be published in a special issue in the influential Journal of Econometrics.

More informations.