Dr. Mark Podolskij

PostDoc

• E-mail: mark.podolskijatmath.ethz.ch
• Phone: +41-44-632 03 94
• Fax of Mrs G. Baltes: +41-44-632 15 23
• Office: HG G 32.2 (Main Building)

Research Interests

Inference for semimartingales, asymptotic theory for high-frequency data, tests in diffusion models, multiple stochastic integrals, Malliavin calculus, inference for Gaussian processes, Stein's methods, fractional integration

Publications

Papers

• M. Podolskij and M. Vetter (2010): Understanding limit theorems for semimartingales: a short survey. to appear in Statistica Nederlandica (special issue) (pdf)
• J. Jacod, M. Podolskij and M. Vetter (2009): Limit theorems for moving averages of discretized processes plus noise. to appear in Annals of Statistics (pdf)
• M. Podolskij and D. Ziggel (2009): New tests for jumps in semimartingale models. to appear in Statistical Inference for Stochastic Processes (pdf)
• M. Podolskij and M. Vetter (2009): Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15(3), 634-658. (pdf)
• M. Podolskij (2009): Semimartingales. to appear in Encyclopedia of Quantative Finance, R. Cont eds.
• Podolskij and M. Vetter (2009): Bipower-type estimation in a noisy diffusion setting. Stochastic Processes and Their Applications 119, 2803-2831 (pdf)
• O. E. Barndorff-Nielsen, J. M. Corcuera, M. Podolskij and J. H. C. Woerner (2009): Bipower variation for Gaussian processes with stationary increments. Journal of Applied Probability 46, 132-150 (pdf)
• O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2009): Power variation for Gaussian processes with stationary increments. Stochastic Processes and Their Applications 119, 1845-1865 (pdf)
• J. Jacod, Y. Li, P. Mykland, M. Podolskij and M. Vetter (2009): Microstructure noise in the continuous case: the pre-averaging approach. Stochastic Processes and Their Applications 119, 2249-2276 (pdf)
• K. Christensen, M. Podolskij and M. Vetter (2009): Bias-correcting the realised range-based variance in the presence of market microstructure noise. Finance and Stochastics 13(2), 239-268 (pdf)
• S. Kinnebrock and M. Podolskij (2008): A note on the central limit theorem for bipower variation of general functions. Stochastic Processes and Their Applications 118 (2008), 1056-1070 (pdf)
• H. Dette and M. Podolskij (2008): Testing the parametric form of the volatility in continuous time diffusion models - an empirical process approach. Journal of Econometrics 143, 56-73 (pdf)
• K. Christensen and M. Podolskij (2007): Realised range-based estimation of integrated variance. Journal of Econometrics 141, 323-349 (pdf)
• H. Dette, M. Podolskij and M. Vetter (2006): Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing. Scandinavian Journal of Statistics 33, 259-278 (pdf)
• O. E. Barndorff-Nielsen, S. E. Graversen, J. Jacod, M. Podolskij and N. Shephard (2006): A central limit theorem for realised power and bipower variations of continuous semimartingales. in "From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev", Springer (pdf)
• M. Podolskij (2006): New theory on estimation of integrated volatility with applications. PhD thesis, Ruhr-University Bochum (pdf)
• M. Podolskij (2003): Tests auf parametrische Struktur der Volatilität in stochastischen Differentialgleichungen. Diploma thesis, Ruhr-University Bochum (pdf)

• K. Christensen, R. Oomen and M. Podolskij (2009): Realised quantile-based estimation of the integrated variance. (pdf) (MatLabCode)
• K. Christensen, S. Kinnebrock and M. Podolskij (2008): Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (pdf)
• O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2009): Multipower variation for Brownian semi-stationary processes. (pdf)
• K. Christensen and M. Podolskij (2009): Range-based estimation of quadratic variation. (pdf)
• O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2009): Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. (pdf)

• M. Podolskij and D. Ziggel (2007): Bootstrapping bipower variation. Technical report, Ruhr-University Bochum (pdf)
• M. Podolskij (2007): Non-parametric estimation of the volatility path in the presence of noise. Oberwolfach report, 7/2007
• M. Podolskij (2007): Inference for diffusion processes in the simultaneous presence of noise and jumps. Oberwolfach report, 15/2007
• S. Kinnebrock and M. Podolskij (2008): An econometric analysis of modulated realised covariance, regression and correlation in noisy diffusion models . Technical report (pdf)
• M. Podolskij and D. Ziggel (2008): A range-based test for the parametric form of the volatility in diffusion models. (pdf)
• M. Podolskij (2009): Application of the Malliavin calculus to statistical problems on Gaussian fields. Oberwolfach report, 39/2009

• M. Podolskij and D. Ziggel: A note on the range-based estimation: subsampling and multivariate extension.
• N. Hautsch and M. Podolskij: Estimation of quadratic variation with applications.
• I. Nourdin, G. Peccati and M. Podolskij: Stein’s method for stably convergent sequences on Gaussian fields.

Professional activities

• Statistical consulting at the Ruhr-University of Bochum (2006-2007)
• Member of SFB 475 „Reduction of complexity in multivariate data structures“ (2003-2007)
• Referee: Advances in Applied Probability, Annals of Statistics, Applied Mathematical Finance, Econometrica, ESAIM: Probability and Statistics, Journal of Applied Econometrics, Journal of Econometrics, Journal of Financial Econometrics, Journal of Statistical Planning and Inference, Statistica Nederlandica, Stochastic Processes and Their Applications
• Coorganiser of the conference „Symposium on Volatility“ (August 11-14, 2008, Aarhus)

My PhD students

• Dr. Mathias Vetter, PhD thesis: „Estimation methods in noisy diffusion models“
• Dr. Silja Kinnebrock, PhD thesis: „Asymptotic results for semimartingales and related processes with econometric applications“
• Dr. Daniel Ziggel, PhD thesis: „Modellierung von Wertpapierverläufen. Neue Test- und Schätzverfahren für Hochfrequenzdaten“

Selected newspaper articles

• „Podolski, een miskend talent in zijn nieuwe vaderland“, de Volkskrant 29.05.07.
• „Schlemieligste nummer 2 uit WK-historie“, de Volkskrant 21.08.07.
• „Mark Podolski en de Wet van Kaplan“, de Volkskrant 14.02.09.
• „Podolskij kann sie alle schlagen“, Die Zeit 05.03.09.
• „Von wegen Kinderspiel“, Die Presse 26.06.09..
• „Bochumer spielt Dame auf Weltklasse-Niveau“, WAZ 06.07.09.

Curriculum Vitae