Mark Podolskij


Personal information

Born 1 September 1979, Elektrostal, Russia


Diploma in Mathematics, 2003, Ruhr-University of Bochum
PhD in Mathematics, 2006, Ruhr-University of Bochum

My group

Claudio Heinrich, PhD student
Nopporn Thamrongrat, PhD student
Bezirgen Veliyev, PostDoc

Research interests

Inference for semimartingales, asymptotic theory for high-frequency data, Levy processes, multiple stochastic integrals, Malliavin calculus, inference for Gaussian processes, Stein's method, fractional integration

Academic appointments

2014- Full Professor at Aarhus University
2010-2014 Full Professor at Heidelberg University
2008-2010 Postdoc at ETH Zurich
2007-2008 Postdoc at Aarhus University

Professional activity

2015- Editor-in-Chief of "SpringerBriefs in Probability and Mathematical Statistics"
2015- Associate Editor of Journal of Econometrics
2014- Associate Editor of Modern Stochastics: Theory and Applications
2013–2014 Heidelberg Speaker of the Graduate School "Statistical Modeling
of Complex Systems and Processes: Advanced Nonparametric Approaches"
2013- Advisory Board Member of "Lecture Notes in Mathematics", Springer
2013- Associate Editor of Latin American Journal of Probability
and Mathematical Statistics
2013- Associate Editor of Bernoulli
2011-2014 Deputy Director of MATCH (MAThematics Center Heidelberg)
2011- Elected Member of ISI (International Statistical Institute)
2011-2014 Associate Editor of Statistica Sinica
2011- Associate Editor of Statistics and Risk Modeling
2010-2013 Associate Editor of Electronic Journal of Statistics
2012- Membership Secretary of the Bernoulli Society
2006–2007 Leader of Statistical Consulting at Ruhr-University of Bochum

Grants and Prizes

Research Project "Ambit fields: Probabilistic Properties and Statistical Inference", Villum Fonden; 2015
K. Christensen, M. Podolskij "Identifying the structure of volatility in financial markets using ultra high-frequency data", DFF - 4182-00050; 2015
Visiting Professor at University Paris 13; 2015 (1 month)
Mammen, E., Dahlhaus, R., Gneiting, T., Podolskij, M., Leucht, A., Schied, A., M. Schlather and C. Wichelhaus "Research Training Group: Statistical Modeling of Complex Systems and Processes: Ad- vanced Nonparametric Approaches"; 2013. Speaker of Team Heidelberg. German Research Foundation
Research and Travelling Grant from Europlace Place Institute of Finance; 2013
Award for one of 10 Most Cited Articles 2005-2010 in Stochastic Processes and Their Applications for the paper "Microstructure Noise in the Continuous Case: The Pre-averaging Approach"; 2013

Former PostDocs and PhD students

Prof. Dr. Johanna Ziegel
Prof. Dr. Joachim Lebovits
Prof. Dr. Mathias Vetter, PhD thesis: ”Estimation methods in noisy diffusion models”
Prof. Dr. Silja Kinnebrock, PhD thesis: ”Asymptotic results for semimartingales and related
processes with econometric applications”
Prof. Dr. Daniel Ziggel, PhD thesis: ”Modellierung von Wertpapierverl ̈aufen. Neue Test- und
Schatzverfahren fu ̈r Hochfrequenzdaten”
Dr. Tony Huschto, PhD thesis: ”Numerical methods for random parameter optimal control and the optimal control of stochastic differential equations”
Dr. Christian Schmidt, PhD thesis: ”U- and V-statistics of Ito semimartingales”

Selected non-professional awards

2007 Vice World Champion (draughts)
2006, 2007 European Team Champion with Bashneft (draughts)
2004,2005,2007 German Champion (draughts)
2001,2012 Dutch Team Champion with Witte van Moort (draughts)
1993-1995 U16 and U19 World Champion (draughts)