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Mark Podolskij

Honorary professor, International Fellow

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

Mathias Mørck Ljungdahl, PhD student
Anine Eg Bolko, PhD student
Julie Thøgersen, PostDoc
Vytaute Pilipauskaite, PostDoc
Gabriela Ciolek, PostDoc
Dmytro Marushkevych, 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

2019-2022 Editor-in-Chief of "Bernoulli"
2018-2020 Associate Editor of Scandinavian Journal of Statistics
2015-2020 Editor-in-Chief of "SpringerBriefs in Probability and Mathematical Statistics"
2015-2018 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
2013-2018 Associate Editor of Latin American Journal of Probability
and Mathematical Statistics
2013-2018 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

ERC Consolidator Grant "STAMFORD: Statistical Methods for High Dimensional Diffusions", EU, 2019
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. Bezirgen Veliyev
Prof. Dr. Stepan Mazur
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”
Dr. Nopporn Thamrongrat, PhD thesis: "Stable convergence in statistical inference and numerical approximation of stochastic processes"
Dr. Claudio Heinrich, PhD thesis: "Fine scale properties of ambit fields - limit theory and simulation"
Dr. Dmitry Otryakhin, PhD thesis: "Estimation and numerical simulation of the linear fractional stable motion and related processes"
Dr. Johannes Heiny
Dr. Orimar Sauri
Dr. Mikkel Slot Nielsen

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)