On 28-29 April 2020 I attended OICA Conference (Online International Conference in Actuarial science, data science and finance). Thanks to organisers for arranging a scientific event with 1600 registered participants in these difficult times and for putting together an interesting scientific program.
Presentations were recorded, so I extracted mine and uploaded it on my website. Unfortunately, the first 5 minutes or so are missing. At any rate, here’s a pdf file with my slides. The talk is based on Nonparametric Bayesian volatility learning under microstructure noise, a paper written together with Frank van der Meulen, Moritz Schauer and Peter Spreij. The preprint is on arXiv.