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Address: ul. Shabolovka 26, building 3, office 3425, 119049 Moscow
SPIN-RSCI: 9904-7572
ORCID: 0000-0001-6670-1457
ResearcherID: L-4868-2015
Scopus AuthorID: 23984914400
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Sergey Victorovich Gelman

  • Sergey Victorovich Gelman has been at HSE University since 2022.

Education and Degrees

  • 2007

    University of Münster

  • 2005

    Candidate of Sciences* (PhD)

  • 2001

    Saint Petersburg State University

* Candidate of Sciences
According to the International Standard Classification of Education (ISCED) 2011, Candidate of Sciences belongs to ISCED level 8 - "doctoral or equivalent", together with PhD, DPhil, D.Lit, D.Sc, LL.D, Doctorate or similar. Candidate of Sciences allows its holders to reach the level of the Associate Professor.

Awards and Accomplishments

Best Teacher – 2017, 2012

Courses (2021/2022)

Courses (2020/2021)

Participation in conferences

  1. "Idiosyncratic risk and indirect transaction costsISCEF Conference 2014, Paris
  2. "How much specific risk is in option prices?" Third international conference on futures and derivative markets 2014, Shanghai
  3. "Idiosyncratic risk and indirect transaction costsFinancial Management Association Annual Meeting 2014, Nashville
  4. "How much specific risk is in option prices?" Royal Economic Society 2013, London
  5. "Option pricing with scheduled jumps in the underlying asset". Eastern Finance Association 2012, Boston; INFINITI 2012, Dublin
  6. «Option pricing on target stock under multiple decision reversions». INFINITI 2011, Dublin; II World Finance Conference, Rhodes
  7. "Transaction costs, liquidity and expected returns at the Berlin Stock Exchange, 1892-1913" INFINITI 2010, Dublin

  8. "Option pricing on target stock under multiple decision reversions" World Finance Conference, Viano, Portugal 2010, German Economic Society, Magdeburg, September 2009.

  9. “Do option prices support the subjective probabilities of takeover success derived from spot prices?” INFINITI 2008, Dublin; Annual Meeting of the Verein für Socialpolitik, Bonn, Germany, September 2005; International Conference of Finance, Copenhagen, Denmark, September 2005.

  10. "Switching volatility in target stocks during takeover bids", joint work with Bernd Wilfling. Annual Meeting of the German Economic Society (Jahrestagung vom Verein für Socialpolitik), Munich, Germany, October 2007.

  11. “Regulation, taxation and the information efficiency of the Berlin Stock Exchange 1892-1913", joint work with Carsten Burhop. International Conference on High Frequency Finance, Konstanz, Germany, May 2006; Research Workshop of the German Central Bank (Bundesbank), Frankfurt, Germany, March 2006.

  12. “Target stock price dynamics by mergers and acquisitions under uncertainty of the deal completion”, International Conference on Stochastic Finance, Lissabon, Portugal, September 2004 (travel grant); 59th European Meeting of the Econometric Society (ESEM), Madrid, Spain, August 2004; Joint Meeting of the Society for Multivariate Analysis in Behavioural Sciences and European Association of Methodology, Jena, Germany, July 2004.


Research interests:

Emerging markets finance; Market microstructure, transaction costs and asset pricing; Pricing of derivatives in forefront of anticipated events; Stock price dynamics around takeovers;   Identification of structural breaks and regime switching in financial time series.


  1. Scientific Fund of SU-HSE:  Individual Research grant (2011-12)
  2. Scientific Fund of SU-HSE:  Individual Research grant (2009)
  3. Scientific Fund of SU-HSE: Grant "Teacher and apprentices" (2008-2009)
  4. Friedrich Flick Foundation: Study grant (10/1999 – 07/2002)
  5. German Academic Exchange Program (DAAD): Study  grant (10/1998 – 07/1999)
  6. Volkswagen Foundation: Study grant (10/1996 – 04/1997)



Liquidity, asymmetric information and asset pricing on the Russian stock market

S.V. GelmanD.S. Borisenko



Transaction costs, liquidity and expected returns at the Berlin Stock Exchange, 1892-1913

S.V. Gelman, C.Burhop

// Max-Planck-Institute for Research on Collective Goods Preprint Series, 2010. № 20. C. 1—27

[article] Текст статьи на другом сайте


Markov-switching in target stocks during takeover bids

S.V. Gelman, Gelman S., Wilfling B.

// Journal of Empirical Finance, 2009. Т. 16. № 5. C. 745—758



"Financial econometrics", ICEF HSE

S.V. Gelman


Regulation, taxation and the information efficiency of the Berlin Stock Exchange 1892-1913

S.V. Gelman, C.Burhop

// European review of economic history, 2008. Т. 12. № 1. C. 39—66



  1. Center of Fundamental Research project "Research on Emerging Financial Markets", from 2009
  2. 2011-2012 Individual Research Project #10-01-0110 "Informed traders' behavior, transaction costs and liquidity premium in call auction markets", supported by the SU-HSE Scientific Research Fund.
  3. 2009-2010 Individual Research Project # 09-01-0068 «Transaction costs of an emerging market and speed of information processing under call auction trading", supported by the SU-HSE Scientific Research Fund.

  4. 2008-2009 Collective Research Project # 08-04-0043 "Structural breaks and information efficiency of the BRIC's stock markets"

Publications (older than 2 years)

1. Gelman, S., 2007, Dynamik der Zielaktie bei Unternehmensübernahmen und die subjektive Wahrscheinlichkeit des Übernahmeerfolges,  Dr. Kovac, Hamburg. (in German, English translation of the title: Dynamics of target stock by corporate takeovers and the subjective probability of takeover completion.) ISBN 978-3-8300-3307-3
2.  “Konstruktion und Eigenschaften eines neuen historischen Aktienindex 1892 bis 1913”, joint work with Zoltan Osterbach, (in German) University of Muenster VD Discussion Paper No. 365, University of Muenster.

Work in progress

1. "Option pricing on target stock under multiple decision reversions" (with Bernd Wilfling)

2.  "Transaction costs of an emerging market and speed of information processing under call auction trading"

Timetable for today

Full timetable

‘It’s Time to Discuss Our Projects’

From November 18th-19th the First International Moscow Finance Conference, organized by the HSE International College of Economics and Finance, took place at the Higher School of Economics. Carsten Sprenger, Head of the HSE International Laboratory of Financial Economics, told us about the conference participants, the programme and his impressions of the event.