Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering, September 1, 2003 - June 30, 2004

Organizers:

John C. Heaton
James H. Lorie Professor of Finance
The University of Chicago Graduate School of Business
john.heaton@@gsb.uchicago.edu
http://gsb.uchicago.edu/dynamic.asp?nNodeID=18&intContentID=81&intContentTypeID=2

Bruce N. Lehmann
Graduate School of International Relations and Pacific Studies
University of California at San Diego
blehmann@@ucsd.edu
http://www-irps.ucsd.edu/irps/faculty/blehmann/

and

Andrew W. Lo
Harris & Harris Group Professor
Director, Laboratory for Financial Engineering (LFE)
MIT Sloan School
alo@@mit.edu
http://web.mit.edu/alo/www/

The use of large-scale econometric data in conjunction with asset pricing models is another aspect of the program. Historical data can be used to test new investment or hedging strategies and to analyze their risk characteristics. Finance theorists have recently used high frequency data to simulate trading strategies and better understand the structure of prices over short time scales. By organizing a workshop around data analysis and econometrics, we shall bring together the communities of quantitative model builders, or "financial engineers", specializing in PDEs and stochastic models, with econometricians, who employ primarily statistical tools. 

WORKSHOP SCHEDULE
Monday Tuesday Wednesday Thursday Friday
MONDAY, MAY 24 All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
8:30	Coffee and Registration	Reception Room EE/CS 3-176
9:15	Douglas N. Arnold, Scot Adams, and Organizers	Welcome and Introduction
9:30	Philip H. Dybvig Washington University in Saint Louis	Exploration of Interest Data Slides:   pdf
10:20	Discussion
10:30	Coffee Break	Reception Room EE/CS 3-176
11:00	David E. Runkle Piper Jaffrey Company	Should We Expect the Unexpected? The Role of Conditional Expectation in Investment Analysis
11:50	Discussion
12:00	Lunch Break
1:30	Narasimhan Jegadeesh Emory University	Value of Analyst Recommendations: International Evidence Slides:   html   pdf    ps    ppt Paper:   pdf
2:20	Discussion
2:30	Coffee Break	Reception Room EE/CS 3-176
3:00	SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
3:30	Group Photos here
3:40	IMA Tea and more (with POSTER SESSION) 400 Lind Hall Luca Benzoni University of Minnesota Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate Rohitha Goonatilake Texas A&M International University Development, Evaluation and Analysis of a 20-Year Deferred Annuity Product Report:   pdf Vladimir Kurenok University of Wisconsin-Green Bay On a Model for the Term Structure of Interest Rate Processes of Stable Type Nick Laskin University of Toronto Jump Dynamics and Stochastic Volatility for Stock Returns Kiseop Lee University of Louisville Estimation of Liquidity Risk by Multiple Change-Point Models Ding Li Northern State University Empirical Study of Investment Behavior in Equity Markets Using Wavelet Methods Juyoung Lim The University of Texas at Austin An Application of Large Deviation Principle to Pricing Multi Asset Derivative Securities Poster:   pdf Paper:   pdf Michael Tehranchi University of Texas at Austin Optimal Portfolio Choice in Bond Markets Diane Louise Wilcox University of Cape Town Periodicity and Scaling of Eigenmodes in an Emerging Market Shu Wu The University of Kansas Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets Yong Zeng University of Missouri at Kansas City Filtering with a Marked Point Process Observation: Applications to the Econometrics of Ultra-High-Frequency Data Slides:   pdf    ps
TUESDAY, MAY 25 All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00	Coffee	Reception Room EE/CS 3-176
9:30	Dean P. Foster University of Pennsylvania	Ponzironi: The Search for Statistically Significant Excess Returns Slides:   pdf    ps
10:20	Discussion
10:30	Coffee Break	Reception Room EE/CS 3-176
11:00	Ruey S. Tsay University of Chicago	Efficient Estimation of Stochastic Diffusion Models with Leverage Effects and Jumps Slides:   pdf Paper:   pdf
11:50	Discussion
12:00	Lunch Break
1:30	Steven Kou Columbia University	A Tale of Two Growths: Modeling Stochastic Endogenous Growth and Growth Stocks
2:20	Discussion
2:30	Coffee Break	Reception Room EE/CS 3-176
3:00	SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
3:30	walk along the Mississippi, weather permitting
WEDNESDAY, MAY 26 All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00	Coffee	Reception Room EE/CS 3-176
9:30	Michael A.H. Dempster University of Cambridge and Cambridge Systems Associates Limited	Modelling the Global FX Market Slides:   html    pdf    ps    ppt
10:20	Discussion
10:30	Coffee Break	Reception Room EE/CS 3-176
11:00	J. Doyne Farmer Santa Fe Institute	Modeling Liquidity, Risk and Transaction Costs in the London Stock Exchange Using Low Intelligence Agents Slides:   html   pdf    ps    ppt
11:50	Discussion
12:00	Lunch Break
1:30	Gregory R. Duffee University of California-Berkeley	A No-Arbitrage Term Structure Model Without Latent Factors Slides:   pdf Paper:   pdf
2:20	Discussion
2:30	Coffee Break	Reception Room EE/CS 3-176
3:00	SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
THURSDAY, MAY 27 All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00	Coffee	Reception Room EE/CS 3-176
9:30	Xavier Gabaix Massachusetts Institute of Technology	A Theory of Power Law Distributions in Financial Market Fluctuations Papers: NatureMay2003Published.pdf cubicfeb16-20041.pdf
10:20	Discussion
10:30	Coffee Break	Reception Room EE/CS 3-176
11:00	Lars Peter Hansen University of Chicago	Recursive Robust Control and Prediction Slides:   pdf
11:50	Discussion
12:00	Lunch Break
1:30	Jun Pan MIT Sloan School of Management	The Information in Option Volume for Future Stock Prices Paper:   pdf
2:20	Discussion
2:30	Coffee Break	Reception Room EE/CS 3-176
3:00	SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
6:00	Workshop Dinner	Bona Vietnamese Restaurant 802 Washington Avenue SE Minneapolis, MN 55414 Phone: 612-331-5011
FRIDAY, MAY 28 All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00	Coffee	Reception Room EE/CS 3-176
9:30	Monika Piazzesi University of Chicago	Futures Prices as Risk-Adjusted Forecasts of Monetary Policy Slides:   pdf
10:20	Discussion
10:30	Coffee Break	Reception Room EE/CS 3-176
11:00	Jun Liu University of California, Los Angeles	Information, Diversificiation, and Cost of Capital
11:50	Discussion
12:00	Lunch Break
1:30	Kent D. Daniel Northwestern University	Testing Factor-Model Explanations of Market Anomalies
2:20	Discussion
2:30	SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
3:00	Concluding Remarks by Organizers
3:10	End of Workshop

 

LIST OF CONFIRMED PARTICIPANTS

NAME	DEPARTMENT	AFFILIATION
Scot Adams	Institute for Mathematics and its Applications	University of Minnesota
Hengjie Ai	Department of Economics	University of Minnesota
Beth Allen	Department of Economics	University of Minnesota
Greg Anderson	School of Mathematics	University of Minnesota
James Angel	School of Business	Georgetown University
Douglas Arnold	Institute for Mathematics and its Applications	University of Minnesota
Donald Aronson	Institute for Mathematics and its Applications	University of Minnesota
Gerard Awanou	Institute for Mathematics and its Applications	University of Minnesota
Hee-Jeong Baek	Department of Mathematics	Seoul National University
Clifford Ball	Graduate School of Management	Vanderbilt University
Karen Ball	Institute for Mathematics and its Applications	University of Minnesota
Antar Bandyopadhyay	Institute for Mathematics and its Applications	University of Minnesota
Luca Benzoni	Carlson Finance Department	University of Minnesota
Florin Bidian	Department of Economics	University of Minnesota
James Bodurtha	School of Business	Georgetown University
Maury Bramson	School of Mathematics	University of Minnesota
Olga Brezhneva	Institute for Mathematics and its Applications	University of Minnesota
Rene Carmona	Operations Research and Financial Engineering	Princeton University
James Carson		RisQuant Energy
Michael Cavaretta	Infotronics and System Analytics	Ford
Zhiwei Chen	Department of Mathematics	University of Maryland
Pin Chung	Investment and Risk Management	Chung ALM
Kent Daniel	Kellogg School of Management	Northwestern University
Daya Dayananda	Department of Mathematics	University of St. Thomas
Michael Dempster	Judge Institute of Management Studies	University of Cambridge
Greg Duffee	School of Business	University of California, Berkeley
Philip Dybvig	School of Business	Washington University
J. Farmer		Santa Fe Institute
Stephen Figlewski	School of Business	New York University
Hans Foellmer	Institut für Mathematik	Humboldt-Universität
Dean Foster	Department of Statistics	University of Pennsylvania
Shmuel Friedland	Department of Mathematics, Statistics, and Computer Science	University of Illinois at Chicago
Xavier Gabaix	Department of Economics	Massachusetts Institute of Technology
Tim Garoni	Institute for Mathematics and its Applications	University of Minnesota
Victor Goodman	Department of Mathematics	Indiana University
Rohitha Goonatilake	Department of Mathematical and Physical Sciences	Texas A&M International University (TAMIU)
Haiming Guo	Department of Mathematics	University of Maryland
Chuan-Hsiang Han	Institute for Mathematics and its Applications	University of Minnesota
Lars Hansen	Department of Economics	University of Chicago
David Heath	Department of Mathematical Sciences	Carnegie Mellon University
John Heaton	School of Business	University of Chicago
Ulrich Horst	Institut für Mathematik	Humboldt-Universität
Shigeru Iwata	Department of Economics	University of Kansas
Naresh Jain	School of Mathematics	University of Minnesota
Narasimhan Jegadeesh	Department of Finance	University of Illinois at Urbana-Champaign
Lili Ju	Institute for Mathematics and its Applications	University of Minnesota
Ioannis Karatzas	Department of Mathematics	Columbia University
John Kemper	Department of Mathematics	University of St. Thomas
Mohammad Khan	Department of Mathematics	Kent State University
Hye-Ryoung Kim		Seoul National University
Kyounghee Kim	Department of Mathematics	Syracuse University
Igor Kojanov	Carlson School of Management	University of Minnesota
Lancine Konate	Department of Statistics	University of Wisconsin-Madison
Steven Kou	Department of Industrial Engineering and Operations Research	Columbia University
Vladimir Kurenok	Department of Natural and Applied Sciences	University of Wisconsin-Green Bay
Thomas Kurtz	Department of Mathematics	University of Wisconsin-Madison
Jeong Lee	Department of Mathematics	Seoul National University
Kiseop Lee	Department of Mathematics	University of Louisville
Yoonjung Lee	Department of Statistics	University of Wisconsin-Madison
Bruce Lehmann	Graduate School of Internat'l Rels. and Pacific Studies	University of California, San Diego
Ding Li	Department of Economics and Finance	Northern State University
Juyoung Lim	Department of Mathematics	University of Texas at Austin
Yi Lin	Department of Statistics	University of Wisconsin-Madison
Jun Liu	Department of Finance	University of California, Los Angeles (UCLA)
Andrew Lo	Laboratory for Financial Engineering (LFE)	Massachusetts Institute of Technology
Erzo Luttmer	Department of Economics	University of Minnesota
Huaqiang Ma	Department of Mathematics	University of Maryland
Richard McGehee	School of Mathematics	University of Minnesota
Oana Mocioalca	Department of Mathematics	Purdue University
Gary Nan Tie	Investment Department	The St. Paul Companies
Amir Niknejad	Department of Mathematics	University of Illinois at Chicago
Jun Pan	Sloan School of Management	Massachusetts Institute of Technology
Monika Piazzesi	Department of Finance	University of California, Los Angeles (UCLA)
Lea Popovic	Institute for Mathematics and its Applications	University of Minnesota
Allen Poteshman	Department of Finance	University of Illinois at Urbana-Champaign
Grzegorz Rempala	Department of Mathematics	University of Louisville
Luis Roman	Department of Mathematical Sciences	Worcester Polytechnic Institute
David Runkle	Investment Research	Piper Jaffray
Fadil Santosa	Institute for Mathematics and its Applications	University of Minnesota
Arnd Scheel	School of Mathematics	University of Minnesota
Sally Shao	Department of Mathematics	Cleveland State University
Mihai Sirbu	Department of Mathematical Sciences	Carnegie Mellon University
Srdjan Stojanovic	Department of Mathematical Sciences	University of Cincinnati
Michael Stutzer	Department of Finance	University of Colorado
Michael Tehranchi	Department of Mathematics	University of Texas at Austin
Minassie Tewoldebrhan		University of Minnesota
Ruey Tsay	School of Business	University of Chicago
Tracey Tullie	Department of Mathematics	North Carolina Agricultural and Technical State University
Hui Wang	Division of Applied Mathematics	Brown University
Xiaodi Wang	Department of Mathematics	Western Connecticut State University
Yun Wang	Department of Natural Resources and Environmental Sciences	University of Illinois at Urbana-Champaign
Zhenyu Wang	Department of Finance and Economics	Columbia University
Diane Wilcox	Department of Mathematics and Applied Mathematics	University of Cape Town
Shu Wu	Department of Economics	University of Kansas
Zhengxiao Wu	Department of Statistics	University of Wisconsin-Madison
Eugene Yablonsky	Department of Mathematical Sciences	Worcester Polytechnic Institute
Hongtao Yang	Department of Mathematics	University of Louisiana-Lafayette
Jian Yang	Department of Mathematics	University of Illinois at Urbana-Champaign
Yuhong Yang	Department of Statistics	Iowa State University
Ofer Zeitouni	School of Mathematics	University of Minnesota
Yong Zeng	Department of Mathematics & Statistics	University of Missouri
Bing Zhang	Department of Mathematics	University of Maryland
Jun Zhao	Institute of Mathematics and its Application	University of Minnesota