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

Spring 2004

IMA Workshop 9:

Financial Data Analysis and Applications

May 24-28, 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/

Schedule Participants Registration Feedback
Dining Guide Maps
Abstracts
Material from Talks
Photo Gallery

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
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
Monday Tuesday

 

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 E. Allen Department of Economics University of Minnesota
Greg Anderson School of Mathematics University of Minnesota
James J. Angel McDonough School of Business Georgetown University
Douglas N. Arnold Institute for Mathematics and its Applications University of Minnesota
Donald G. 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 (BK21)
Clifford Ball Owen Graduate School of Management Vanderbilt University
Karen Ball   University of Minnesota
Antar Bandyopadhyay   University of Minnesota
Luca Benzoni Carlson Finance Department University of Minnesota
Florin Bidian Department of Economics University of Minnesota
James N. Bodurtha Jr. McDonough School of Business Georgetown University
Maury Bramson Department of Mathematics University of Minnesota
Olga Brezhneva   University of Minnesota
Rene Carmona Operations Research and Financial Engineering Princeton University
James B. Carson   RisQuant Energy
Michael Cavaretta Infotronics and System Analytics Ford Motor Company
Zhiwei Chen Department of Mathematics University of Maryland
Pin Johnny Chung Investment & Risk Management Chung ALM
Kent D. Daniel Kellogg School of Management Northwestern University
Daya Dayananda Department of Mathematics University of St. Thomas
Michael Dempster Judge Institute of Management Studies Cambridge University
Greg Duffee Haas School of Business University of California - Berkeley
Philip H. Dybvig Olin School of Business Washington University
J. Doyne Farmer   Santa Fe Institut
Stephen Figlewski Stern School of Business New York University
Hans Foellmer Institut fur Mathematik Humboldt Universitat zu Berlin
Dean Foster Department of Statistics University of Pennsylvania
Shmuel Friedland Department of Mathematics University of Illinois - 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   Texas A&M International University
Haiming Guo Department of Mathematics University of Maryland
Chuan-Hsiang Han Ford Company University of Minnesota
Lars Hansen Department of Economics University of Chicago
David C. Heath Department of Mathematical Sciences Carnegie Mellon University
John C. Heaton Graduate School of Business University of Chicago
Ulrich Horst Institut für Mathematik Humboldt Universität zu Berlin
Shigeru Iwata Department of Economics University of Kansas
Naresh Jain School of Mathematics University of Minnesota
Narasimhan Jegadeesh Department of Finance and Emory University of Illinois - Urbana-Champaign
Lili Ju   University of Minnesota
Ioannis Karatzas Departments of Mathematics and Statistics Columbia University
John Kemper Department of Mathematics University of St. Thomas
Mohammad Kazim Khan Department of Mathematics Kent State University
Hye-Ryoung Kim   Seoul National University (BK21)
Kyounghee Kim Department of Mathematics Syracuse University
Igor Kojanov Carlson School of Management University of Minnesota
Lancine Konate Department of Statistics University of Wisconsin
Steven Kou Industrial Engineering and Operations Research Columbia University
Vladimir Kurenok Department of Natural and Applied Sciences University of Wisconsin - Green Bay
Thomas G. Kurtz Department of Mathematics and Statistics University of Wisconsin
Jeong Hyun Lee Department of Mathematics Seoul National University (SRCCS)
Kiseop Lee Department of Mathematics University of Louisville
Yoonjung Lee Department of Statistics University of Wisconsin
Bruce Lehmann Graduate School of Internat'l Rels. & 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 - Austin
Yi Lin Department of Statistics University of Wisconsin
Jun Liu Department of Finance University of California - Los Angeles
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 P. McGehee School of Mathematics University of Minnesota
Oana Mocioalca Department of Mathematics Purdue University
Gary Nan Tie   The St. Paul Companies
Amir Niknejad Department of Mathematics University of Illinois - Chicago
Jun Pan Sloan School of Management Massachusetts Institute of Technology
Monika Piazzesi Finance Department University of California - Los Angeles
Lea Popovic Institute for Mathematics and its Applications University of Minnesota
Allen M. Poteshman Department of Finance University of Illinois - Urbana-Champaign
Greg Rempala Department of Mathematics University of Louisville
Luis Jose Roman Department of Mathematical Sciences Worcester Polytechnic Institute
David E. Runkle Investment Research Piper Jaffrey Company
Fadil Santosa Institute for Mathematics and its Applications University of Minnesota
Arnd Scheel Institute for Mathematics and its Applications 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 Finance Department University of Colorado - Boulder
Michael Tehranchi Department of Mathematics University of Texas - Austin
Minassie Tewoldebrhan Department of Electrical and Computer Engineering University of Minnesota
Ruey S. Tsay Graduate School of Business University of Chicago
Tracey Andrew Tullie Department of Mathematics North Carolina A&T 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 - Urbana-Champaign
Zhenyu Wang Department of Finance and Economics Columbia University
Diane Louise 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
Eugene Yablonsky Department of Mathematical Sciences Worcester Polytechnic Institute
Hongtao Yang Department of Mathematics University of Louisiana at Lafayette
Jian Yang Department of Mathematics University of Illinois - Urbana-Champaign
Yuhong Yang Department of Statistics Iowa State University
Ofer Zeitouni School of Mathematics University of Minnesota
Yong Zeng Department of Mathematics and Statistics University of Missouri - Kansas City
Bing Zhang Department of Mathematics University of Maryland
Jun Zhao   University of Minnesota

Photo Gallery     Material from Talks     Abstracts

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