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IMA Workshop 9
Financial Data Analysis and Applications
May 24-28, 2004


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
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

NAMEDEPARTMENTAFFILIATION
Scot AdamsInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Hengjie AiDepartment of Economics University of Minnesota, Twin Cities
Beth AllenDepartment of Economics University of Minnesota, Twin Cities
Greg AndersonSchool of Mathematics University of Minnesota, Twin Cities
James AngelSchool of Business Georgetown University
Douglas ArnoldInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Donald AronsonInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Gerard AwanouInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Hee-Jeong BaekDepartment of Mathematics Seoul National University
Clifford BallGraduate School of Management Vanderbilt University
Karen BallInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Antar BandyopadhyayInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Luca BenzoniCarlson Finance Department University of Minnesota, Twin Cities
Florin BidianDepartment of Economics University of Minnesota, Twin Cities
James BodurthaSchool of Business Georgetown University
Maury BramsonSchool of Mathematics University of Minnesota, Twin Cities
Olga BrezhnevaInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Rene CarmonaOperations Research and Financial Engineering Princeton University
James Carson RisQuant Energy
Michael CavarettaInfotronics and System Analytics Ford Motor Company
Zhiwei ChenDepartment of Mathematics University of Maryland
Pin ChungInvestment and Risk Management Chung ALM
Kent DanielKellogg School of Management Northwestern University
Palahela (Daya) DayanandaDepartment of Mathematics University of St. Thomas
Michael DempsterJudge Institute of Management Studies University of Cambridge
Greg DuffeeSchool of Business University of California, Berkeley
Philip DybvigSchool of Business Washington University
J. Farmer Santa Fe Institute
Stephen FiglewskiSchool of Business New York University
Hans FoellmerInstitut für Mathematik Humboldt-Universität
Dean FosterDepartment of Statistics University of Pennsylvania
Shmuel FriedlandDepartment of Mathematics, Statistics, and Computer Science University of Illinois, Chicago
Xavier GabaixDepartment of Economics Massachusetts Institute of Technology
Tim GaroniInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Victor GoodmanDepartment of Mathematics Indiana University
Rohitha GoonatilakeDepartment of Mathematical and Physical Sciences Texas A&M International University (TAMIU)
Haiming GuoDepartment of Mathematics University of Maryland
Chuan-Hsiang HanInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Lars HansenDepartment of Economics University of Chicago
David HeathDepartment of Mathematical Sciences Carnegie Mellon University
John HeatonSchool of Business University of Chicago
Ulrich HorstInstitut für Mathematik Humboldt-Universität
Shigeru IwataDepartment of Economics University of Kansas
Naresh JainSchool of Mathematics University of Minnesota, Twin Cities
Narasimhan JegadeeshDepartment of Finance University of Illinois at Urbana-Champaign
Lili JuInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Ioannis KaratzasDepartment of Mathematics Columbia University
John KemperDepartment of Mathematics University of St. Thomas
Mohammad KhanDepartment of Mathematics Kent State University
Hye-Ryoung Kim Seoul National University
Kyounghee KimDepartment of Mathematics Syracuse University
Igor KojanovCarlson School of Management University of Minnesota, Twin Cities
Lancine KonateDepartment of Statistics University of Wisconsin, Madison
Steven KouDepartment of Industrial Engineering and Operations Research Columbia University
Vladimir KurenokDepartment of Natural and Applied Sciences University of Wisconsin-Green Bay
Thomas KurtzDepartment of Mathematics University of Wisconsin, Madison
Jeong LeeDepartment of Mathematics Seoul National University
Kiseop LeeDepartment of Mathematics University of Louisville
Yoonjung LeeDepartment of Statistics University of Wisconsin, Madison
Bruce LehmannGraduate School of Internat'l Rels. and Pacific Studies University of California, San Diego
Ding LiDepartment of Economics and Finance Northern State University
Juyoung LimDepartment of Mathematics University of Texas, Austin
Yi LinDepartment of Statistics University of Wisconsin, Madison
Jun LiuDepartment of Finance University of California, Los Angeles
Andrew LoLaboratory for Financial Engineering (LFE) Massachusetts Institute of Technology
Erzo LuttmerDepartment of Economics University of Minnesota, Twin Cities
Huaqiang MaDepartment of Mathematics University of Maryland
Richard McGeheeSchool of Mathematics University of Minnesota, Twin Cities
Oana MocioalcaDepartment of Mathematics Purdue University
Gary Nan TieInvestment Department The St. Paul Companies
Amir NiknejadDepartment of Mathematics University of Illinois, Chicago
Jun PanSloan School of Management Massachusetts Institute of Technology
Monika PiazzesiDepartment of Finance University of California, Los Angeles
Lea PopovicInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Allen PoteshmanDepartment of Finance University of Illinois at Urbana-Champaign
Grzegorz RempalaDepartment of Mathematics University of Louisville
Luis RomanDepartment of Mathematical Sciences Worcester Polytechnic Institute
David RunkleInvestment Research Piper Jaffray
Fadil SantosaInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Arnd ScheelSchool of Mathematics University of Minnesota, Twin Cities
Sally ShaoDepartment of Mathematics Cleveland State University
Mihai SirbuDepartment of Mathematical Sciences Carnegie Mellon University
Srdjan StojanovicDepartment of Mathematical Sciences University of Cincinnati
Michael StutzerDepartment of Finance University of Colorado
Michael TehranchiDepartment of Mathematics University of Texas, Austin
Minassie Tewoldebrhan University of Minnesota, Twin Cities
Ruey TsaySchool of Business University of Chicago
Tracey TullieDepartment of Mathematics North Carolina Agricultural and Technical State University
Hui WangDivision of Applied Mathematics Brown University
Xiaodi WangDepartment of Mathematics Western Connecticut State University
Yun WangDepartment of Natural Resources and Environmental Sciences University of Illinois at Urbana-Champaign
Zhenyu WangDepartment of Finance and Economics Columbia University
Diane WilcoxDepartment of Mathematics and Applied Mathematics University of Cape Town
Shu WuDepartment of Economics University of Kansas
Zhengxiao WuDepartment of Statistics University of Wisconsin, Madison
Eugene YablonskyDepartment of Mathematical Sciences Worcester Polytechnic Institute
Hongtao YangDepartment of Mathematics University of Louisiana-Lafayette
Jian YangDepartment of Mathematics University of Illinois at Urbana-Champaign
Yuhong YangDepartment of Statistics Iowa State University
Ofer ZeitouniSchool of Mathematics University of Minnesota, Twin Cities
Yong ZengDepartment of Mathematics & Statistics University of Missouri
Bing ZhangDepartment of Mathematics University of Maryland
Jun ZhaoInstitute of Mathematics and its Application University of Minnesota, Twin Cities
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