Statistical Methods in Finance 2018

Overview

The fourth conference and workshop on Statistical Methods in Finance aims to expose the participants to new and active areas of research and to engage researchers into active working groups. The conference will be jointly hosted by

• Chennai Mathematical Institute (CMI), and
• Indian Statistical Institute - Chennai Center

StatFin2018 Group Photo

Anirban Chakraborti of JNU presents on market instability

Sugata Senroy presents on Financial Inclusion

Panel discussion on energy markets

News

StatFin18 Student Paper Competition Winner:

• Sudarshan Kumar, Indian Institute of Management Ahmedabad
• Kunal Saha, Institute for Financial Management & Research

StatFin18 Student Paper Competition Honorable Mention:

• Soham Banerjee, Indian Statistical Institute
• Anuj Mishra, Savitribai Phule Pune University

Prof T. Krishnan Memorial Talk

• Katherine Bennett Ensor, Rice University, USA
• Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods

Plenary Speakers

• Ajay Shah, National Institute of Public Finance and Policy, New Delhi, INDIA
• The statistics of exchange rate regimes: Recent developments and possibilities for new research
• Nalini Ravishanker, University of Connecticut, USA
• High-Frequency Financial Time Series Analysis

Panel Discussion

Panel Discussion on Energy Markets.
• Katherine Bennett Ensor , Rice University, USA
• Vinay Kumar P., MD and CEO India Renewables
• Vivek Subramanian, Executive Director at Fourth Partner Energy

Panel Discussion on How to Write Good Research Paper?.
• Katherine Bennett Ensor , Rice University, USA
• Nalini Ravishankar, University of Connecticut, USA
• Rajeeva L Karandikar, Director, CMI, India

Workshop

• Anindya Goswami, Indian Institute of Science Education and Research (IISER), Pune, INDIA
• Optimization in Finance

Invited Speakers

• Ananya Lahiri, IIT Tirupati
• Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
• Anirban Chakraborti, Jawaharlal Nehru University, New Delhi
• Mesoscopic Financial Network: Sectoral Co-movements and Core-periphery Structure
• Arnab Chakrabarti, Indian Statistical Institute
• Copula estimation for bivariate nonsynchronous financial data
• Debopam Bhattacharya, Cambridge University, UK
• The Empirical Content of Discrete Choice Models
• N Balakrishna, Statistic, Cochin University of Science And Technology
• Applications of Birnbaum-Saunders Distribution in Modelling Stochastic Volatility
• Rangan Gupta, University of Pretoria, South Africa
• Cricket and Stock Markets
• Ravindra Khatree, Oakland University, USA
• A New Approach to the Estimation of Beta Risk and An Analysis of Stock Market Through Copula Transformation and Winsorization with S&P500 Index as Proxy
• Sonali Das, CSIR, South Africa
• Investigating effect of global crisis index on historical comovement of stock returns in the G7 countries: An FDA approach
• Sugata Sen Roy, Calcutta University
• Financial Inclusion Measurement : Searching for an Alternative Index
• Susan Thomas, Indira Gandhi Institute of Development and Research, Mumbai
• Volatility forecasting for Distance-to-Default estimation
• T.V. Ramanathan, Savitribai Phule Pune University
• A new class of asymmetric volatility models
• Vitthal Kulkarni, HDFC Bank, Mumbai
• Recent Development in Derivatives Valuations under various Regulatory Guidelines.

Carnatic Music Concert and Coference Dinner

A carnatic music concert between 6.00 and 8.30 p.m. on Tuesday, 18th December followed by the conference dinner. The artists for the concert are:

• Shri J.A. Jayanth - Flute
• Shri K.J. Dileep - Violin
• Shri Kumbakonam Swaminathan - Mridangam

More Info

Venue

Chennai Mathematical Institute
H1, SIPCOT IT Park, Siruseri
Kelambakkam - 603103, India

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