Statistical Methods in Finance 2019

Dec 16 - 21, 2019
Monday, December 16, 2019
Workshop Day 1
9:00- 10:30 Sourish Das, CMI
  • Intro to Supervised Learning
  • Classification -- Credit Scoring with German Credit Score Data
    List of algo: (i) Logistic Regression, (ii) Linear Discriminant Analysis, (iii) Naive Bayes, (v) Decision Tree, (vi) Random Forest (vi) SVM, (vii) Neural Network
  • Hands-on with Python and R with Colab
10:30-10:45 High Tea
10:45- 12:00 Sourish Das, CMI
  • Regression -- Capital Asset Pricing Model with US Stock Market Data
12:00- 12:30 Discussion
12:30- 14:00 Lunch
14:00- 15:30 Rituparna Sen, ISI
  • Risk Analysis
15:30-15:45 High Tea
15:30-16:55 Rituparna Sen, ISI
  • Risk Analysis
Tuesday, December 17, 2019
Workshop Day 2
9:00- 10:30 Anirban Chakraborti, JNU
  • Unsupervised Learning
  • PCA on Stocks Return to discover the major direction of the market
10:30-10:45 High Tea
10:45- 12:00 Anirban Chakraborti, JNU
  • Cluster Stocks based on Risk Profile
  • PCA on Stocks Return to discover the major direction of the market
12:00- 12:30 Discussion
12:30- 14:00 Lunch
14:00- 15:30 Rituparna Sen, ISI
  • Option Pricing
15:30-15:45 High Tea
15:45-16:45 Rituparna Sen, ISI
  • Option Pricing
Wednesday, December 18, 2019
Workshop Day 3
9:15- 10:30 Priyavrat Deshpande, CMI
  • Topological Data Analysis in Finance
10:30-10:45 High Tea
10:45- 12:30 Sourish Das, CMI
  • Bond Mathematics and Yield Curve Modeling
12:30- 14:00 Lunch
14:00- 15:30 Anirban Chakraborti , JNU
  • Portfolio Optimization
15:30-15:45 High Tea
15:45-16:45 Anirban Chakraborti , JNU
  • Portfolio Optimization
18:00-20:30 Carnatic Music
20:30-21:30 Conference Dinner
Thursday, December 19, 2019
Conference Day 1
9:00- 10:00 Plenary Talk by Richard A. Davis Columbia University, New York, USA
  • Inference on the tail process with application to financial time series modelling
    • Abstract
10:00-10:15 High Tea
10:20- 11:05 Invited talk by Sandeep Juneja, TIFR, Bombay
  • Partition identification using multi-armed bandits for general distributions
Abstract
11:10- 11:55 Invited Talk by Naveen Narisetty, University of Illinois at Urbana-Champaign
  • Censored Quantile Regression Models with a Cure Proportion
Abstract
12:00- 12:45 Invited Talk by Santanu Dutta, Tezpur University
  • Forecasting Market Risk of Indian Equity and Bond Market Indices
Abstract
12:45- 14:30 Lunch
14:30- 15:15 Invited Talk by Rohini Kumar, Wayne State University, USA
  • Portfolio optimization in a short time horizon
Abstract
15:15-15:30 High Tea
15:30- 16:15 Invited Talk by Saravanan Vijayakumaran, IIT Bombay
  • Can blockchains be used to prevent bank scams?
16:15-17:05 Invited Talk by Madhavan Mukund, CMI
  • TBA
Friday, December 20, 2019
Conference Day 2
9:00- 10:00 Invited Talk by Susan Thomas, IGIDR
  • Matching methods in firm data: analysing the impact of restructuring on firm performance
Abstract
10:00-10:20 High Tea
10:20- 11:05 Invited Talk by N Balakrishna, Statistics, Cochin University of Science And Technology
  • Stochastic volatility generated by Product autoregressive models
Abstract
11:10-11:55 Invited Talk by Ajay Shah, NIPFP
  • Understanding the financial stress in India after the IL&FS default
Abstract
12:00- 12:45 Invited Talk by Christina Dan Wang, NYU Shanghai
  • Estimating and Forecasting Volatility using Leverage Effect
Abstract
12:45- 14:30 Lunch
14:30- 15:15 Invited Talk by Indranil Sengupta, North Dakota State University, USA
  • A data science driven improvement of hedging in the financial market
Abstract
15:15-15:30 High Tea
15:30-16:15 Invited Talk by Balaji Raman, Cogitaas, India
  • Measuring Return on Marketing Investment
Abstract
16:15-16:30 Contributed talk by Syamala Krishnakumar, University of Zululand, South Africa
  • Financial Time Series Forecasting using Statistical Methods: A Comparative Study
Abstract
18:00-20:00 Vocal concert by Smt. Sangeetha Swaminathan, accompanied on the violin by Shri M.R. Gopinath and on the mridangam by Shri Poongulam Subramanian.
This concert is organised by the Music Club of CMI.
Saturday, December 21, 2019
Conference Day 3
9:00- 10:00 Plenary Talk by Kose John,Stern School of Business, New York, USA
10:00-10:20 High Tea
10:20- 10:35 Contributed talk by Shubhangi Sikaria, IIT Madras
  • Multi-period Portfolio Optimization with Bayesian Updating
Abstract
10:35-10:50 Contributed talk by Venugopal R, PSG College of Technology
  • An exploration on fuzzy inference system for daily trading decision under fuzzy environmental
Abstract
10:50- 11:35 Invited Talk by Dale Rosenthal, Q36 Chicago, USA
  • Realized Variance Polluted by Bid-Ask Spreads: Direct versus Indirect Corrections
Abstract
11:40-12:25 Invited Talk by Tathagata Bandyopadhay, IIM Ahmedabad,
  • Household Inflation Expectations of Urban Indians: An empirical Investigation
Abstract
12:25- 12:35 Vote of Thanks
12:35- 14:00 Lunch



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