Overview
The sixth 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
on virtual platform.Attendees
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Plenary Speakers
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| Anil Bera, University of Illinois, Urbana-Champaign, USA |
| Spatial Analysis: From the Big Bang to the Frontier(?) Abstract |
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| René Carmona, Princeton University, USA |
| Model-Free Mean-Field Reinforcement Learning Abstract |
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| Svetlozar (Zari) Rachev, Texas Tech University, Lubbock, USA |
| A New Approach to Discrete Option Pricing in Finance Abstract |
Workshop
Workshop on Data Science in Finance will be conducted byInvited Speakers
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| Sumanta Basu, Cornell University, Ithaca, USA |
| Learning Financial Networks with Graphical Models of Time Series Data Abstract |
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| Erhan Bayraktar, University of Michigan, Ann Arbor, USA |
| Graphon mean field systems: large population and long time limits Abstract |
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| Yulia Gel, University of Texas, Dallas, USA |
| Dissecting Ethereum Blockchain Analytics: What We Learn on Token Price from Topology and Geometry of Ethereum Transaction Graph Abstract |
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| Tomoyuki Ichiba, University of California, Santa Barbara, USA |
| Relative arbitrage among investors Abstract |
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| Rafal Kulik,University of Ottawa, Ottawa, Canada |
| Estimation of Extreme Risk Measures for Heavy Tailed Time Series Abstract |
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| Vidyadhar G. Kulkarni, University of North Carolina, Chapel Hill, USA |
| Bouncing GBMs as a model of limit order books Abstract |
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| Youcheng Lou, Chinese Academy of Sciences, Beijing, China |
| Information aggregation in a financial market with general signal structure Abstract |
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| Yarema Okhrin, University of Augsburg, Augsburg, Germany |
| Optimal shrinkage-based portfolio selection in high dimensions Abstract |
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| David Puelz, University of Chicago, Chicago, USA |
| Monotonic Effects of Characteristics on Returns Abstract |
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| Hanlin Shang, Macquarie University, Sydney, Australia |
| Bootstrap prediction bands for functional time series Abstract |
Young Researcher's Session
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| Arnab Chakrabarti, Indian Institute of Management, Ahmedabad, India |
| Filtering of comovement networks from high-dimensional data Abstract |
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| Purba Das, University of Oxford, UK |
| Quadratic variation and quadratic roughnessAbstract |
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| Sourav Majumdar, Indian Institute of Management, Ahmedabad, India |
| Pairs trading with topological data analysisAbstract |
More Info
The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.
This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:
The motivating application areas could be: For More Detail ...If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at statfin@cmi.ac.in, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.
You must submit your paper by May 15, 2021, to be considered for the competition. Mail your paper at statfin@cmi.ac.in
Read more
Application for Registration is open now.
Venue
Virtual platform
Registration
To be considered for contributed oral presentation, full paper should be submitted by May 15, 2021. Mail your paper at statfin@cmi.ac.in
If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at statfin@cmi.ac.in, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.
You must submit your paper by May 15, 2021, to be considered for the competition.
Read moreApplication for Registration is closed.