Overview
The seventh 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.Participants
List of participantsPlenary Speakers
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| Jean-Pierre Fouque, University of California, Santa Barbara, USA |
| Mean Field Game and Mean Field Control Q-Learning Abstract |
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| Per Mykland,University of Chicago, USA |
| Nonparametric Observed Standard Errors for High Frequency Data Abstract |
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| Avanidhar Subrahmanyam, University of California, Los Angeles, USA |
| Determinants of Momentum: A Perspective From International Data Abstract |
Workshop
Workshop on Artificial Intelligence in FinanceInvited Speakers
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| Anindya Chakrabarti,Indian Institute of Management, Ahmedabad, India |
| Information comovement and market risk : Inference from high-frequency trading data Abstract |
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| Catherine Forbes, Monash University, Australia |
| Familial Inference Abstract |
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| Sayar Karmakar, University of Florida, USA |
| ARCH-GARCH models: Estimation, Inference, Forecasting Abstract |
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| Rustam Ibragimov, Imperial College, London, UK |
| New Approached to Robust Inference On Market (Non-)Efficiency, Volatility Clustering And Nonlinear Dependence Abstract |
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| Shashi Jain, Indian Institute of Science, Bangalore, India |
| A data-driven approach for static hedging of exchange-traded options Abstract |
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| Yoann Potiron, Keio University, Tokyo, Japan |
| Generating observation times with a hitting-boundary process in high-frequency data Abstract |
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| Mohammad Arshad Rahman, Indian Institute of Technology, Kanpur |
| Bayesian Quantile Regression in Ordinal Models Abstract |
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| Siuli Mukopadhyay, Indian Institute of Technology, Bombay |
| Predictive Maintenance of ATMs Abstract |
Contributed Session
| Tatiagoum K. Eric, University of Dschang-Cameroon |
| Optimal Investment And Option Price Abstract |
| Suparna Biswas, ISI, Bangalore |
| Estimation of Spectral Risk Measure for Left Truncated and Right Censored DataAbstract |
| Mbhense Lindokuhle Sandile, University of Zululand, KwaZulu-Natal |
| A Comparative Study of the Stylized Facts Of The South African and Indian Stock MarketAbstract |
| Mbhense Lindokuhle Sandile, University of Zululand, KwaZulu-Natal |
| A Comparative Study of the Stylized Facts Of The South African and Indian Stock MarketAbstract |
Student Paper Competition: Finalist
| Vrinda, IIT, Roorkee |
| Norm constrained minimum variance portfolios with short selling Abstract |
| Gantasala Naga Vyshnavi, IIT, Tirupati |
| A Model for Lagged Cross Correlation Matrix from Long Range Dependent Indian Stock Market Data Abstract |
| Subhojit Biswas, Texas A&M University |
| Replicating the Performance of a Portfolio of Stocks Using Minimum Dominating Set Abstract |
| Pavuluri Sushhma Sesh, IISER, Tirupati |
| Dynamic Portfolio Optimization using Q Learning, Extreme Value Theory and Liquidity Measure for Indian Stocks Abstract |
More Info
Student Paper Competition
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, 2022.
You must submit your paper by May 15, 2022, to be considered for the competition. Mail your paper at statfin@cmi.ac.in
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