StatFin2021: Program

Indian Standard Time (IST)	29th June, 2021 Conference Day 1
17:30-20:30	Session in Honour of Prof Rajeeva L Karandikar
17:30-18:00	Abhay G. Bhatt, Indian Statistical Institute, Delhi, India Welcome and introduction to the RLK session
18:00-18:45	Invited talk by Vidyadhar G. Kulkarni, University of North Carolina, Chapel Hill, USA Bouncing GBMs as a model of limit order books : Abstract
18:45-19:30	Invited talk by Youcheng Lou, Chinese Academy of Sciences, Beijing, China Information aggregation in a financial market with general signal structure : Abstract No Permission
19:30-20:30	Plenary talk by Svetlozar Rachev, Texas Tech University, Lubbock, USA A New Approach to Discrete Option Pricing in Finance: Abstract
	June 30, 2021 Conference Day 2
14:00-15:30	Contributed Session
14:00-14:15	Sanket Agrawal Indian Institute of Technology, Kanpur, India + Optimal Scaling of MCMC beyond Metropolis: Abstract
14:15-14:30	Shubhangi Sikaria + Granger Causality in Functional Time Series Data using Bayesian Analysis : Abstract
14:30-14:45	Rajnish Ranjan and Santosh Goteti Gain Credit, India + A Monte Carlo Approach to Simulate Loan Repayment and Forecasting : Abstract
14:45-15:00	Tushar Kanti Powdel Tezpur University, India + Modeling long term asset loss: Abstract
15:00-15:15	Suparna Biswas Indian Statistical Institute, Bangalore, India + Bounded Shortfall and it's Properties: Abstract
15:15-15:30	Sanyam Gupta + Six National Currency Exchange Value Actuation and Optimal Decision Synthesize: Abstract Absent
15:30-16:15	Invited talk by Yarema Okhrin, University of Augsburg, Augsburg, Germany Optimal shrinkage-based portfolio selection in high dimensions: Abstract
16:15-17:00	Invited talk by Hanlin Shang, Macquarie University, Sydney, Australia Bootstrap prediction bands for functional time series: Abstract
17:00-17:30	Break
17:30-18:15	Invited talk by Sumanta Basu, Cornell University, Ithaca, USA Learning Financial Networks with Graphical Models of Time Series Data: Abstract
18:15-19:00	Invited talk by David Puelz, University of Chicago, Chicago, USA Monotonic Effects of Characteristics on Returns: Abstract
19:00-20:00	Plenary talk by Anil Bera, University of Illinois, Urbana-Champaign, USA Spatial Analysis: From the Big Bang to the Frontier(?) Abstract
	July 1, 2021 Conference Day 3
14:00-15:30	Young Researcher Session Siphumlile Mangisa, Nelson Mandela University, South Africa + Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression with Point of Impact: The Role of Currency and Equity Markets: Abstract Arnab Chakrabarti, + Filtering of comovement networks from high-dimensional data: Abstract Purba Das, University of Oxford, UK + Quadratic variation and quadratic roughness: Abstract Sourav Majumdar, Indian Institute of Management, Ahmedabad, India + Pairs trading with topological data analysis: Abstract
15:30-16:15	Invited talk by 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
16:15-17:00	Invited talk by Rafal Kulik, University of Ottawa, Ottawa, Canada Estimation of Extreme Risk Measures for Heavy Tailed Time Series Abstract
17:00- 17:30	Break
17:30-20:30	Session in Honour of Prof Mrinal K Ghosh
17:30-18:00	Introduction to MKG session by K S Mallikarjuna Rao Indian Institute of Technology, Mumbai, India
18:00-18:45	Invited talk by Tomoyuki Ichiba University of California, Santa Barbara, USA Relative arbitrage among investors Abstract
18:45-19:30	Invited talk by Erhan Bayraktar University of Michigan, Ann Arbor, USA Graphon mean field systems: large population and long time limits Abstract
19:30-20:30	Plenary talk by Rene Carmona Princeton University, Princeton, USA Model-Free Mean-Field Reinforcement Learning Abstract
20:30- 20:35	Vote of Thanks

Statistical Methods in Finance 2021

Committee

Workshop

Conference

Student Paper

Key Dates

Communication

StatFin Main Webpage