Statistical Methods in Finance 2021

June 27 to July 1, 2021, 2-8pm IST













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








Plenary Speakers



Anil Bera, University of Illinois, Urbana-Champaign, USA
Spatial Analysis: From the Big Bang to the Frontier(?)
Abstract




René Carmona, Princeton University, USA
Model-Free Mean-Field Reinforcement Learning
Abstract


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 by



Invited Speakers

Sumanta Basu, Cornell University, Ithaca, USA
Learning Financial Networks with Graphical Models of Time Series Data
Abstract


Erhan Bayraktar, University of Michigan, Ann Arbor, USA
Graphon mean field systems: large population and long time limits
Abstract


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


Tomoyuki Ichiba, University of California, Santa Barbara, USA
Relative arbitrage among investors
Abstract


Rafal Kulik,University of Ottawa, Ottawa, Canada
Estimation of Extreme Risk Measures for Heavy Tailed Time Series
Abstract


Vidyadhar G. Kulkarni, University of North Carolina, Chapel Hill, USA
Bouncing GBMs as a model of limit order books
Abstract


Youcheng Lou, Chinese Academy of Sciences, Beijing, China
Information aggregation in a financial market with general signal structure
Abstract


Yarema Okhrin, University of Augsburg, Augsburg, Germany
Optimal shrinkage-based portfolio selection in high dimensions
Abstract


David Puelz, University of Chicago, Chicago, USA
Monotonic Effects of Characteristics on Returns
Abstract


Hanlin Shang, Macquarie University, Sydney, Australia
Bootstrap prediction bands for functional time series
Abstract

Young Researcher's 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, Indian Institute of Management, Ahmedabad, India
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


More Info

Call for Papers in Sankhya B: Special Issue on Recent Advances in Statistical Finance

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

  • Who Can apply?
  • Eligibility
  • Conference Registration Fees:
  • Workshop Registration Fees:
  • 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 more

    Application for Registration is closed.