Statistical Methods in Finance 2022

June 28 to July 2, 2022


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.


List of participants

Plenary Speakers

Jean-Pierre Fouque, University of California, Santa Barbara, USA
Mean Field Game and Mean Field Control Q-Learning

Per Mykland,University of Chicago, USA
Nonparametric Observed Standard Errors for High Frequency Data

Avanidhar Subrahmanyam, University of California, Los Angeles, USA
Determinants of Momentum: A Perspective From International Data


Workshop on Artificial Intelligence in Finance

Invited Speakers

Anindya Chakrabarti,Indian Institute of Management, Ahmedabad, India
Information comovement and market risk : Inference from high-frequency trading data

Catherine Forbes, Monash University, Australia
Familial Inference

Sayar Karmakar, University of Florida, USA
ARCH-GARCH models: Estimation, Inference, Forecasting

Rustam Ibragimov, Imperial College, London, UK
New Approached to Robust Inference On Market (Non-)Efficiency, Volatility Clustering And Nonlinear Dependence

Shashi Jain, Indian Institute of Science, Bangalore, India
A data-driven approach for static hedging of exchange-traded options

Yoann Potiron, Keio University, Tokyo, Japan
Generating observation times with a hitting-boundary process in high-frequency data

Mohammad Arshad Rahman, Indian Institute of Technology, Kanpur
Bayesian Quantile Regression in Ordinal Models

Siuli Mukopadhyay, Indian Institute of Technology, Bombay
Predictive Maintenance of ATMs

Contributed Session

Tatiagoum K. Eric, University of Dschang-Cameroon
Optimal Investment And Option Price

Suparna Biswas, ISI, Bangalore
Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data

Mbhense Lindokuhle Sandile, University of Zululand, KwaZulu-Natal
A Comparative Study of the Stylized Facts Of The South African and Indian Stock Market

Mbhense Lindokuhle Sandile, University of Zululand, KwaZulu-Natal
A Comparative Study of the Stylized Facts Of The South African and Indian Stock Market

Student Paper Competition: Finalist

IIT, Roorkee
Norm constrained minimum variance portfolios with short selling

Gantasala Naga Vyshnavi,
IIT, Tirupati
A Model for Lagged Cross Correlation Matrix from Long Range Dependent Indian Stock Market Data

Subhojit Biswas,
Texas A&M University
Replicating the Performance of a Portfolio of Stocks Using Minimum Dominating Set

Pavuluri Sushhma Sesh,
IISER, Tirupati
Dynamic Portfolio Optimization using Q Learning, Extreme Value Theory and Liquidity Measure for Indian Stocks

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, 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

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Application for Registration will open soon.