Statistical Methods in Finance 2022

June 28 to July 2, 2022
Indian Standard Time
(IST)		 30th June, 2022
Conference Day 1
18:00-19:30 Session 1: Invited
18:00-18:45 Siuli Mukopadhyay,
IIT, Bombay
  • Predictive Maintenance of ATMs
    Abstract
18:45-19:30 Rustam Ibragimov,
Imperial College, London
  • New Approaches To Robust Inference On Market (Non-)Efficiency, Volatility Clustering And Nonlinear Dependence
    Abstract
19:30-20:30 Session 2: Plenary
19:30-20:30 Avanidhar Subrahmanyam,
University of California, Los Angeles
  • Determinants of Momentum: A Perspective From International Data
    Abstract
July 01, 2022
Conference Day 2
14:30-15:30 Session 3: Student paper competition
14:30-14:45 Vrinda,
IIT, Roorkee
  • Norm constrained minimum variance portfolios with short selling
    Abstract
14:45-15:00 Gantasala Naga Vyshnavi,
IIT, Tirupati
  • A Model for Lagged Cross Correlation Matrix from Long Range Dependent Indian Stock Market Data
    Abstract
15:00-15:15 Subhojit Biswas,
Texas A&M University
  • Replicating the Performance of a Portfolio of Stocks Using Minimum Dominating Set
    Abstract
15:15-15:30 Pavuluri Sushhma Seshu,
  • Dynamic Portfolio Optimization using Q Learning, Extreme Value Theory and Liquidity Measure for Indian Stocks
    Abstract
15:30-17:00 Session 4: Invited
15:30-16:15 Yoann Potiron,
Keio University, Tokyo
  • A tale of two time scales: Applications in Nonparametric Hawkes processes with Ito semimartingale Baselines
    Abstract
16:15-17:00 Catherine Forbes,
Monash University, Australia
17:00-17:30 Break
17:30-19:00 Session 5: Invited
17:30-18:15 Anindya Chakrabarti,
IIM, Ahmedabad
  • Information comovement and market risk : Inference from high-frequency trading data
    Abstract
18:15-19:00 Sayar Karmakar,
University of Florida
  • ARCH-GARCH models: Estimation, Inference, Forecasting
    Abstract
19:00-20:00 Session 6: Plenary
19:00-20:00 Jean-Pierre Fouque,
University of Calfornia, Santa Barbara
  • Mean Field Game and Mean Field Control Q-Learning
    Abstract
July 02, 2022
Conference Day 3
17:00-17:45 Session 7: Contributed
17:00-17:15 Tatiagoum K. Eric,
University of Dschang-Cameroon
  • Optimal Investment And Option Price
    Abstract
17:15-17:30 Suparna Biswas,
ISI, Bangalore
  • Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data
    Abstract
17:30-17:45 Mbhense Lindokuhle Sandile,
University of Zululand, KwaZulu-Natal
  • A Comparative Study of the Stylized Facts Of The South African and Indian Stock Market
    Abstract
17:45-18:00 Break
18:00-19:30 Session 8: Invited
18:00-18:45 Arshad Rahman,
IIT, Kanpur
  • Bayesian Quantile Regression in Ordinal Models
    Abstract
18:45-19:30 Shashi Jain,
IISc, Bangalore
  • A data-driven approach for static hedging of exchange-traded options
    Abstract
19:30-20:30 Session 9: Plenary
19:30-20:30 Per Mykland,
University of Chicago
  • Nonparametric Observed Standard Errors for High Frequency Data
    Abstract
20:30- 20:35 Closing and vote of thanks



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