Statistical Methods in Finance 2024

Novel Techniques in Economic and Business Statistics in the Era of Gen AI


	
December 17 to 21, 2024

	
	 
	

  
	
 






	

		

		

		

    













 	
Program Schedule





  
    
    

      
        19-Dec-2024
      
    

    

      09:15 - 10:00
      
        Title: Decoding Market Disorder: A Data Science Perspective

        By: Anirban Chakraborti, Jawaharlal Nehru University, New Delhi, India

        Abstract
      		
    

    

      10:00 - 10:45
      
        Title: But clouds got in my way: Bias and bias correction of VIIRS nighttime lights data in the presence of clouds

        By: Ajay Shah, XKDR Forum, Mumbai, India

        Abstract
      		
    

    

      10:45 - 11:10
      High Tea
    

    

      11:10 - 11:55
      
        Title: Tail Index Estimation for Tail Adversarial Stable Time Series with an Application to Russel 3000 Index

        By: Tharuvai (T. N.) Sriram, University of Georgia, USA

        Abstract
      		
    

    

      11:55 - 12:40
      
        Title: Understanding Financial Markets: Some Explorations with Topological Data Analysis

        By: Arnab Laha, Indian Institute of Management, Ahmedabad

        Abstract
      		
    

    

      12:40 - 14:15
      Lunch
    

    

      14:15 - 15:00 (online)
      
        Title: Constructing fake (fractional) Brownian Motion, and more general rough process   

        By: Purba Das, King's College, London, UK

        Abstract
      		
    

    

      15:00 - 15:45
      
        Title: A Monte Carlo Study of Pension Sustainability and Inflation Dynamics

        By: Bikramaditya Datta, Indian Institute of Technology, Kanpur

        Abstract
      		
    

    

      15:45 - 16:30
      
        Title: Using Liquid Factors to Analyze Illiquid Funds

        By: Dale Rosenthal, Parametric/Morgan Stanley, USA

        Abstract
      		
    


    
    

      
        20-Dec-2024
      
    

    

      09:15 - 10:00
      
        Title: Modelling Market Microstructure with High-Frequency Data

        By: Diganta Mukherjee, Indian Statistical Institute, Kolkata

        Abstract
      		
    

    

      10:00 - 10:45
      
        Title: Hierarchical Modeling of Multiple Synchronized Irregularly Spaced Financial Returns

        By: Nalini Ravishanker, University of Connecticut, Storrs, USA

        Abstract
      		
    

    

      10:45 - 11:10
      High Tea
    

    

      11:10 - 11:55
      
        Title: Crypto-Statistics: A Study of Statistical Behavior of Crypto-currencies

        By: Ravindra Khattree, Oakland University, USA

        Abstract
      		
    

    

      11:55 - 12:40
      
        Title: Justice delayed: methods to estimate the time taken in courts

        By: Susan Thomas, XKDR, Mumbai, India

        Abstract
      		
    

    

      12:40 - 12:45
      Photo Session
    

    

      12:45 - 14:00
      Lunch
    

    

      14:00 - 14:55
      
        Contributed Papers:

        

        
    
        
  1. The Impact of Meteorological Factors on Crop Price Volatility in India: Case studies of Soybean and Brinjal, 
    By Ashok 	Kumar, Abstract
    2.   
    
        
        
  2. A Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework, 
     By Sourojyoti Barick, Abstract
    3. 
        
    
        
  3. Analyzing the progress of Indian states chasing sustainable development goals using complexnetwork framework 
    By Hrishidev	Unni, Abstract
    4. 
        

      		
    

    

      15:00 - 16:15
      
        Panel Discussion: Role of Statistics and Statisticians in the Era of Gen AI

        

        Panelists:

        Rajeeva Karandikar,CMI
 
        Ajay Shah, XKDR Forum
 
        V Rajeswaran, Capgemini
 
        

        Moderator: Sourish Das, CMI
      		
    

    

      18:00 - 20:30
      
        Musical Concert followed by Conference Dinner
      
    


    
    

      
        21-Dec-2024
      
    

    

      09:15 - 10:40
      
        Contributed Papers:

        

        
    
        
  1. European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning,
     By Naman Krishna	Pande Abstract Absent
    2. 
        
    
        
  2. Estimation of Change Point in Functional Ttime Series,
     By Debanjana Datta Abstract
    3. 
        
    
        
  3. Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data,
     By Suparna	Biswas Abstract
    4. 
        
    
         
  4. Explaining Indian stock Market through the geometry of the scale free Networks, 
     By Pawnesh Abstract
    5. 
        
    
         
  5. High-frequency Cryptocurrency Correlation Modeling using Copulas, 
     By Akshay	Kaushal Abstract Absent
    6. 
      

    

    

      10:40 - 11:20
      High Tea and Poster Session
      

      
    
      
  1. Game Theory : Statistical Perspective in Business & Finance 
    
      By Kundan Prasad, IDBI Bank, Abstract
      
    2. 
      
    
      
  2. EU-EV and Vine copula approach for intra-sectoral dependence in Indian stock market
    
      By Pankaj	Kumar, IIT Jodhpur, Abstract
      
    3. 
      
    
      
  3. Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach
    
      By Sanjay Sathish, Shiv Nadar Inst of Eminence, Abstract
      
    4. 
      
    
      
  4. A local radial point interpolation method for pricing European options under liquidity shocks
    
      By Vinay Patel, IIT Patna, Abstract Absent
      
    5. 
      
    
      
  5. A local radial basis function based numerical scheme for pricing American put
    
      By Ram Sagar, IIT Patna, Abstract Absent
      
    6. 
      
    
      
  6. High order compact scheme for pricing interest rate derivatives under Hull-White model
    
      By Bidyadhar Sahu, IIT Patna, Abstract Absent
      
    7. 
      
    
      
  7. Cross-Border Merger & Acquisition and Firm  Performance
    
      By Rishav Raj, IIM Bodh Gaya, Abstract Absent
      
    8. 
      
    
      

      		
    

    

      11:20 - 12:05
      
        Title: Machine Learning in Option Pricing

        By: Anindya Goswami, IISER, Pune

        Abstract
      		
    

    

      12:05 - 12:50
      
        Title: Trading suspensions and food price inflation

        By: Nidhi Aggarwal, Indian Institute of Management Udaipur

        Abstract
      		
    

    

      12:50 - 13:05
      Vote of Thanks
    

    

      13:05 - 14:30
      Lunch
    

  


















	
		

		
 




	

	

	
Local Info

		
	
Committee

		
	
  
	
Student Paper

			
		
	

Key Dates

		
		
	
Communication

		


	
StatFin Main Webpage