Workshop IV: Forensic Analysis of Financial Data

May 18 - 21, 2015

Schedule


Monday, May 18, 2015

9:00 - 9:45
Andrew Lo (Massachusetts Institute of Technology)

Big Data, Big Brother, and Systemic Risk Measurement and Management

 
10:00 - 10:45
Chris Hart (National Transportation Safety Board)

Commercial Aviation Risk Management: Useful for Financial Industry?
PDF Presentation

 
11:30 - 12:15
2:00 - 2:45
David Donoho (Stanford University)

 

 
3:00 - 3:45
Torben Andersen (J. L. Kellogg Graduate School of Management)

On the VPIN Metric as a Warning Signal for Market Stress

4:30 - 5:30 Please note different location: Korn Convocation Hall

Tuesday, May 19, 2015

9:30 - 10:15
11:00 - 11:45
Norm Champ (Visiting Scholar, Harvard Law School)

Who Needs Data? The Struggle to Make the SEC More Data-Driven
PDF Presentation

 
2:00 - 2:45
Robert Almgren (Quantitative Brokers and NYU)

 

3:00 - 3:45
Mila Getmansky Sherman (UMass Amherst: Isenberg School of Management)

Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks

4:30 - 5:30 Please note different location: Korn Convocation Hall

Wednesday, May 20, 2015

9:00 - 9:45
Anwei Chai (Prediction)

 

 
10:00 - 10:45
John Liechty (Pennsylvania State University)

Macroeconomic Patterns in System-Wide Liquidity Regimes
PDF Presentation

 
11:30 - 12:15
Mark Flood (Office of Financial Research US Treasury)

Measuring financial relationships
PDF Presentation

2:00 - 2:45
Lakshithe Wagalath (IESEG School of Management)

Fire sales forensics: measuring endogenous risk

 

Thursday, May 21, 2015

9:00 - 9:45
Terrence Hendershott (University of California, Berkeley (UC Berkeley))

Market Integration and High Frequency Intermediation

 
10:00 - 10:45
Andrei Kirilenko (Massachusetts Institute of Technology)

Latency and Asset Prices

 
11:30 - 12:15
2:00 - 2:45
3:00 - 3:45
4:30 - 5:15