Workshop IV: Forensic Analysis of Financial Data

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics
May 18 - 21, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Monday, May 18, 2015

Morning Session
8:00 - 8:55 Check-In/Breakfast (Hosted by IPAM)
8:55 - 9:00 Welcome and Opening Remarks
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

 
11:00 - 11:30 Break
11:30 - 12:15
12:30 - 2:00 Lunch (on your own)

Afternoon Session
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

4:00 - 4:30 Break
4:30 - 5:30 Please note different location: Korn Convocation Hall
5:30 - 7:00 Please note different location: Fowler Museum Terrace
Reception (Location: IPAM Lobby)

Tuesday, May 19, 2015

Morning Session
8:00 - 9:30 Breakfast (hosted by IPAM)
9:30 - 10:15
10:30 - 11:00 Break
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

 
12:00 - 2:00 Lunch (on your own)

Afternoon Session
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

4:00 - 4:30 Break
4:30 - 5:30 Please note different location: Korn Convocation Hall

Wednesday, May 20, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
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

 
11:00 - 11:30 Break
11:30 - 12:15
Mark Flood (Office of Financial Research US Treasury)

Measuring financial relationships
PDF Presentation
12:30 - 2:00 Lunch (on your own)

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

Fire sales forensics: measuring endogenous risk

 
3:00 - 3:30 Break
3:30 - 5:00 Panel Discussion: Joe Langsam, Terry Hendershott, Andrei Kirilenko, Mark Flood and Bill Morokoff

Thursday, May 21, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
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

 
11:00 - 11:30 Break
11:30 - 12:15
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
3:00 - 3:45
4:00 - 4:30 Break
4:30 - 5:15