Workshop IV: Forensic Analysis of Financial Data - IPAM

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

08:00-08:55
Check-In/Light Breakfast (Hosted by IPAM)
08:55-09:00
Welcome and Opening Remarks
09:00-09:45
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?
11:00-11:30
Break
11:30-12:15
Rama Cont (Imperial College)
Dissecting the Black Swan: forensic analysis of market events

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
David Donoho (Stanford University)
What's the big deal about big data? Emerging Opporunities posed by High-Dimensional Data
15:00-15:45
Torben Andersen (J. L. Kellogg Graduate School of Management)
On the VPIN Metric as a Warning Signal for Market Stress
16:00-16:30
Break
16:30-17:30
Andrew Lo (Massachusetts Institute of Technology)
Public Lecture: Can Financial Engineering Cure Cancer? A New Approach to Funding Biomedical Innovation
17:30-19:00
Reception (Location: IPAM Lobby)

Tuesday, May 19, 2015

Morning Session

08:00-09:30
Check-In/Breakfast (Hosted by IPAM)
09:30-10:15
Jianqing Fan (Princeton University)
Incorporating GISC and High Frequency Data into Portfolio Allocation and Risk Estimation
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

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-14:45
Robert Almgren (Quantitative Brokers and NYU)
Title not available
15:00-15:45
Mila Getmansky Sherman (University of Massachusetts Amherst)
Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks
16:00-16:30
Break
16:30-17:30
Andrew Lo (Massachusetts Institute of Technology)
Research Lecture: Evolutionary Foundations of Economic Behavior, Bounded Rationality, and Intelligence

Wednesday, May 20, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
Anwei Chai (Prediction)
High frequency trading in practice
10:00-10:45
John Liechty (Pennsylvania State University)
Macroeconomic Patterns in System-Wide Liquidity Regimes
11:00-11:30
Break
11:30-12:15
Mark Flood (Office of Financial Research US Treasury)
Measuring financial relationships

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Lakshithe Wagalath (IESEG School of Management)
Fire sales forensics: measuring endogenous risk
15:00-15:30
Break
15:30-17:00
Panel Discussion: Joe Langsam, Terry Hendershott, Andrei Kirilenko, Mark Flood and Bill Morokoff

Thursday, May 21, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
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
Ulrich Horst (Humboldt-Universität)
Optimal Order Display in Limit Order Markets with Liquidity Competition

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Patrick Barkhordarian (Integral Development Corporation)
Empirical Analysis of the Microstructure of Electronic Over-the-Counter Foreign Exchange
15:00-15:45
Michael Ohlrogge (Stanford University)
The Role of Securitization in the Growth of Subprime Mortgage Lending
16:00-16:30
Break
16:30-17:15
Bill Morokoff (SimCorp)
Modeling Challenges for Credit Risk and Economic Forecasting
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