Research Workshop and Conference on
Statistical methods in finance
July 13-17, 2015
Chennai, India

Organized by

Chennai Mathematical Institute
and
Indian Statistical Institute, Chennai

The two minicourses will be given by

Susan Thomas, Indira Gandhi Institute of Development Research The working of financial markets

T V Ramanathan, University of Pune Volatility: Modeling and Estimation

Day 1-3: July 13-15

10:00-10:50 Susan Thomas
10:50-11:00 Break
11:00-11:50 Susan Thomas
11:50-12:45 Snacks and poster session
12:45-13:15 Discussion on Prof Thomas' lectures
13:15-14:30 Lunch break
14:30-15:20 T V Ramanathan
15:20-15:30 Break
15:30-16:20 T V Ramanathan
16:20-16:45 Tea/Coffee break
16:45-17:15 Discussion on Prof Ramanathan's talk

Day 4: July 16

10:00-11:00 Rudra Pradhan, IIT Kharagpur Financial Market Forecasting
11:00-12:00 N Balakrishna, CUSAT Financial Time Series Analysis
12:00-12:15 Snacks
12:15-13:15 Diganta Mukherjee, ISI Kolkata Pricing a Class of Lévy Driven Barrier Options using PIDE
13:15-14:30 Lunch break
14:30-15:30 Pulak Ghosh, IIM BangaloreStatistics, Big Data and Finance
15:30-15:45 Tea/Coffee break
15:45-16:45 Anindya Goswami, IISER Pune Statistical Inference in a Regime Switching Market

Day 5: July 17

10:00-11:00 Ananya Lahiri, CMI Fractional Brownian Motion
11:00-12:00 P Manimaran, AIMSCS Time Series Analysis
12:00-12:15 Snacks
12:15-13:15Tapen Sinha, ITAM, Mexico Pricing of Microinsurance of Solar Panels
13:15-14:30 Lunch break
14:30-15:30 Anirban Chakraborti, JNU Econophysics
15:30-15:45 Tea/Coffee break
15:45-16:45 Tapen Sinha, ITAM, Mexico Time Series Methods in Geological Time Scale

Posters

  1. Analysis of Financial Markets using High-Frequency Data
    Rishu Kumar Singh, The Institute of Mathematical Sciences, Chennai
  2. An Overview of Financial Risk Management: An Opportunity for Statistical Research
    Savitri Joshi, Department of Statistics, Central University of Rajasthan
  3. A Study of Improved Chain Ratio-cum-Regression type Estimator for Population Mean in the Presence of Non- Response for Fixed Cost and Specified Precision
    Habib Ur Rehman, Department of Statistics, Banaras Hindu University
  4. Modeling of National Pension Scheme and its performance
    Saurabh Kumar, Central University of Rajasthan
  5. Global Transmission of Volatility across International Stock Markets: A Network Study
    Amarnath Mitra,IBS, Hyderabad.