There is important new work taking place at the frontiers, in the
interfaces between mathematics and economics. Persons in the workshop
would get a better sense of the research landscape and look for
opportunities for collaborative research. The goals of this workshop
include:
09:30 - 10:30 |
An introduction to algorithmic trading,
Nidhi Aggarwal |
10:30 - 11:00 |
Research questions in systemic risk, Josh Felman.
|
11:00 - 11:30 |
Exploiting HF data for risk measurement, Susan Thomas.
|
11:30 - 12:00 |
Coffee break
|
12:00 - 12:30 |
Portfolio optimisation in a fat tailed world, Rajeeva Karandikar.
|
12:30 - 13:00 |
Commodity futures trading: a case study, Abhay G. Bhatt.
|
13:00 - 14:00 |
Lunch
|
14:00 - 15:00 |
Machine learning in household data?, Renuka Sane
|
14:45 - 15:30 |
Functional data analysis, and two applications, Rituparna Sen
|
15:30 - 16:00 |
Bayesian approach to fat tailed distributions, Sourish Das
|
16:00 - 16:30 |
Measuring VIX, Rohini Grover.
|
19:00 - 22:00 |
Dinner at 38P
|