IGIDR Workshop on Mathematics and Economics, 15-17 October, 2015

Faculty Lounge, IGIDR, Bombay

Overview

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:

  1. Communicate facts about the working of financial markets in India.
  2. Describe the IGIDR Finance Research Group (FRG) data centre.
  3. Short talks about specific areas where interesting stuff is happening worldwide.
  4. Brain storming and unstructured conversations, ideally leading up to potential project ideas.

15th October 2015

10:00 - 13:00 A description of the Indian financial markets, Ravi Varanasi
13:00 - 14:00 Lunch
14:00 - 17:00 The database at IGIDR FRG, Chirag Anand

16th October 2015

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

17th October 2015

09:30 - 10:00 Gropu photograph, coffee, tea and snacks
10:00 - 11:30 High performance computing on the IGIDR FRG database, Chirag Anand
11:30 - 12:00 Coffee break
12:00 - 12:30 Measuring liquidity, Rajat Tayal
12:30 - 13:00 Backing out central bank intervention -- a problem statement, Ajay Shah.
13:00 - 14:00 Lunch
14:00 - 17:00 Open discussion on projects, collaboration and way forward