IGIDR-NESL workshop on Mathematics and Economics, 1-3 September, 2017

Conference room, IGIDR, Bombay

Confirmed participants

Nidhi Aggarwal, IIM, Udaipur
Chirag Anand, Ukaar
Hindol Basu, Tata Insights & Quants
Abhay Bhatt, Deepayan Sarkar, ISI, Delhi
Piyush Chourasia, Neeraj Kulshrestha, BSE
Sourish Das, Rajeeva Karandikar, Raghu Viswanathan, Chennai Mathematical Institute
Arunkumar Ganesan, India INX
Nishant K, Malavika Raghavan, IFMR Finance Foundation
Aneesh Jain, Gram Unnati Foundation
Sandeep Juneja, TIFR
Kaushik Krishnan, Shashank Gupta, True North
Renuka Sane, Ajay Shah, NIPFP
Suryaganesh Sastry, Meru cabs
Mihir Shah, NCDEX
Venkatachalam Shunmugam, MCX
Susan Thomas, Rajeswari Sengupta, IGIDR
Ravi Varanasi, NSE


In this workshop, we explore work at the interface between mathematics, statistics and economics. The goals of this workshop include:

  1. Forge connections between academics and industry in the emerging applications of mathematics, statistics and economics into the real world.
  2. Describe the IGIDR Finance Research Group (FRG) data centre.
  3. Short talks about specific areas where interesting work is happening.
  4. Brain storming and unstructured conversations, ideally leading up to potential project ideas.

(Names marked in bold have been confirmed in the program.)

1st September 2017

10:00 - 11:00 A IGIDR FRG markets data presentation - where we are, what works, what does not work, Chirag Anand
11:00 - 12:00 Modern univariate ARCH models: two case studies, a lec-dem, Susan Thomas
12:00 - 13:00 Yield curve estimation models, Sourish Das [presentation]
13:00 - 14:00 Lunch
14:00 - 15:00 Order placement in a high frequency environment, Nidhi Aggarwal [presentation]
15:00 - 15:45 Matching in event studies, Ajay Shah [presentation]
15:45 - 16:00 Coffee break
16:00 - 17:30 Panel discussion: Managing speed and bandwidth at electronic exchanges
Discussants: Ajay Shah, Chairperson
Piyush Chourasia
Arunkumar Ganesan
Mihir Shah
Venkatachalam Shunmugam
Ravi Varanasi

2nd September 2017

10:00 - 10:45 Using natural language processing to analyse monetary policy statements , Rajeswari Sengupta [presentation]
10:45 - 11:30 Use of data at Meru cabs, Suryaganesh Sastry.
11:30 - 11:45 Coffee break
11:45 - 12:30 Rate of Change Analysis for Interestingness Measures, Nishanth K.
12:30 - 13:30 Lunch
13:30 - 14:45 Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator, comparison and analysis, Sandeep Juneja [presentation]
14:45 - 15:30 Household equity portfolios, Renuka Sane [presentation]
15:30 - 15:45 Coffee break
15:45 - 16:30 Strategic thinking on data science in firms, Hindol Basu [presentation]
16:30 - 17:15 Open problems in data science in True North portfolio companies, Kaushik Krishnan.
18:00 - 22:00 Dinner

3rdSeptember, 2017

06:30 - 10:30 Hike to the high point at Borivali National Park
13:00 - 14:00 Lunch
14:00 - 17:00 Open discussion on projects, collaboration and way forward