Field workshop on Mathematics and Economics
1-3 September 2017
Seanza Conference Hall, Indira Gandhi Institute of Development Research, Mumbai
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 |
Overview
In this workshop, we explore work at the interface between mathematics, statistics and economics. The goals of this workshop include:
- Forge connections between academics and industry in the emerging applications of mathematics, statistics and economics into the real world.
- Describe the IGIDR Finance Research Group (FRG) data centre.
- Short talks about specific areas where interesting work is happening.
- 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 |
  |