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Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
(1 - 22 June 2012)
Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries
Co-chairs
- Ying Chen (National University of Singapore)
- Piotr Fryzlewicz (London School of Economics)
- Qiwei Yao (London School of Economics)
Modelling the evolution of returns on financial instruments, both in a univariate and in a multivariate setting, has always been of interest both to the multi-trillion dollar finance industry and to academics alike. In particular, accurate modelling of financial volatility is the fundamental first step in portfolio allocation, risk management and derivative pricing. It is unsurprising but interesting to note that the vast majority of volatility models in use today were proposed before the onset of the recent financial crisis, and thus had never been tested on an event of such a magnitude.
We hope and anticipate that the program will provide answers to at least some of the following challenging questions of modern, `post-crisis’ statistics of financial time series:
- Most current models and methods for financial time series were established in the period of relative prosperity (from 1980s onwards). Do we need to look at them again in the wake of the financial crisis, or are they still adequate?
- In particular, is it still reasonable to assume stationarity, or should the focus change towards non-stationary models?
- To handle ‘apparent’ non-stationarity in a stationary way, modern stationary models would probably need to be more and more complex, e.g. complex descendants of GARCH, Markov-switching GARCH models, models with long memory, etc. Do we have the mathematical, statistical and computational resources to handle models of this type? Can these models easily accommodate the challenge of high dimensionality?
- If we drift towards nonstationarity, how to simultaneously handle the challenges of nonstationarity and high dimensionality in finance?
- Learning from the lessons of the recent crisis, do we need to, and can we hope to, construct new, more adequate financial time series models that not only well describe the dynamics of financial returns but also provide reasonable forecasting performance?
The program will invite world-leading experts in the areas of stationary and non-stationary modelling of low- and high-dimensional financial time series, and encourage them to use data covering the period of the recent financial crisis to discuss the impact of the crisis on their proposed models, methods and theories.
- Workshop I: 4 - 7 Jun 2012
- Special Lecture Series and Graduate Student Poster Presentation: 11 - 18 Jun 2012
Special lectures by five speakers and poster presentations by graduate students.
* The graduate student poster presentations will be held between 11 Jun and 15 Jun 2012, during the coffee breaks. - Workshop II: 19 - 22 Jun 2012
Call for Graduate Student Posters
The organizing committee is delighted to announce a call for Graduate Student Posters. The aim of this activity is to provide a platform for graduate students, who are working in the area of financial time series (in particular: stationary and non-stationary modelling of low- and high-dimensional financial time series), to communicate and discuss their work with world-leading experts. The candidates should submit a title and abstract for their posters in the Word or PDF format to Ms. Claire TAN Li Fong (imstlf(AT)nus.edu.sg) via email by
15 May 2012. Decisions will be made from 31 Jan 2012 on a rolling basis. Program participants will be invited to vote for the best poster, and the result will be announced on the program website. The committee starts accepting application for local financial assistance for graduate students. Due to budget availability, only a limited application would be approved. If you are seeking financial assistance, please fill out the online financial assistance application form.
* We are no longer accepting applications for financial assistance, but will still accept graduate student posters from those who can self fund.
Congratulations to Tobias Kley of Ruhr University Bochum for winning
the Best Poster Award.
Online Registration
Students and researchers who are interested in attending these activities are requested to complete the online registration form.
The following do not need to register:
- Those invited to participate.
For general enquiries, please email us at ims(AT)nus.edu.sg.
For enquiries on scientific aspects of the program, please email Ying Chen at stacheny(AT)nus.edu.sg
Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries
