AMS :: Central Spring Sectional Meeting, AMS Special Session

AMS Sectional Meeting AMS Special Session

Current as of Sunday, March 22, 2015 03:30:12

Associate secretaries:

Georgia Benkart, AMS benkart@math.wisc.edu

Saturday March 14, 2015, 9:00 a.m.-10:50 a.m.
Special Session on High-Frequency Problems, I
Room A220, Wells Hall
Organizers:
Shlomo Levental, Michigan State University levental@stt.msu.edu
Mark Schroder, Michigan State University
- 9:00 a.m.
  On Quasi-Maximum Likelihood Approach for Integrated Covariance Matrix Estimation with High Frequency Data.
  Chengyong Tang*, Temple University
  (1108-62-339)
- 10:00 a.m.
  Bayesian Inference via Filtering Equations for Financial Ultra-High Frequency Data.
  Yong Zeng*, University of Missouri at Kansas City
  Brent Bundick, Federal Reserve Bank of Kansas City
  Xing Hu, University of Hong Kong
  David R Kuipers, University of Missouri at Kansas City
  Junqi Yin, University of Tennessee
  (1108-60-192)

Saturday March 14, 2015, 2:30 p.m.-4:20 p.m.
Special Session on High-Frequency Problems, II
Room A220, Wells Hall
Organizers:
Shlomo Levental, Michigan State University levental@stt.msu.edu
Mark Schroder, Michigan State University
- 2:30 p.m.
  Generalized Method of Integrated Moments for High-Frequency Data.
  Jia Li*, Duke University
  Dacheng Xiu, University of Chicago
  (1108-62-204)
- 3:30 p.m.
  Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data.
  Jianqing Fan, Princeton University
  Alex Furger, Princeton University
  Dacheng Xiu*, University of Chicago Booth School of Business
  (1108-62-231)

Sunday March 15, 2015, 8:00 a.m.-10:50 a.m.
Special Session on High-Frequency Problems, III
Room A220, Wells Hall
Organizers:
Shlomo Levental, Michigan State University levental@stt.msu.edu
Mark Schroder, Michigan State University
- 8:00 a.m.
  The Impact of High Frequency Traders on Retail and Institutional Traders.
  Katya Malinova*, Copenhagen Business School and University of Toronto
  Andreas Park, Copenhagen Business School and University of Toronto
  Ryan Riordan, Queen's School of Business
  (1108-00-491)
- 9:00 a.m.
  Optimally Thresholded Realized Power Variations for Stochastic Volatility Models with Jumps.
  Jose E. Figueroa-Lopez*, Purdue University, Department of Statistics
  (1108-62-290)
- 10:00 a.m.
  Asymptotic properties of functionals of increments of a continuous semi-martingale with stochastic trading times, with applications in integrated volatility estimation.
  Xiaoguang Wang*, PhD student, Purdue University, West Lafayette, IN
  Michael Levine, Associated professor, Purdue University, West Lafayette, IN
  Frank (Jian) Zou, Assistant Professor, Worcester Polytechnic Institute, Worcester, MA
  (1108-60-399)

Sunday March 15, 2015, 1:30 p.m.-3:20 p.m.
Special Session on High-Frequency Problems, IV
Room A220, Wells Hall
Organizers:
Shlomo Levental, Michigan State University levental@stt.msu.edu
Mark Schroder, Michigan State University
- 1:30 p.m.
  Consumer Decisions Across Seemingly Disparate Categories: Latent-Trait Segmentation.
  Chen Lin*, Michigan State University
  Douglas Bowman, Emory University
  (1108-62-584)
- 2:30 p.m.
  Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return.
  Lei Gao, Iowa State University
  Yufeng Han, UC Denver
  Sophia Zhengzi Li*, Michigan State University
  Guofu Zhou, WUSTL
  (1108-00-199)