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  • Stevanovich Center | The University of Chicago
    to right Gregory F Lawler Niels O Nygaard Roger W Lee Per Mykland Kun Gao Wei Biao Wu Dan Christina Wang John Heaton Mark Hendricks Valentin Haddad Richard Thaler speaking on Nudge Theory Richard Thaler speaking on Nudge Theory in joint seminar between the Stevanovich Center the University of Illinois at Chicago UIC and the Chicago Mercantile Exchange CME About the Center The Stevanovich Center advances the understanding of the increasingly complex world of financial markets by integrating mathematics statistics and economics The Center brings together leading academic researchers and financial professionals whose insights from daily experience in the markets can help translate theory into improved practice This interaction will lead to more sophisticated tools to address challenges that range from analyzing visualizing and interpreting massive data sets to building more accurate tractable and robust models to measure price and hedge risk The Center has researchers from the University of Chicago and around the world People ranging from senior faculty to Ph D students Both faculty and students are spread around the departments of the university and the Center is a meeting place for interaction and for Seminars and Conferences Our newly refurbished building provides physical space where University of

    Original URL path: http://stevanovichcenter.uchicago.edu/ (2015-02-03)
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  • Contact Us | Stevanovich Center | The University of Chicago
    Us The Stevanovich Center for Financial Mathematics 5727 S University Avenue Chicago IL 60637 Phone 773 702 1452 Fax 773 834 4386 Send us an email View Larger Map Home Conferences Seminars People Mailing List Contact Us Stevanovich Student Fellowships Related Institutions Related Links Division of Physical Sciences Financial Mathematics Program Becker Friedman Institute Econometrics and Statistics Workshop in the Booth School Department of Mathematics Department of Statistics Department of

    Original URL path: http://stevanovichcenter.uchicago.edu/page/contact-us (2015-02-03)
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  • Conferences | Stevanovich Center | The University of Chicago
    The University of Chicago Recent Developments in Parallel Computing in Finance June 5 and 6 2014 The University of Chicago Summer School on Modern Applications of Representation Theory July 21 August 8 2014 The University of Chicago Financial Statistics September 26 28 2014 The University of Chicago Prospects in Applied Mathematics October 19 20 2014 The University of Chicago Trading and Portfolio Theory November 11 and 12 2014 The University of Chicago Past Conferences 2013 Conferences High Frequency Data and High Frequency Trading Conference in Honor of Lars Peter Hansen December 2 3 2013 Jointly organized by Departments of Economics and Statistics and the Stevanovich Center 2012 Conferences Matching Problems Economics Meets Mathematics Joint with the Becker Friedman Institute Macroeconomic Fragility Asymptotics in Finance Workshop on Functional Programming in Quantitative Finance 2011 Conferences Fourth Annual SoFiE Conference 2010 Conferences Workshop on New Mathematical Directions in Economic Modeling 2009 Conferences Conference on Liquidity Credit Risk and Extreme Events Stevanovich Center CREATES Conference 2008 Conferences Conference on Liquidity First Chicago Paris Conference on Finance One Day Workshop on Finance and Statistics 2007 Conferences Conference on Credit Risk Conference on Volatility and High Frequency Data Home Conferences 2013 2012 2011 2010 2009 2008

    Original URL path: http://stevanovichcenter.uchicago.edu/page/conferences (2015-02-03)
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  • People | Stevanovich Center | The University of Chicago
    Faculty Connected to the Center Current and Former Visitors PhD Students Governance PhD Alumni Home Conferences Seminars People Faculty Connected to the Center Current and Former Visitors Governance PhD Students PhD Alumni Staff Mailing List Contact Us Stevanovich Student Fellowships Related Institutions Related Links Division of Physical Sciences Financial Mathematics Program Becker Friedman Institute Econometrics and Statistics Workshop in the Booth School Department of Mathematics Department of Statistics Department of

    Original URL path: http://stevanovichcenter.uchicago.edu/page/people (2015-02-03)
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  • Seminars | Stevanovich Center | The University of Chicago
    Eric Renault Brown University Indirect Inference for Estimating Equations Octctober 30 2014 Thursday 4 00 PM 5727 S University Ave room 112 Jean Jacod Université Pierre et Marie Curie Paris 6 Estimating the degree of activity of jumps of a discretely observed semimartingale Abstract We consider an Itò semimartingale X which is observed at all times of the form iΔ n with i Ε N within a fixed time interval 0 T Our aim is to revisit the estimation of the degree of activity also called Blumenthal Getoor index of the jumps of X This index ranges β through 0 2 and if the jumps of X are those of a stable process it coincides with the stability index Several different methods for estimating this index have been proposed in the recent years and the aim of this talk is to shortly review the existing literature and to propose a novel method which is more efficient in the sense that the rate of convergence is faster as Δ n 0 November 6 2014 Thursday 4 00 PM 5727 S University Ave room 112 Dacheng Xiu Booth School of Business The University of Chicago Principal Component Analysis of High Frequency Data Abstract We propose realized principal component analysis PCA to exploit high frequency financial data The procedure involves estimation of realized eigenvalues realized eigenvectors and realized principal components Using in fill asymptotic approximations our inference delivers satisfactory finite sample performance despite the curse of dimensionality while allowing general continuous time stochastic processes Empirically we apply PCA to the constituents of Dow Jones Industrial Average Index Our findings show that excluding jump variation three Brownian factors can explain around 50 60 of continuous variation of the stock returns Their explanatory powers vary over time During crises the first principal component becomes increasingly

    Original URL path: http://stevanovichcenter.uchicago.edu/page/seminars (2015-02-03)
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  • Mailing List | Stevanovich Center | The University of Chicago
    conferences by joining our mailing list Home Conferences Seminars People Mailing List Contact Us Stevanovich Student Fellowships Related Institutions Related Links Division of Physical Sciences Financial Mathematics Program Becker Friedman Institute Econometrics and Statistics Workshop in the Booth School Department

    Original URL path: http://stevanovichcenter.uchicago.edu/page/mailing-list (2015-02-03)
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  • Stevanovich Student Fellowships | Stevanovich Center | The University of Chicago
    000 is open to students who have proposed or equivalent by April 25 2014 Applications should be sent by the student s advisor to Mary J King The Stevanovich Center for Financial Mathematics 5727 S University Ave Chicago IL 60637 and should be addressed to Board of Governors Stevanovich Center for Financial Mathematics The University of Chicago Applications must be received by April 25 and should include a letter from the advisor along with a proposed citation and with any relevant supporting material Recipients of the fellowship should acknowledge support from the Center in the same way as is required of their grantees by the National Science Foundation Student Fellows Kun Gao 2011 Valentin Haddad 2011 Mark Hendricks 2011 Christina Dan Wang 2011 Serhiy Kozak 2012 Diogo Palhares 2012 Rui Cui 2013 Maryam Farboodi 2013 From left to right Gregory F Lawler Professor of Mathematics Niels O Nygaard Professor of Mathematics and former Director of the Center Roger W Lee Professor of Mathematics Per Mykland Professor of Statistics and Director of the Center Kun Gao Stevanovich Student Fellow Wei Biao Wu Professor of Statistics Christina Dan Wang Stevanovich Student Fellow John Heaton Professor of Finance Mark Hendricks Stevanovich Student Fellow

    Original URL path: http://stevanovichcenter.uchicago.edu/page/stevanovich-student-fellowships (2015-02-03)
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  • Related Academic Institutions outside the University of Chicago | Stevanovich Center | The University of Chicago
    Princeton University The Bendheim Center for Finance New York University The Volatility Institute National University of Singapore The Risk Management Institute Tsinghua University The Mathematical Sciences Center link Institut Louis Bachelier Professional and Academic Organizations The American Economic Association The American Finance Association The American Mathematical Society The American Statistical Association The Bachelier Finance Society The Bernoulli Society The Econometric Society The Institute of Mathematical Statistcs The Society for Financial

    Original URL path: http://stevanovichcenter.uchicago.edu/page/related-academic-institutions-outside-university-chicago (2015-02-03)
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