Workshop on

Risk Measures & Risk Management for High-Frequency Data

March 6-8, 2006

EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Speakers  & Participants |Registration | Practical Information

Sponsored by the EUROPEAN COMMISSION

New and Emerging Science and Technology (NEST)

Project MATHFSS

SUMMARY

The new area of statistics dealing with high-frequency data enjoys a rapid development. Techniques from traditional statistics in general, even from data mining in particular, are not capable to cope with the vast amount of information that comes out of tic-by-tic or intraday financial data. The number of incoming data is enormous; moreover this inflow is not a one-time event but repeats itself at high speed. Of course, not all incoming information is equally useful. High-frequency statistics needs to find sound indicators to single out what information is relevant and how it needs to be incorporated in further decision making and risk management. As asset trading is currently done via high-speed computer programs, it becomes a genuine challenge for the statistician to single out what incoming information needs to be taken into account and what part can be safely neglected. Often this information can be crystallized into specific measures that again require an appropriate kind of statistical treatment.

While a lot of scientific activity emerges from stochastic finance, there are other areas that cope with similar issues. We mention computational biology, fast on-line computation and simulation, network management as a few prominent examples.

This workshop is planned to stimulate further research in stochastic and statistical thinking when dealing with high-frequency data,. The idea of the workshop is to provide a platform where experts both from academia and from practice can meet, discuss and exchange ideas and expertise. Each speaker is expected to give a 40 minutes lecture with additional discussion. A part of the workshop will be reserved for a Round Table Discussion. If there is sufficient interest then we might second the lectures by poster sessions for the other participants.

The main themes of the workshop are the following:

1. Description and modelling of high-frequency data

2. Risk measures for high-frequency data

3. Risk management for high-frequency data

4. Computational and statistical aspects

5. Multivariate high-frequency data

6. Applications

Confirmed SPEAKERS

Wolfgang BREYMANN - Institut für Physik, ETH-Zürich, Switzerland
Michel DACOROGNA - Converium, Zürich, Switzerland
Vicky FASEN, Technische Universität Münich, Germany
Joachim GRAMMIG - Universität Tübingen, Germany
Ivo GROSSE - Institut für Pflanzengenetik, Gatersleben, Germany
Laszlo GULYAS - AITIA, Budapest, Hungary
Stephan HAUG - Technische Universität München, Germany
Takaki HAYASHI, Columbia University, NY, U.S.A.
Dimitrios KONSTANTINIDIS, University of the Aegean, Greece
Alexander LINDNER - Technische Universität Münich, Germany
Asger LUNDE - Aarhus School of Business, Denmark
Loriano MANCINI - Universität Zürich, Switzerland
Thomas MIKOSCH - University of Copenhagen, Denmark
Stefan MITTNIK - Universität München, Germany
Per A. MYKLAND - University of Chicago, U.S.A.
Wolfgang POLASEK, Institut für Höhere Studien (IHS), Austria
Eric RENAULT - University of North Carolina at Chapel Hill, U.S.A.
Jürgen SCHMIEGEL - Aarhus University, Denmark
Robert STRESING - Universitaet Oldenburg, Germany
Jeanette WOERNER - University of Goettingen, Germany
Nakahiro YOSHIDA - University of Tokyo, Japan

PROGRAMME / ABSTRACTS

Monday March 6, 2006

REGISTRATION

There is no registration fee.

PLEASE REGISTER BY FILLING IN THE FORM
(The workshop is open, but the number of participants is limited)

PRACTICAL INFORMATION

Conference Location

the workshop location is EURANDOM,  Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.

EURANDOM is located on the campus of Eindhoven University of Technology, in the 'Laplacegebouw' building' (LG on the map).  The university is located at 10 minutes walking distance from Eindhoven railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).

Travel

For those arriving by plane, there is a convenient train connection between Amsterdam Schiphol airport and Eindhoven, with only one change at Duivendrecht. This trip will take about two hours. For more detailed information, please consult the NS travel information pages or see EURANDOM web page location. 

Many low cost carriers also fly to Eindhoven Airport. There is a bus connection to the Eindhoven central railway station from the airport. (Bus route number 401) For details on departure times consult http://www.9292ov.nl 

The University  can be reached easily by car from the highways leading to Eindhoven (for details, see our route descriptions or consult our map with highway connections

Hotel

EURANDOM made preliminary group reservations in

hotel Hampshire Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room  82* euro, double room 92* euro(breakfast included)

Queen hotel, Markt 7, Eindhoven. Special price single room 80* euro, double room 95* euro (breakfast included)

 * excl. tourist tax 3,50 euro per night

If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.

For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.

Lunches/dinner

March 6-7-8 lunches are being organised; free of costs for all participants, if ordered on the registration form.

On Tuesday evening, March 7 there will be a workshop dinner. For non-invitees an amount of 30 euro is requested, to be paid at arrival in cash (preferably exact amount in euros). 

Contact

For more information please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at coolen@eurandom.tue.nl

ORGANIZERS

Ole E. BARNDORFF-NIELSEN (oebn@imf.au.dk),Wolfgang POLASEK (polasek@ihs.ac.at), Jef L. TEUGELS (jef.teugels@wis.kuleuven.be), Henry WYNN (h.wynn@lse.ac.uk)

Last up-dated 24-02-09

This page is maintained by Lucienne Coolen