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
New and Emerging Science and Technology (NEST)
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
Wolfgang BREYMANN - Institut für Physik,
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
|9.30||Welcome and opening|
|09.45-10.30||P. Mykland||A Gaussian Calculus for Inference from High Frequency Data|
|10.30-11.15||E. Renault||Causality Effects in Return Volatility Measures with Random Times|
|11.30-12.30||I. Grosse||Data integration, analysis, and modelling in computational biology|
Statistical Challenges in Agent-Based Computational Modeling
|14.45-15.30||N. Yoshida||Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations|
|16.00-16.45||A. Lunde||Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise|
Tuesday March 7, 2006
|9.30-10.15||M. Dacorogna||Multivariate Extremes, Aggregation and Risk Estimation|
|10.15-11.00||T. Hayashi||Nonsynchronously observed diffusions and covariance estimation|
|11.15-12.00||J. Grammig||Time and the Price Impact of a Trade - A Structural Approach|
|12.00-12.45||T. Mikosh||A Poisson cluster model for high frequency arrrivals|
|14.45-15.30||D. Konstantinidis||Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations|
|15.45-16.30||A. Lindner||On continuous time GARCH processes of higher order|
|16.30-17.15||L. Mancini||Out of Sample Forecasts of Quadratic Variation|
Kleine Berg 57h
Eindhoven, 040 - 2961370
Wednesday March 8, 2006
Intraday Diversified World Stock Index: Dynamics, Return Dirstributions, Dependence Structure
|09.45-10.30||R. Stresing||Analysis of financial data on different timescales|
|10.30-11.15||J. Schmiegel||Time change and universality: Heavy tailed distribution in turbulence and finance|
|14.00-14.45||V. Fasen||Asymptotic results for sample ACF and extremes of generalized Ornstein-Uhlenbeck processes|
|14.45-15.30||S. Haug||An exponential continuous time GARCH(p,q) process|
|15.30-16.15||W. Polasek||Irregularly Spaced AR and ARCH (ISAR-ARCH) Models|
There is no registration fee.
PLEASE REGISTER BY FILLING IN THE
(The workshop is open, but the number of participants is limited)
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).
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
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.
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).
For more information please contact Mrs. Lucienne Coolen, workshop officer of EURANDOM, at firstname.lastname@example.org
Ole E. BARNDORFF-NIELSEN (email@example.com),Wolfgang POLASEK (firstname.lastname@example.org), Jef L. TEUGELS (email@example.com), Henry WYNN (firstname.lastname@example.org)
This page is maintained by Lucienne Coolen