Description We estimate the daily integrated variance and covariance of stock returns using high-frequency data in the presence of jumps, market microstructure noise and non-synchronous trading. For...
SpeakerTanya Berger-WolfUniversity of Illinois at Chicagohttp://compbio.cs.uic.edu/~tanya/ Description Computation has fundamentally changed the way we study nature. Recent breakthroughs in data...
Event Topic: Computational Mathematics & Statistics
Event Topic: Computational Mathematics & Statistics
SpeakerRyan MartinUniversity of Illinois at Chicagohttp://homepages.math.uic.edu/~rgmartin/index.html Description In this talk I will present a flexible and identifiable version of the two-groups...
Event Topic: Computational Mathematics & Statistics
SpeakerCheng OuyangUniversity of Illinois at Chicagohttp://homepages.math.uic.edu/~couyang/ Description Fractional Brownian motion is a natural generalization of Brownian motion. Study of stochastic...
Event Topic: Computational Mathematics & Statistics
Speakerhttp://www.math.colostate.edu/~liu/ Description The group-specific antigen (Gag) protein is encoded by human immunodeficiency virus type 1 (HIV-1), which causes the Acquired Immuno Deficiency...
SpeakerAgostino CapponiPurdue Universityhttps://engineering.purdue.edu/Engr/People/NewFaculty/New_Faculty_2010 Description We consider a portfolio optimization problem in a defaultable market with...
