Financial Mathematics and Economics Workshop - Thank You!
The Department of Statistics says a big thank you to all the speakers and delegates who partcipated in the Current Challenges in Financial Mathematics and Economics workshop in August 2015.
Posted on 27 August 2015
Methods Summer Programme
Professor Irini Moustaki, a member of our Social Statistics group, taught Latent Varaible Modelling and Structural Equation Modelling for Social Sciences Research on 17 to 21 August 2015 as part of the Methods Summer Programme.
Further Methods Summer Programme courses were taught be Dr James Abdey (Statistical Methods for Social Research using SPSS) and Dr Matteo Barigozzi (Factor Models in Time Series with Applications in Macroeconomics and Finance).
Posted on 21 August 2015
Hackney City Farm
Imelda Noble, Sarah McManus and Steve Ellis from the Department of Statistics joined professional services staff colleagues from other departments on Wednesday 5 August 2015 to volunteer for clearing work at Hackney City Farm.
Posted on 7 August 2015
Inaugural Rajendra Bhansali Prize awarded to Hua Li
The inaugral Rajendra Bhansali Prize for Best Overall Performance by an MSc Risk and Stochastics Student has been awarded to Hua Li, a graduate from our MSc in Risk and Stochastics and the staff-student liaison representative for the programme in the 2014-15 academic session.
The Rajendra Bhansali Prize is donated by Rajendra Bhansali, graduate (BSc(Econ), 1967 and PhD, 1971) and former member of staff (1967-68) of the LSE and now Emeritus Professor of Mathematical Sciences at the University of Liverpool, who is pictured here with Hua Li at our graduation ceremony.
Posted on 20 July 2015
Irini Moustaki appointed as Honorary Professor at the Hong Kong Institute of Education
Irini Moustaki, Professor of Statistics in our Social Statistics group, has been appointed as Honorary Professor in the Department of Psychological Studies at the Hong Kong Institute of Education. This is for the period 1 July 2015 to 30 June 2018.
Posted on 2 July 2015
Item response theory paper now available at Applied Psychological Measurement
IRT modelling in the presence of zero-inflation with application to psychiatric disorder severity, authored by Melanie M Wall (Columbia University and New York State Pssychiatric Institute), Jung Yeon Park (Columbia University) and Irini Moustaki (LSE), is now available to read at Applied Psychological Measurement (OnlineFirst). Also see LSE Research Online.
Abstract: Item response theory (IRT) has been increasingly utilized in psychiatry for the purpose of describing the relationship among items in psychiatric disorder symptom batteries hypothesized to be indicators of an underlying latent continuous trait representing the severity of the psychiatric disorder. It is common to find zero-inflated (ZI) data such that a large proportion of the sample has none of the symptoms. It has been argued that standard IRT models of psychiatric disorder symptoms may be problematic due to the unipolar nature of many clinical traits. In the current article, the authors propose to address this by using a mixture model to approximate the unknown latent trait distribution in the IRT model while allowing for the presence of a nonpathological subgroup. The basic idea is that instead of assuming normality for the underlying trait, the latent trait will be allowed to follow a mixture of normals including a degenerate component that is fixed to represent a non-pathological group for whom the psychiatric symptoms simply are not relevant and hence are all expected to be zero. The authors demonstrate how the ZI mixture IRT method can be implemented in Mplus and present a simulation study comparing its performance with a standard IRT model assuming normality under different scenarios representative of psychiatric disorder symptom batteries. The model incorrectly assuming normality is shown to have biased discrimination and severity estimates. An application further illustrates the method using data from an alcohol use disorder criteria battery.
Professor Moustaki is a member of our Social Statistics group.
Posted on 26 June 2015
PhD/Staff Summer Badminton Competition
PhD students, alumni and staff in the Department of Statistics got together at Finsbury Leisure Centre on 11 June 2015 for a friendly badminton competition. Very special thanks go to Baojun Dou (a PhD student in our Time Series group), Cheng Li (a PhD student in our Risk & Stochastics group) and Shaojun Guo (a research officer in our Time Series group) for organising this.
Back row: Qiwei Yao; Ali Habibnia; Wicher Bergsma; Piotr Fryzlewicz; Cheng Li; Shaojun Guo
Front row: Yajing Zhu; Jia Wei Lim; Phoenix Feng; Wenqian Cheng
Posted on 12 June 2015
Matteo Barigozzi confirmed as a speaker at the Econometrics of Networks Workshop
Dr Matteo Barigozzi, a member of our Time Series group, is one of the confirmed speakers at the Econometrics of Networks Workshop, organised by the Institute for New Economic Thinking at the University of Cambridge. This workshop takes place on 14 June 2015.
Dr Barigozzi's talk is 'NETS: Network Estimation for Time Series' (joint work with Christian Brownless, Universitat Pompeu Fabra).
Posted on 12 June 2015
Beatrice Acciao and Kostas Kardaras will be plenary speakers at the 7th General AMaMeF and Swissquote conference
Dr Beatrice Acciaio and Professor Kostas Kardaras, members of our Risk and Stochastics group, will be plenary speakers at the 7th General Advanced Mathematical Methods in Finance and Swissquote Conference 2015 on 7-10 September 2015 at the Swisstech Convention Centre, EPFL, Switzerland. Professor Pauline Barrieu, our Deputy Head of Department and also a memember of our Risk and Stochastics group, is a member of the scientific committee for this conference.
Posted on 11 June 2015
19th International Congress on Insurance: Mathematics and Economics (IME 2015)
Professor Pauline Barrieu, our Deputy Head of Department and a member of our Risk and Stochastics group, is a member of the scientific committee for the IME 2015 conference at the University of Liverpool on 24-26 June 2015. The plenary speakers are Søren Asmussen, Montserrat Guillén and Stéphane Loisel.
Professor Barrieu is the Co-Director of the Centre for the Analysis of Time Series (CATS).
Posted on 11 June 2015
Details of Opinion Poll Inquiry Announced
The British Polling Council (BPC) has announced further details of the inquiry into the performaance of the opinion polls that is has established in collaboration with the Market Research Society (MRS). Under the chairmanship of Professor Patrick Sturgis, Director of the National Centre for Research Methods (NCRM) at the University of Southampton, the inquiry is charged with the task of establishing the degree of inaccuracy in the polls, the reasons for the inaccurancies it identifies, and whether the findings and conduct of the polls were adequately communicated to the general public.
The membership of the inquiry panel includes Jouni Kuha, Associate Professor of Statistics and Research Methodology at LSE. Dr Kuha is the Head of the Department of Methodology and a member of the Social Statistics group in the Department of Statistics.
Posted on 9 June 2015
Adieu but not goodbye
We say a fond farewell to Penelope Smith, our undergraduate administrator, who is leaving us temporarily while she and her husband Darren await the birth of their first child. Everyone in the department wishes Penny the very best in the coming months and looks forward to her return. Some of our staff are pictured here with Penny, with a cake baked especially for the occasion by our department manager, Imelda Noble.
Posted on 9 June 2015
Pauline Barrieu on statistics and modelling
Professor Pauline Barrieu discusses her approach to modelling and changing trends in the financial markets. Watch the video on You Tube.
Professor Barrieu is the Deputy Head of the Department of Statistics and a member of our Risk & Stochastiocs group. She is also the Co-Director of the Centre for the Analysis of Time Series (CATS).
More videos from the "Gearty Grillings" series can be viewed here.
Posted on 4 June 2015
Making new drugs safer and faster to develop
Wicher Bergsma, Associate Professor in the Department of Statistics and a member of our Social Statistics group, helped pharmaceutical giant GlaxoSmithKline to develop a better way to analyse vaccine trials.
You can read more here and download a PDF copy of the impact case study.
Posted on 1 June 2015
Ali Habibnia "highly commended" at the LSE Research Festival
Our PhD student Ali Habibnia (Time Series group and Systemic Risk Centre) presented his research poster Nonlinear forecasting with many predictors by neural network factor models at the LSE Research Festival exhibition on 21 May 2015, where is was chosen as "highly commended research". Ali had previously won a prize of £500 for this poster, awarded by the department's Research Committee.
You can view the poster here.
Ali Habibnia with our Head of Department, Professor Chris Skinner.
Posted on 22 May 2015
PhD Presentation Event 2015
The department's annual PhD Presentation Event took place on 19 and 20 May 2015, affording our MPhil and PhD students an opportunity to present their research topics and findings to an audience of fellow students and staff. A big thank you goes to everyone who presented at and attended this event, which was hosted by Dr Angelos Dassios, our Doctoral Programme Director.
More information about the event can be viewed here.
Posted on 22 May 2015
Hui Wang appointed as Visiting Senior Fellow
Professor Hui Wang from the School of Finance at the Central University of Finance and Economics has been appointed as a Visiting Senior Fellow in the Department of Statistics for the period 14 August 2015 to 13 August 2016.
Professor Hui's visit is hosted by Professor Qiwei Yao of our Time Series group.
Posted on 14 May 2015
General Election 2015: Explaining the Exit Poll
Jouni Kuha, Associate Professor of Statistics and Research Methodology and Head of the Department of Methodology at LSE, explains the detail behind the exit poll forecast and indicates some of the difficulties in putting together a forecast under considerable time pressures. Please read his blog entry here.
Posted on 7 May 2015
LSE Teaching Excellence Awards 2015
Dr Milt Mavrakakis, Dr James Abdey, Dr Anastasia Kakou and Dr Jose Pina-Sánchez from the Department of Statistics attended the LSE Student-led Teaching Excellence Awards reception in the Saw Swee Hock Student Centre on 5 May 2015. Milt, Anastasia and Jose won Class Teaching Awards. James won an Award for Inspirational Teaching and was highly commended.
Posted on 6 May 2015
Elena Erosheva, University of Washington
Dr Elena A Erosheva, Associate Professor of Statistics and Social Work, from the Centre for Statistics and Social Sciences at the University of Washington visited the department between 27 April 2015 and 4 May 2015. This visit was hosted by Professor Irini Moustaki of our Social Statistics group. During her visit, Elena gave a talk on Life-Course Data Analysis: A Generalized Hierarchical Unimodal Curve Registration Approach.
Abstract: A major aim of life course data analysis is to describe the within- and between-individual variability in a behavioural outcome, such as crime or drug use. Popular methods for analysing individual behavioural trajectories -- group-based trajectory and growth mixture models -- rely on a combination of growth curve and mixture modelling. Applications of these methods have been popular with criminologists and developmental psychologists, and are quickly expanding to other areas such as clinical medicine and public health. Most commonly, these applications seek to identify distinct trajectory patterns. In this talk, I start by describing these traditional approaches to life course data analysis, and summarize observations on the statistical practice. I then present an alternative approach, Unimodal Curve Registration (UCR). This approach allows researchers to describe individual criminal careers via individual-specific phase and amplitude departures from the unimodal population age-crime curve. The generalized hierarchical UCR approach accommodates different types of outcomes via underlying latent Gaussian random variables, and allows for covariate effects on phase and amplitude. The ideas are illustrated using (a) scale data on antisocial behaviour from Montreal Longitudinal and Experimental Study and (b) self-reported counts of yearly marijuana use from the Denver Youth Survey.
Joint work with Donatelo Telesca and Ross Matsueda
Posted on 5 May 2015
Ali Habibnia will present at the 2015 LSE Research Festival
Ali Habibnia, a PhD candidate in the Department of Statistics (researcher in the Systemic Risk Centre and Time Series research group) will present his research poster entitled Nonlinear forecasting with many predictors by neural network factor models at the LSE Research Festival Exhibition on 21 May 2015.
More information about the festival can be viewed here.
Posted on 1 May 2015
Bernard Sinclair-Desgagné and Pauline Barrieu: Seminar on Economic Policy when Models Disagree
Bernard Sinclair-Desgagné, Professor in the Département des affaires internationales at HEC Montréal, and Pauline Barrieu, Professor in the Department of Statistics and Co-Director of the Centre for the Analysis of Time Series, give a talk on 30 April 2015 on Economic Policy when Models Disagree in the Centre for Philosophy of Natural and Social Science.
Abstract: This paper introduces a general approach to conceive public policy when there is no consensual model of the situation of interest. This approach builds on one basic attribute of rational policymakers -- namely their ability to appraise their experts’ scenarios and forecasts -- and uses only one normative criterion: that the value to policymakers of a remedy’s projected outcomes meets their willingness to escape the current situation. Unlike the methods currently put forward in the literature, it does not need -- but is compatible with -- a representative policymaker’s objective function (as in the ambiguity aversion literature), a reference model (as in robust control theory) or some prior probability distribution over the set of supplied scenarios (as in Bayesian model-averaging). It can handle situations where policy decisions are made through collective deliberations and voting. Policies constructed in this manner are shown to be effective, robust, simple and precautionary in a precise and intuitive sense.
More information can be viewed here.
Professor Sinclair-Desgagné is a Visiting Professor in the Department of Statistics.
Posted on 30 April 2015
James Abdey - Student-lead Teaching Excellence Award 2015
We are delighted to be able to announce that Dr James Abdey has been Highly Commended in the category of Award for Inspirational Teaching in the Student-led Teaching Excellence Awards 2015.
The awards are run by the LSE Students' Union, supported by the Teaching and Learning Centre and sponsored by the LSE Annual Fund.
Posted on 24 April 2015
Statistics students become digital literacy ambassadors
Student Ambassadors for Digital Literacy (SADL) is a programme currently open to undergraduate students in the Departments of Statistics, Social Policy, International Relations and Law. It is run by Learning Technology and Innovation (LTI) and the Library and it is now in its second year.
This year the SADL team appointed four Senior Ambassadors who completed the programme in 2013-14. The Seniors are all Statistics students and include third year student Seow Wei Chin and second year students Djelila Delior, Simran Masand and Eugene McGeown. Their role was to help plan and run the workshops in conjunction with LTI and Library staff and to supervise a group project which was presented at the end of the programme..
Please read more here (PDF download).
Posted on 23 March 2015
AERA Outstanding Reviewer for 2014 awarded to Irini Moustaki
The American Educational Research Association (AERA) and Journal of Educational and Behavioral Statistics (JEBS) has chosen Professor Irini Moustaki of our Social Statistics group as the Outstanding Reviewer for 2014. An award ceremony takes place at the Journal Publications Committee Reception in Chicago on 16 April 2015.
Posted on 11 March 2015
Latent variable modelling and structural equation modelling for social sciences research
As part of the Methods Summer Programme (Quantitative Social Research Methods), Professor Irini Moustaki will teach ME115 Latent variable modelling and structural equation modelling for social sciences research on 17-21 August 2015.
Posted on 9 February 2015
Factor models in time series with applications in macroeconomics and finance
As part of the Methods Summer Programme (Methods for Economists), Dr Matteo Barigozzi will teach ME111 Factor models in time series with applications in macroeconomics and finance on 24-28 August 2015.
Posted on 9 February 2015
Statistical methods for social research using SPSS
As part of the Methods Summer Programme (Quantitative Social Research Methods), Dr James Abdey will teach ME108 Statistical methods for social research using SPSS on 17-28 August 2015.
Posted on 9 February 2015
World can cut carbon emissions and live well (GOV.UK Department of Energy and Climate Change press release)
Dr Erica L Thompson, a Research Officer working in the Centre for the Analysis of Time series (CATS), played a key role in the interpretations and presentation of the IPCC climate projections, translating changes in lifestyle/policy into impacts. Please read the press release here.
Professor Leonard Smith is the Director of CATS and Professor Pauline Barrieu is Co-Director. Professor Emeritus Henry Wynn is the Chair.
Posted on 28 January 2015
Special conference in memory of Marc Yor at LPMA (Paris) in June 2015
Journées à la mémoire de Marc Yor, a special conference in memory of Professor Marc Yor, who died on 9 January 2014, takes place in Paris on 3 to 5 June 2015, organised by the LPMA (Probabilities and Random Models Laboratory). Marc was a Visiting Professor in the Department of Statistics and an inspiration to all who knew him.
Please visit the conference website here.
Please read an obituary of Marc, written by Hélyette Geman and Monique Jeanblanc, here.
Posted on 20 January 2015
Improving weather forecasts - REF impact case study film
The Improving weather forecasts to avoid disruptions, damage and disaster REF impact case study film by Professor Leonard Smith has the highest hit rate of any LSE research impact film (as of 13/01/2015). You can watch the film here.
Professor Smith is the director of the Centre for the Analysis of Time Series (CATS).
Posted on 14 January 2015
Bernard Sinclair-Desgagné appointed Visiting Professor
We are very pleased to announce that Bernard Sinclair-Desgagné, Professor in the Département des affaires internationales at HEC Montréal, has been appointed as a Visiting Professor in the Department of Statistics. This appointment is for a period of three years from 1 December 2014 to 30 November 2017.
Posted on 15 December 2014
Heriot Watt Honorary Degree awarded to Ragnar Norberg
Heriot-Watt University has awarded an Honorary Degree (Doctorate) to Professor Ragnar Norberg of the University of Lyon 1 (Institut de Science Financiere et d'Assurances - ISFA). Professor Norberg was a Professor of Statistics at LSE from 2000 to 2010 and is now Emeritus Professor of Statistics. He was a founder member of our Risk and Stochastics group and the 2015 Risk and Stochastics Conference at the Royal Statistical Society is held in his honour.
Posted 25 November 2014
More of us are heading down social ladder, new research shows
A study by Oxford University and LSE shows that, contrary to what is widely supposed, there has been no decline in social mobility in Britain over recent decades but more of us are moving down rather than up the social ladder. The study looked at a total of more than 20,000 British men and women in four birth cohorts from 1946, 1958, 1970 and 1980-84.
‘The mobility problem in Britain: New findings from analysis of birth cohort data’, by Associate Professor Erzsébet Bukodi, Dr John Goldthorpe and Dr Lorraine Waller of Oxford University, with Dr Jouni Kuha (LSE, departments of Methodology and Statistics), is published in the early online issue of the British Journal of Sociology on Thursday 6 November 2014.
The researchers used data from the National Survey of Health and Development (1946), the National Child Development Study (1958), the British Cohort Study (1970) and the UK Household Longitudinal Study (1980-84).
Posted 7 November 2014
Irini Moustaki to assume the role of Editor-in-Chief of Psychometrika
With effect from 1 November 2014 Professor Irini Moustaki takes up the post of Editor-in-Chief of Psychometrika, the scientific journal of the Psychometric Society. This post is for a period of four years.
Posted 22 October 2014
ESRC future research leaders fellowship awarded to Dr Myrsini Katsikatsou
The department is delighted to announced that Dr Myrsini Katsikatsou has been awarded an ESRC future research leaders fellowship, total value £242,870. The research project, "Methods of analysis and inference for social survey data within the framework of latent variable modelling and pairwise likelihood", will start on 1 October 2014 for a period of 36 months.
Dr Katsikatsou is currently the research officer on the NCRM/ESRC research grant "Item nonresponse and measurement error in cross-national surveys: methods of data collection and analysis" held by Dr Jouni Kuha.
Posted 18 July 2014
Themed edition of the Journal of the Royal Statistical Society: Series C (Applied Statistics)
Dr Jouni Kuha and Professor Irini Moustaki have collaborated as guest associate editors to produce a special themed edition of the Journal of the Royal Statistical Society: Series C (Applied Statistics), volume 63 (2), pages 191-360, February 2014. Originating in a two-day conference on social statistics at the LSE in December 2011, organised by Professor Moustaki to honour the scientific contributions of Professor Emeritus David J Bartholomew, the papers in this edition represent a wider range of styles than is usual for the journal.
Posted: 18 March 2014
Professor Marc Yor (1949 - 2014)
We are deeply saddened to report that Professor Marc Yor has died. He was liked and respected by all who knew him and will be greatly missed. Our condolences are extended to his family.
Marc Yor made pioneering contributions to research on stochastic processes and their applications in financial mathematics. He had been a professor at Paris VI since 1981 and was a Visiting Professor in the Department of Statistics at LSE.
Posted : 10 January 2014
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