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Email: i.marshall@lse.ac.uk|

PhD Presentation Events and Research Posters

Details of all annual PhD Presentation Events will be posted here. These events take place in the Summer term each year, usually over two days. 

2014/15 PhD Presentation Event
Tuesday 20 and Wednesday 21 May 2014

Rafal Baranowski
Title: Ranking-based subset selection for high-dimensional data
Abstract: In this presentation, we consider high-dimensional variable selection problem, where the number of predictors is much larger than the number of observations. Our goal is to identify those predictors, which truly affect the response variable. To achieve this, we propose the Ranking Based Subset Selection (RBSS), which combines subsampling with any variable selection algorithm allowing to rank “importance” of the explanatory variables . Unlike the existing competitors such as Stability Selection (Meinshausen and Bühlmann, 2010), RBSS can identify subsets of relevant predictors selected by the original procedure with relatively low but yet significant probability. We provide a real data example, which demonstrates that this issue arises in practice and show that RBSS offers a very good performance then. Moreover, we report results of an extensive simulation study and some of the theoretical results derived,  which show that RBSS is a valid and powerful statistical procedure.

Wenqian Cheng
Title: Text mining and time series analysis on Chinese microblogs
Abstract: This presentation will discuss some text mining and time series analysis results on Chinese Micro-blogs (Weibo). First, It will give brief review towards social media/micro-blog, techniques of Micro-blog data acquisition, and some exploratory data analysis. The aim of using text mining is to understand general public’s perspectives towards certain keywords (e.g. specific companies). Useful information is typically derived through the devising of patterns and trends through statistical pattern learning. Text mining methods such as Clustering and Support Vector Machine are applied. In addition, to discover the abstract “topics” that occur in a collection of posts, topic modelling was applied in the simulation study. Next, time series analysis on sentiment and on the correlation between posts amount and stock price will be presented. Plans and problems for next stage will be proposed in the end.

Marco Doretti
Title: Measuring the efficacy of the UK counterweight programme via g-computation algorithm
Abstract: One of the purposes of longitudinal studies is the evaluation of the impact of a sequence of treatments/exposures on an outcome measured at the final stage. When dealing with observational data, particular care is needed in stating dependencies among variables into play, in order to avoid a number of drawbacks that could affect the validity of performed inference. Time-varying confounding is one of the most important and arises naturally when the causality framework is adapted to a multi-temporal context, as there may be variables that at each time act as confounders for the treatments/outcome relation but are also influenced by previous treatments, lying therefore on the causal paths under investigation. The g-computation algorithm (Robins 1986, Ryan et al. 2012) is probably the most popular method to overcome this issue. In order to handle informative drop-out, we propose an extension of Heckman correction to deal with several occasions. The motivating example consists of a follow-up study implemented within the Counterweight Programme, one of the most relevant protocols enforced to tackle the problem of obesity in the last decades in UK (Taubman et al. 2009), from which the dataset used for the application has been gathered.

Essential references:
Robins, J. (1986) - A new approach to causal inference in mortality studies with a sustained exposure period - application to control of the healthy worker survivor effect. Mathematical Modelling.
Daniel, R. M. et al. (2012) - Methods for dealing with time-dependent confounding. Statistics in Medicine.
Taubman, S. L. et al. (2009) - Intervening on risk factors for coronary heart disease: an application of the parametric g-formula. International Journal of Epidemiology.

Tomasz Dubiel-Teleszynski
Title: Data augmentation: simulating diffusion bridges using Bayesian filters
Abstract: We propose a new approach to simulating diffusion bridges. We focus on bridges for nonlinear processes however our method is applicable to linear diffusion processes as well. Novelty of our data augmentation technique lies in the proposal which is based on a Bayesian filter, in particular Kalman filter or unscented Kalman filter, applied to Euler approximation of a given diffusion process. We thus follow multivariate normal regression theory applying unscented transformation whenever diffusion process is nonlinear. Bridges we study are for mean reverting processes, such as linear Ornstein-Uhlenbeck process, square root process with nonlinear diffusion coefficient and inverse square root process with nonlinear drift and diffusion coefficient. We introduce a correction to approximation of drift in the Euler scheme and generalize it for a class of mean-reverting processes with polynomial drift. Setting our method against other techniques found in the literature, in cases we study we find acceptance rates we obtain comparable for values of mean-reversion parameter lying in the unit interval. However, unlike the other methods our method leads to incomparably higher acceptance rates for values of this parameter higher than unity. We believe this result to be of interest especially when modelling term-structure dynamics or other phenomena with inverse square-root processes. Our next goal is to extend these results to a multidimensional setting and simulate diffusion processes conditional on their integrals, followed by applications in stochastic volatility models.

Ali Habibnia
Title: Financial forecasting with many predictors with neural network factor models
Abstract: Modelling and forecasting financial returns have been an essential question of recent studies in academia as well as in financial markets to understand market dynamics. Financial returns present special features, which makes the forecast of this variable hard. This study aims to propose a non-linear forecasting technique based on an improved factor model with two neural network extensions. The first extension proposes an auto-associative neural network principal component analysis as an alternative for factor estimation, which allows the factors to have a non-linear relationship to the input variables. After finding the common factors, the next step will propose a non-linear factor augmented forecasting equation based on a single hidden layer feed forward neural network model. In this study, statistical approach has been demonstrated to show that the modelling procedure is not a black box. This proposed neural network factor model can capture both non-linearity and non-guasianity of a high-dimensional dataset. Therefore, this model can be more accurate to forecast the complex behaviour in financial data.

Charlie Hu
TitleNonparametric eigenvalue-regularized precision or covariance matrix estimator
Abstract: Recently there are numerous works on the estimation of large covariance or precision matrix. The high dimensional nature of data means that the sample covariance matrix can be ill-conditioned. Without assuming a particular structure, much efforts have been devoted to regularizing the eigenvalues of the sample covariance matrix. Lam (2014) proposes to regularize these eigenvalues through subsampling of the data. The method enjoys asymptotic optimal nonlinear shrinkage of eigenvalues with respect to the Frobenius error norm. Coincidentally, this nonlinear shrinkage is asymptotically the same as that introduced in Ledoit and Wolf 2012. One advantage of our estimator is its computational speed when the dimension p is not extremely large. Our estimator also allows p to be larger than the sample size n, and is always positive semi-definite.

Na Huang
Title: NOVELIST estimator for large covariance matrix
Abstract: We propose a NOVEL Integration of the Sample and Thresholded covariance estimators (NOVELIST) to estimate large covariance matrix. It is shrinkage of the sample covariance towards a general thresholding target, especially soft or hard thresholding estimators. The benefits of NOVELIST include simplicity, ease of implementation, and the fact that its application avoids eigenanalysis, which is unfamiliar to many practitioners. We obtain an explicit convergence rate in the operator norm over a large class of covariance matrices when dimension p and sample size n satisfy log p/n→0. Further we show the rate is a trade-off between sparsity, shrinkage intensity, thresholding level, dimension and sample size under different covariance structures. The simulation results will be presented and comparison with other competing methods will also be given.

Cheng Li
Title: Limit convergence of BSDEs driven by a marked point process
Abstract: We study backward stochastic differential equations (BSDEs) driven by a random measure, or equivalently, by a marked point process. When some assumptions hold, there exists a unique supersolution with its unique decomposition to the BSDE. Thanks to Peng’s paper written in 1999, we can follow his method with proper modifications to prove limit theorem of BSDEs driven by a marked point process, i.e. if there exists a sequence of supersolutions of BSDEs increasingly converges to a supersolution Y, there also exists the convergence to Y’s unique decomposition. Moreover, we can apply this limit convergence theorem to show the existence of the smallest supersolution of a BSDE with a constraint. Finally, we apply our results to consider the insider trading problem.

Shiju Liu
TitleExcursions of Lévy processes
Abstract: We study the classical collective risk model, Cramér-Lundberg risk model, driven by a compound Poisson process, which concerns the probability of ultimate ruin of an insurance company both in finite time horizon and infinite time horizon. Particular attention is given to Gerber-Shiu expected discounted penalty functions, which provide a method of calculating the probability of ruin. We derive the Laplace transforms of claim sizes following an inverse Gaussian distribution and mixture of two exponential distributions and we obtain the asymptotic formulas of probability of ruin based on the two scenarios mentioned above. The infinite divisibility of Lévy processes and the Lévy-Khintchine representation theorem are introduced as preliminaries to study the excursions of Lévy processes as well as applications in financial mathematics.

Anna-Louise Schröder
Title: Adaptive trend estimation in financial return data - recent findings and new challenges
Abstract: Financial returns can be modelled as centred around piecewise-constant trend functions which change at certain points in time. We can capture this in a model using a hierarchically-ordered oscillatory basis of simple piecewise-constant functions which is uniquely defined through Binary Segmentation for change-point detection. The resulting interpretable decomposition of nonstationarity into short- and long-term components yields an adaptive moving-average estimator of the current trend, which beats comparable forecast estimators in applications on daily return data. In my presentation I discuss some challenges and interesting questions as well as potential paths to improve the existing framework. I also show some promising results for a multivariate extension of this model.

Ewelina Sienkiewicz
Title: How long in the future can you trust the forecast?
Abstract: In this research I quantify the predictability of a chaotic system, estimate how far in the future it is predictable for and identify the two main limitations. Sensitivity to initial conditions complicates the forecasting of chaotic dynamical systems, even when the model is perfect. Structural model inadequacy is a distinct source of forecast failure, failures which are sometimes mistakenly interpreted to be due to chaos. These methods are demonstrated using a toy mathematical system (Henon Map) as an illustration. Model inadequacy is shown to be important in real-world forecasting practice using the example of climate models. The research findings based on North American Regional Climate Change Assessment Program (NARCCAP) database show significant divergence between Regional and Global Climate Models estimates of surface radiation, and consider the implications for the reliability of such models.

Tayfun Terzi
Title: Methods for the identification of semi-plausible response patterns (SpRPs)
Abstract: New challenges concerning bias from measurement error have arisen due to the increasing use of paid participants: semi-plausible response patterns (SpRPs).  SpRPs result when participants only superficially process the information of (online) experiments or questionnaires and attempt only to respond in a plausible way. This is due to the fact that participants who are paid are generally motivated by fast cash, and try to efficiently overcome objective plausibility checks and process other items only superficially, if at all. Thus, those participants produce not only useless but detrimental data, because they attempt to conceal their malpractice from the researcher. The potential consequences are biased estimation and misleading statistical inference. The inferential objective is to derive identification statistics within latent models that detect these behavioural patterns (detection of error), by drawing knowledge from related fields of research (e.g., outlier analysis, person-fit indices, fraud detection).

Youyou Zhang
Title: The joint distribution of excursion and hitting times of the Brownian motion with application to Parisian option pricing
Abstract: We study the joint law of excursion time and hitting time of a drifted Brownian motion by using a three state semi-Markov model obtained through perturbation. We obtain a martingale to which we can apply the optional sampling theorem and derive the double Laplace transform. This general result is applied to address problems in option pricing. We introduce a new option related to Parisian options being triggered when the age of an excursion exceeds a certain time or/and a barrier is hit. We obtain an explicit expression for the Laplace transform of its fair price.

2013/14 PhD Presentation Event
Tuesday 21 and Wednesday 22 May 2013

Rafal Baranowski
Title: Subset stability selection
Abstract: In this presentation, we provide a brief introduction to the concepts standing behind recently developed variable screening procedures in a linear regression model. These techniques aim to remove a great number of unimportant variables from the analysed data set, preserving all relevant ones. In practice, however, it may occur that the obtained set does not include any important variables at all! That is why there is a need for a tool, which could assess reliability and stability of a set of variables and implement these assessments in the further analysis. We introduce a new method, termed “subset stability selection”, which combines any variable screening procedure with resampling techniques, in order to find significant variables only. Our method is fully nonparametric, easily applicable in much wider context than linear regression only and it exhibits very promising finite sample performance in the simulation study provided.

Zhanyu Chen
Title: Hedging of barrier options via a general self-duality
Abstract: Classical put-call symmetry relates the price of puts and calls under a suitable dual market transform. One well-known application is the semi-static hedging of path dependent barrier options with European options. Nevertheless, one has to relieve restrictions on modelling price processes so as to fit empirical data of stock prices. In this work, we develop a general self-duality theorem to develop hedging schemes for barrier options in stochastic volatility models with correlation.

Wenqian Cheng
Title: Data analysis and text mining on mico-blogs
Abstracts: This presentation will discuss some data analysis and text mining on Micro-blogs, especially for Chinese Micro-blog (Weibo). Some brief introduction towards social media/micro-blog and comparison between Twitter and Weibo will be presented. It will cover several techniques of Micro-blog data acquisition, including downloading via Application Programming Interface (API), Web crawling tools, Web parsing applications. For initial data analysis, some works towards posting pattern recognition and correlation with share price has been conducted. Further text mining study towards Weibo includes Chinese word segmentation, word frequency counting, and sentiment analysis will be introduced. Plans and problems for next stage will be proposed in the end.

Baojun Dou
Title: Sparse factor model for multivariate time series
Abstract: In this work, we model multiple time series via common factors. Under the stationary settings, we concentrate on the case when the factor loading matrix is sparse. We proposed a method to estimate the factor loading matrix and to correctly pick up the zeros from it. Two aspects of asymptotic results are investigated when the dimension of the time series p is fixed: (1) parameter consistency: the convergent rate of the new sparse estimator and (2) sign consistency. We have obtained a necessary condition for sign consistency of the estimator. Future work will allow p goes to infinity.

Ali Habibnia
Title: Forecasting with many predictors with a neural-based dynamic factor model
Abstract: The contribution of this study is to propose a non-linear forecasting technique based on an improved dynamic factor model with two neural network extensions. The first extension proposes a bottleneck-type neural network principal component analysis as an alternative for factor estimation, which allows the factors to have a nonlinear relationship to the input variables. After finding the common factors, the next step will propose a non-linear factor augmented forecasting equation based on a multilayer feed forward neural network. Neural networks as a function approximation method can capture both non-linearity and non-normality of the data. Therefore, this model can be more accurate to forecast non-linear behaviour in macroeconomic and financial high-dimensional time series data.

Mai Hafez (poster presentation)
Title: Multivariate longitudinal data subject to dropout and item non-response - a latent variable approach
Abstract: Longitudinal data are collected for studying changes across time. Studying many variables simultaneously across time (e.g. items from a questionnaire) is common when the interest is in measuring unobserved constructs such as democracy, happiness, fear of crime, social status, etc. The observed variables are used as indicators for the unobserved constructs "latent variables" of interest. Dropout is a common problem in longitudinal studies where subjects exit the study prematurely. Ignoring the dropout mechanism can lead to biased estimates, especially when the dropout is non - ignorable. Another possible type of missingness is item non-response where an individual chooses not to respond to a specific question. Our proposed approach uses latent variable models to capture the evolution of the latent phenomenon over time while accounting for dropout (possibly non - random), together with item non-response.

Qilin 'Charlie' Hu
Title: Factor modelling for high dimensional time series
Abstract: Lam et al. (2011) propose an autocorrelation based estimation method for high dimensional time series using a factor model. When factors have different strengths, a two step procedure which estimate strong factors and weak factor separately will perform better than doing the estimation in one go. It is well known that PCA method (Bai and Ng, 2002) is only valid for high dimensional data (consistency comes from dimension going to infinity). On the other hand, we derive some convergence results, which show that the autocorrelation based method can takes advantage of low dimensional estimation and estimate weaker factor better, while itself is a high dimensional data analysis procedure. This result can be applied to some macroeconomic data.

Alex Jarman (poster presentation)
Title: Forecasting the probability of tropical cyclone formation - the reliability of NHC forecasts from the 2012 hurricane season
Abstract: see poster|

Cheng Li
Title: Asymptotic equilibrium in glosten-milgrom model
Abstract: Kyle (1985) studied a market with asymmetry information and obtained the equilibrium in the market. Back (1992) generalized it in continuous time. In Back’s result, the fundamental value of the risky asset can take any continuous distribution. This general result is contrast to the studies in Glosten-Milgrom equilibrium where the fundamental value of the risk asset is assumed to have a Bernoulli distribution in Back and Baruch (2004). We have taken on this project to study the existence of Glosten-Milgrom equilibrium, when the fundamental value of the risky asset has the discrete general distribution. We also introduce a notion of asymptotic equilibrium for Glosten-Milgrom equilibrium which allows a sequence of Glosten-Milgrom equilibriums to approximate Kyle-Back equilibrium, when the value of risky asset has general discrete distributions.

Anna Louise Schroeder
Title: How to quantify the predictability of a chaotic system
Abstract: I present a new time series model for nonstationary data that is able to cope with a very low signal-to-noise ratio and time-varying volatility, both of which are typical features of financial time series. Core of our model is a set of data-adaptive basis functions and coefficients which specify location and size of jumps in the mean of a time series. The set of these change points can be determined with a uniquely identifiable hierarchical structure, allowing for unambiguous reconstruction. Thresholding the estimated wavelet coefficients adequately, our model provides practitioners with a flexible forecasting method: only those change points of higher importance (in terms of jump size) taken into account in forecasting returns.

Ewelina Sienkiewicz (poster presentation)
Title: How to quantify the predictability of a chaotic system
Abstract: Models are tools that describe reality in form of mathematical equations. For example General Circulation Models (GCM) represent actual climate system and are used to investigate major climate processes and help us better understand certain dependencies amongst climate variables. Global forecasts help foresee severe weather anywhere on the planet and save many lives, although meteorology is unreliable in long run. A model is only an approximate representation of nature, which is reflected by model error. In addition, small uncertainties in the initial conditions usually bring up errors in the final forecasts. We can handle initial condition uncertainty but not model error. This study examines how to quantify predictability of complex models with an eye towards experimental design.

Majeed Simaan
Title: Estimation risk in asset allocation theory
Abstract: Assuming that the assets returns are normally distributed with a known covariance matrix, the paper derives a joint sampling distribution for the estimated efficient portfolio weights as well as for its mean and risk return. In addition, it shows that estimation error increases with the investor’s risk tolerance and the number of assets within the portfolio, while it decreases with the sample size. While large institutional investors allocate their funds over a number of classes, in practice, these allocation decisions are made in a hierarchical manner and involve adding constraints on the process. From a pure ex-ante perspective, such procedures are likely to result in sub-optimal decision making. Nevertheless, from an ex-post view as my results approve, the committed estimation risk increases with the number of assets. Therefore, the loss of ex-ante welfare in the hierarchical approach can be outweighed by lower estimation risk achieved by optimizing over a smaller number of assets.

Edward Wheatcoft (poster presentation)
Title: Will it rain tomorrow? Improving probabilistic forecasts
Abstract: Chaos is the phenomenon of small differences in the initial conditions of a process causing large differences later in time, often colloquially referred to as the “butterfly effect”. Perhaps the most well-known example though is in meteorology where small differences in the current conditions can have large effects later on. The effect is famously summed up by the notion that “when a butterfly flutters its wings in one part of the world, it can eventually cause a hurricane in another.” Of course this is only a fictional example but let’s suppose that we know this is true but we don’t know whether the butterfly has flapped its wings or not. Do we accept that we can’t predict what’s going to happen? Or can we gain some insight? Now suppose that we know from experience that the probability of the butterfly flapping its wings is 0.05, i.e. 5 percent. With this information we might conclude that the probability of a hurricane occurring is 0.05 also. This is of course an oversimplified and unrealistic example, but it illustrates the concept of ensemble forecasting in that a degree of belief about uncertainty of the initial conditions can give us a better idea of the probability of a future event.

Yang Yan (poster presentation)
Title: Efficient estimation of risk measures in a semiparametric GARCH model
Abstract: This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance parameters.

You You Zhang
Title: Last passage time processes
Abstract: The survey of last passage times play an important role in financial mathematics. Since they look into the future and are not stopping times the standard theorems in martingale theory can not be applied and therefore they are much harder to handle. Using time inversion we relate last passage times of drifted Brownian motion to first hitting times. Using this argument we derive the distribution of the increments. We extend this to general transient diffusions. Work has been done by Profeta et al. making use of Tanaka’s formula. We introduce the concept of conditioned martingales and connect it to Girsanov’s theorem. Our main focus lies in relating the Brownian meander to the BES(3) process. This transformation proofs to be useful in deriving the last passage time density of the Brownian meander.

Previous PhD Presentation Events

Thursday 10 May 2012

11:40 - 11:50


11:50 - 12:15

Sarah Higgins
How skilful are seaonal probability forecasts constructed from multiple models?

12:15 - 12:40

Mai Hafez
A latent variable model for multivariate longitudinal data subject to dropout

12:40 - 13:40


13:40 - 14:05

Alex Jarman
Misleading estimates of forecast quality: quantifying skill with sequential forecasts

14:05 - 14:30

Na Huang
Precision matrix estimation via pairwise tilting

14:30 - 14:55

Yang Yan
Efficient estimation of conditional risk measures in a semiparametric GARCH model

14:55 - 15:25


15:25 - 15:50 

Karolos Korkas
Adaptive estimation for locally stationary autoregressions

15:50 - 16:15

Jia Wei Lim
Parisian option pricing: a recursive solution for the density of the Parisian stopping time

Friday 11 May 2012

12:40 - 13:55


13:55 - 14:20

Baojun Dou
Sparse factor modelling for high dimensional time series

14:20 - 14:45

Joseph Dureau
A Bayesian approach to estimate time trends in condom use following a targeted HIV prevention programme

14:45 - 15:10

Yehuda Dayan

15:10 - 15:30

Poster session in the Leverhulme Library


Thursday 23 June 2011

10:45 - 11:00 Introduction
11:00 - 11:25  Roy Rosemarin
Projection pursuit conditional density estimation
11:25 - 11:50  Edward Wheatcroft
Forecasting the meridionial overturning circulation
11:50 - 12:15  Yehuda Dayan
Title and abstract tbc
12:15 - 12:40 Karolos Korkas
Adaptive estimation for piecewise stationary autoregressions
12:40 - 13:40 Lunch
13:40 - 14:05 Alex Jarman
Small-number statistics, common sense and profit: challenges and non-challenges for hurricane forecasting
14:05 - 14:30  Felix Ren
The methodology flowgraph model
14:30 - 14:55 Joseph Dureau
Capturing the time-varying drivers of an epidemic
14:55 - 15:25  Break
15:25 - 15:50  Daniel Bruynooghe
Differential cumulants, hierarchical models and monomial ideals
15:50 - 16:15 Jia Wei Lim
Distribution of the Parisian stopping time
16:15 - 16:40  Yang Yan
Co value-at-risk measure

Friday 24 June 2011

13:25 - 13:50

Zhanyu Chen
Put-call symmetry in stochastic volatility models
13:50 - 14:15

Ilaria Vannini
Multivariate regression chain graph models for clustered categorical data


Ilaria is a visiting research student from Università deglis Studi di Firenze|

14:15 - 14:40 Dan Chen
Stochastic volatility of volatility
14:40 - 15:10 Break
15:10 - 15:35 Mai Hafez
Modelling dropout om longitudinal studies using latent variable models
15:35 - 16:00

Hongbiao Zhao
Risk process with dynamic contagion claims

16:00 - 16:25 

Ilya Sheynzon
Multiple equilibria and market crashes

16:25 - 17:45

Poster session in the Leverhulme Library


Monday 14 June 2010

10:45 - 11:00 Introduction
11:00 - 11:25  Haeran Cho
High-dimensional variable selection via tilting
11:25 - 11:50  Xiaonan Che
Stochastic boundary crossing probability for Brownian motions
11:50 - 12:15  Sujin Park
Deformation estimation for high-frequency data
 12:15 - 12:40 Sarah Higgins
Seasonal weather forecasting using multi models
12:40 - 13:40 Lunch
13:40 - 14:05 Alex Jarman
Quantitative information on climate change for the insurance industry
14:05 - 14:30  Felix Ren
Distributions and estimation in stochastic flowgraph models
14:30 - 14:55 Filippo Riccardi
A model for the limit order book
14:55 - 15:25  Break
15:25 - 15:50  Jia Wei Lim
Some distributions related to the number of Briownian excursions above and below the orgin
15:50 - 16:15 Dan Chen
A study on the commodity futures prices

Tuesday 15 June 2010

13:00 - 13:25 Flavia Giammarino
Pricing with uncertainty averse preferences

13:25 - 13:50

Malvina Marchese
Asymptotic properties of linear panel estimators in large panels with stationary and nonstationary regressors
13:50 - 14:15 Deniz Akinc
Pairwise likelihood inference for factor analysis type models
14:15 - 14:40 Roy Rosemarin
Dimension reduction in copula models for estimation of conditional densities
14:40 - 15:10 Break
15:10 - 15:35 Ilya Sheynzon
Continuous time modelling of market liquidity, hedging and crashes
15:35 - 16:45

Poster session in the Leverhulme Library


Wednesday 18 June 2009

10.45-11.00 Introduction
11.00 - 11.30 Felix Ren
An algebraic approach to moment methods for Stochastic Flowgraph models
11.30 - 12.00 Takeshi Yamada
Approximation of swaption prices with a moment expansions
12.00 - 12.30 Flavia Giammarino
A semiparametric model for the systematic factors of portfolio credit risk premia
12.30 - 13.30 Lunch
13.30 - 14.00 Deniz Akinc
Pairwise likelihood inference for factor analysis type models
14.00 - 14.30 Neil Bathia
Methodology and convergence rates for factor modelling of multiple time series
14.30 - 15.00 Noha Youssef
A 2-stage design procedure for computer experiments
A comparative study between space-filling design and Model based optimal design
15.00 - 15.30 Break
15.30 - 16.00 Young Lee
A brief review on the minimal entropy martingale measure
16.00-16.30 Roy Rosemarin
Dimension reduction in estimating conditional densities

Thursday 19 June 2009

13.00 - 13.30 Xiaonan Che
Markov-type models of the Real Time Gross Settlement payment system in the UK
13.30 - 14.00 Malvina Marchese
Asymptotic distribution of the pooled OLS estimator in large panels with mixed stationary and non stationary regressors
14.00 - 14.30 Sujin Park
Nonparametric prewhitened Kernel estimator of Ex-post variation
14.30-15.00 Break
15.00-15.30 Daniel Hawellek
How hot are climate models?

Hongbiao Zhao
Dynamic Contagion Process and Its Application in Credit Risk


James Abdey
Ménage à Trois Inference Style: The Unholy Trinity


Poster session in the Leverhulme Library


Thursday 19 June 2008

11.00 - 11.30 Sarah Higgins
Blending Ensembles from Multi Models
11.30 - 12.00 Yehuda Dayan
Finite population inference from online access panels- a model assisted framework
12.00 - 12.30 Daniel Hawellek
The shadowing concept
12.30 - 13.30 Lunch will be available in B212
13.30 - 14.00 Xiaonan Che
Markov-type model for the Real Time Gross Settlement payment system
14.00 - 14.30 Hai Liang Du
The Roles of Ensembles in Climate Modelling
14.30 - 15.00 Break
15.00 - 15.30 Edward Tredger
Can global mean temperatures inform science-based policy?
15.30 - 16.00 Takeshi Yamada
Pricing derivatives contracts in carbon emissions markets and approximation methods of interest rate derivatives

Friday 20 June 2008

13.00 - 13.30 Young Lee
The minimal entropy martingale measure for Multivariate Point Processes
13.30 - 14.00 Neil Bathia
Dimension reduction for functional time series
14.00 - 14.20 Break
14.20 - 14.50 Sandrine Toeblem
Portfolio Allocation Under Ambiguity
14.50 - 15.20 Flavia Giammarino
Econometric Modelling of Credit Risk
15.20 - 17.00

Poster session in the Leverhulme Library


Monday 4 June 2007

14.10 - 14.40 Pauline Sculli
Contagion in Affine Default Processes
14.40 - 15.10 Hai Liang Du
Nowcasting with Indistinguishable States
15.10 - 15.30 break
15.30 - 16.00 Limin Wang
MSE in Gaussian processes
16.00 - 16.30 Noha Youssef
Branch and Bound Algorithm for Maximum Entropy Sampling 

Monday 5 June 2007

14.10 - 14.40

Oksana Savina
Pareto-optimality: beyond the one-period model

14.40 - 15.10

Shanle Wu
Parisian option pricing with Jump Processes

15.10 - 15.40

Edward Tredger
Current Issues in the Evaluation of Climate Models

15.40 - 16.00


16.00 - 16.30

Young Lee
Pricing and Hedging Call Option

16.30 - 17.00

Sandrine Tobelem
Optimal Portfolios Under Model Ambiguity 


Tuesday 13 June 2006

14.10 - 14.40 James Abdey
Is Significance Significant? Assessing Differential Performance of Equity Fundamental Determinants
14.40 - 15.10 Pauline Sculli
Counterparty Default Risk in Affine Processes with Jump Decay
15.10 - 15.40 Sarah Higgins
Seasonal Forecasting using Multi-Models
15.40 - 16.00 break
16.00 - 16.30 Hai Liang Du
Nowcasting with shadows
16.30 - 17.00 Adrian Gfeller
Sensitivity analysis for exotic options in Levy process driven models
17.00 - 17.30 Young Lee
The optimal Föllmer-Sondermann hedging strategy for exponential Lévy models

Wednesday 14 June 2006

14.10 - 14.40 Billy Wu
Time series graphical models
14.40 - 15.10 Edward Tredger
An introduction to climate modelling
15.10 - 15.30 break
15.30 - 16.00 Sandrine Tobelem
Do Factor Models perform on European data?
16.00 - 16.30 Limin Wang
Introduction to K-L expansion and its application

Friday 10 June 2005

14.00 - 14.30 Billy Wu
An introductory presentation on graphical models
14.30 - 15.00 Hailiang Du
New approaches to estimation in nonlinear models
15.00 - 15.30 break
15.30 - 16.00 Miltiadis Mavrakakis
Signal extraction for long multivariate temperature series
16.00 - 16.30 Dario Ciraki
A unifying statistical framework for dynamic simultaneous equation models with latent variables


Research Posters

Habibnia, Ali (2014)
Nonlinear forecasting with many predictors by neural network factor models|

Huang, Na and Fryzlewicz, Piotr (2014)
NOVELIST estimator for large covariance matrix|

Terzi, Tayfun (2014)
Methods for the identification of semi-plausible response patterns|

Sienkiewicz, Ewelina, Thompson, E. L. and Smith, Leonard (2014)
Consistency of regional climate projections with the global conditions that stimulated them|

Doretti, Marco, Geneletti, Sara and Stanghellini, Elena (2014)
Measuring the efficacy of the counterweight programme via g-computation algorithm|

Yan, Yang, Shang, Dajing and Linton, Oliver (2013)
Efficient estimation of risk measures in a semiparametric GARCH model|

Hafez, Mai (2013)
Multivariate longitudinal data subject to dropout and item non-response: a latent variable approach|

Sienkiewicz, Ewelina, Smith, Leonard and Thompson, E. L. (2013)
How to quantify the predictability of a chaotic system|

Jarman, Alex and Smith, Leonard (2013)
Forecasting the probability of tropical cyclone formation - the reliability of NHC forecasts from the 2012 hurrican season|

Wheatcroft, Edwards and Smith, Leonard (2013)
Will it rain tomorrow? Improving probalistic forecasts|

Higgins, Sarah and Smith, Leonard (2013)
The impact of weather on maize wheat|

Huang, Na and Fryzlewicz, Piotr (2012)
Large precision matrix estimation via pairwise tilting|

Korkas, Karolos and Fryzlewicz, Piotr (2012)
Adaptive estimation for locally stationary autoregressions|

Dureau, Joseph and Kalogeropoulos, Konstantinos (2011)
Inference on epidemic models with time-varying parameters: methodology and preliminary applications|

Giammarino, Flavia and Barrieu, Pauline (2011)
Indifference pricing with uncertainty averse preferences|

Zhao, Hongbiao and Dassios, Angelos (2011)
A dynamic contagion process and an application to credt risk|