Hawkes Process in Finance and Data Science Conference 2019
June 7-8, 2019
Stevens Institute of Technology, NJ, USA




 

Conference Agenda:

June 7th [5pm – 9pm]

 

Evening Social Event – Friday Night (Babbio 4th Floor Lounge)

    Keynote Speech by Prof. Alan Hawkes: Genesis of Hawkes Processes

 

June 8th  [9am – 6pm] Location: Babbio 4th Fl Lounge

Session 1: Hawkes process theoretical development [Session Chair: Dr. Steve Yang - Stevens Institute of Technology]

[9:00am - 9:30am] Paper 1: A nonparametric online algorithm for learning multivariate Hawkes processes; Prof. Negar Kiyavas (Georgia Tech)

[9:30am - 10:00am] Paper 2: Efficient Simulation of Stochastic Differential Equations based on Markov Chain Approximations and Applications to Point Processes with Stochastic Intensities; Prof. Zhenyu Cui (Stevens Institute of Technology)

           

[10:00am – 10:45am] Keynote Speech (Prof. Alan Hawkes)

           

[Coffee Break – 15 minutes]

           

Session 2: Hawkes process applications in finance [Session Chair: Dr. Celso Brunetti - Federal Reserve Systems]

[11:00am - 11:30am] Paper 3: Tail risk measures for financial time series with self-exiting in extremes: a Hawkes process approach; Prof. Anqi Liu (Cardiff University)

[11:30am - 12:00pm] Paper 4: Measuring the Endogeneity of the Cryptocurrency Market;Prof. Michael Mark (Swiss Federal Institute of Technology Lausanne)

           

[12:00pm – 1:30pm] Lunch & Keynote Speech by Dr. Roy D. Henriksson (QMA) [30 minutes]

           

[1:30pm – 2:15pm] Keynote Speech (Prof. Chris Adcock)

           

[2:15pm - 3:00pm]Session 3: Panel Discussion – Moderator by Prof. Maggie Chen

           

[Coffee Break – 15 minutes]

           

[3:15pm – 4:00pm] Keynote Speech (Prof. Enrico Scalas)

           

Session 4: Hawkes process applications in finance [Session Chair: Dr. Encrico Scalas - University of Sussex]

[4:00pm – 4:30pm] Paper 5: ETF Jump Effect with Hawkes Processes; Prof. Kevin Mo (Quantitative Management Associates)

[4:30pm – 5:00pm] Paper 6: Hawkes Processes in Finance – a Study in the Indian Markets; Prof. Nilakantan Narasinganallur (K J Somaiya Inst. of Mgt. Studies & Res.)

           

[5:00pm – 5:15pm] Closing Remarks from Prof. Jeff Nickerson (Associate Dean of Research)

 

Location: Hanlon Financial Systems Lab, Babbio Center 4th Floor Lounge, Stevens Institute of Technology, NJ, USA

 

Time frame: June 7-8th, 2019

 

Call for Papers: Jan 15, 2018 - Deadline April 30, 2019

 

Keynote Speakers:

            Prof. Alan Hawkes (Swansea University - Emeritus)

            Prof. Chris Adcock (Editor-in-Chief European Journal of Finance)

            Dr. Roy D.Henriksson (QMA)

            Prof. Enrico Scalas (University of Sussex)

            Prof. Celso Brunetti (Federal Reserve System)

 

Organizing Committee:

Dr. Steve Yang, Dr. Jing Chen, Dr. Nick Taylor, Dr. Qian Han, Dr. Zhenyu Cui, Dr. Sheung Yin Kevin Mo (QMA)