Concluding international “RARE” workshop

Announcing : Concluding international “RARE” workshop

As part of a large worldwide network (FP7 – funded by Europe) working for the last 3 years on Risk Analysis, Ruin theory and Extremes – RARE, we are reaching our final 4th year event, in which we want to broadcast our latest findings in the areas.

Concluding international “RARE” workshop

July 3-8, 2016
Hôtel Le Majestic, La Baule, France

Keynote speakers:

  • Prof. Søren Asmussen (Aarhus University, Denmark)
  • Dr. Michel Dacorogna (SCOR, Switzerland)
  • Prof. Paul Embrechts (ETH Zurich, RiskLab, Switzerland)
  • Prof. Fima Klebaner (Monash Univ., Australia)
  • Prof. John Nolan (American Univ., Washington DC, USA)
  • Prof. Ragnar Norberg (Univ. Lyon 1, SAF, France)
  • Prof. Richard Smith (SAMSI, UNC Chapel Hill, USA)

Alongside, principal investigators from all the RARE partners institutions will present their most recent results.

Working groups on specific topics, poster sessions and a concluding round table will be organized, enhancing then interaction not only between peers but also with a few well-known experts from the actuarial practice and academia, and young researchers.

A call for papers will be sent by the end of the year.

Organization: Marie Kratz (ESSEC CREAR), with the help of Prof. Séverine Arnold (HEC Lausanne) and Corina Constantinescu (IFAM Liverpool)

img_logo_CREAR

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Three postdoctoral positions at the Departments of Mathematics and Statistics of the Pontificia Universidad Catolica de Chile

Three postdoctoral positions at the Departments of Mathematics and Statistics of the Pontificia Universidad Catolica de Chile

The Departments of Mathematics and Statistics of the Pontificia Universidad Catolica de Chile invite applications for three postdoctoral positions, two in Mathematics and the other in Statistics, starting at any date between May 2016 and September 2016. These positions are intended for a new or recent Ph.D. with outstanding potential in research. The duration of the position is one year, with the possibility of extension.

The approximate yearly salary will be of 30900USD plus 2000USD for moving expenses (these figures are based on an exchange rate of 700 chilean pesos per dollar on November 11, 2015, and may vary as the exchange rate changes). Successful applicants will be required to apply to the Chilean national grant system.

Applications must include a cover letter, description of research plans, curriculum vitae, and three or more letters of recommendation.

The application deadline date is December 23, 2015. Application materials should be sent to:

Alejandro Ramirez (aramirez@mat.puc.cl)
Facultad de Matematicas
Pontificia Universidad Catolica de Chile
Av. Vicuña Mackenna 4860 Macul
Santiago
CHILE
Fax: [56](2)25525916

See the ad on MathJobs

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Longin and Pagliardi: Tail relation between return and volume in the US stock market

Research paper by Longin and Pagliardi: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory

Just to let you know about the new version of my paper with Giovanni Pagliardi (PhD Program at ESSEC Business School): Tail relation between return and volume in the US stock market: an analysis based on extreme value theory.

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the extreme dependence between the two variables. We show that the extreme correlation between return and volume decreases as we consider larger events in both the left and right distribution tails. From an economic viewpoint, this paper contributes to a better understanding of the activity of market participants during extreme events. Our empirical result is consistent with the economic explanation by Gennotte and Leland (1990) of extreme price movements based on misinterpretation of trades by market participants.

Tail relation between return volume in the US stock market

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Video about ESSEC Conference poster

Watch this great video about the conference poster! By Pauline Delécaut, the event manager of the conference.

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New website for ESSEC Conference on Extreme Events in Finance!

This new website for ESSEC Conference on Extreme Events in Finance offers you a user-friendly interface with the possibility to post comments and to share the website content on social networks (Facebook, Twitter and LinkedIn).

Conference poster

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