Duncan Hall, Rice University
Hosted by:
Center for Computational Finance and Economic Systems (CoFES)
Department of Statistics
George R. Brown School of Engineering
Jones Graduate School of Business
School of Social Sciences
This will be a conference concerning empiricism in modeling the market. How does one handle situations in which current orthodoxies in finance produce strategies that fail to model the real world? To what extent have the current orthodoxies been responsible for failed strategies on the part of investors and government regulators? What are the implications of market practice in nonwestern markets? How shall we begin to build new theories that are more effective at modeling and modifying real-world markets?
This conference is supported financially by a grant from Nancy and Thomas Eubank.
| Monday, March 23 | |
|---|---|
| 8 – 9:00 am | Registration |
| 9:00 am | Call to Order and Introduction Katherine Ensor, Chair of the Department of Statistics Director, CoFES |
| Welcome from the Department of Statistics James Thompson, Noah Harding Professor of Statistics |
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| 9:15 am | Introduction to Conference: Some Problems to be Addressed J. Thomas Eubank, Senior Counselor, Baker Botts LLP; Trustee Advisor, Rice University |
| 9:30 am | Bad Economics, Bad Public Policy: The Disadvantages of Disregarding Data James Thompson, Noah Harding Professor of Statistics, Rice University |
| 10:30 am | Break |
| 10:45 am | Islamic Finance Mahmoud El-Gamal, Chairman and Professor of Economics, Professor of Statistics, Rice University; Director, Program in Islamic Economics, Rice University |
| 11:45 am | Lunch at Cohen House |
| 1:00 pm | Student Panel |
| A Data Based Deconstruction of the Efficient Frontier, the Capital Market Lin and the Security Market Line Ricardo Affinito, Garrett Grolemund, Colleen Kenney, and Steve Liao |
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| 1:30 pm | General Discussion |
| 2:00 – 3:00 pm | Cascading Losses: The Role of Complex Dependence Katherine B. Ensor, Professor and Chair of the Department of Statistics; Director, Center for Computational Finance and Economic Systems, Rice University Ginger M. Davis, Assistant Professor, Department of Systems and Information Engineering, University of Virginia |
| 3:00 pm | Break |
| 3:15 pm | The New World of Accounting Stephen Zeff, Herbert S. Autrey Professor of Accounting, Jones Graduate School of Management, Rice University |
| 4:15 pm | Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular Financial Crisis of 2008 Donald St. P. Richards, Professor of Statistics, Pennsylvania State University |
| 5:00 pm | Adjourn |
| 5:15 pm | Social, Martel Hall |
| 6:00 pm | Banquet |
| Welcome by Sallie Keller-McNulty, William & Stephanie Sick Professor of Statistics; Dean of the George R. Brown School of Engineering, Rice University | |
| Keynote | |
| Empirical Portfolio Creation James Thompson, Noah Harding Professor of Statistics, Rice University |
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| Tuesday, March 24 | |
|---|---|
| 9:00 am | Introduction James Thompson, Noah Harding Professor of Statistics, Rice University |
| 9:15 am | Keynote |
| John Maynard Keynes: The Greatest Economist of the 20th Century and His View of the Role of Financial Markets in the Aggregate Economy Paul Davidson, Holly Professor of Excellence Emeritus, University of Tennessee; Editor, Journal of Post Keynesian Economics |
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| 10:15 am | Break |
| 10:30 am | Market Truths: Theory Versus Empirical Modeling William C. Wojciechowski, Risk Officer, Vaughan Nelson Investment Management James Thompson, Noah Harding Professor of Statistics, Rice University |
| 11:15 am | Panel |
| Where We Hope these Conferences Will Lead J. Thomas Eubank, Senior Counselor, Baker Botts LLP; Trustee Advisor, Rice University Katherine Ensor, Chair of the Department of Statistics Director, CoFES Donald St. P. Richards, Professor of Statistics, Pennsylvania State University |
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| 11:45 am | Lunch at Cohen House |
| 12:45 pm | Rags or Riches: Short Options Trading Program John A. Dobelman, Lecturer of Statistics; Director Professional Master’s Statistics Program, Rice University |
| 1:45 pm | How Did We Get Here and Where Are We Going? William H. Sirakos, Senior Executive Vice President and Chief Economist, Cullen/Frost Bankers, Inc. |
| 2:45 pm | Panel |
| Legal Implications of the EMH: How the Theories we Adopt Affect Real World Decisions J. Thomas Eubank, Senior Counselor, Baker Botts LLP; Trustee Advisor, Rice University Katherine Ensor, Chair of the Department of Statistics Director, CoFES James Thompson, Noah Harding Professor of Statistics, Rice University |
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| 3:15 pm | Wrap-up and General Discussion |
| 4:00 pm | Closing Reception, Martel Hall |