Legend:
CC = Baltimore Convention Center,
H = Hilton Baltimore
* = applied session ! = JSM meeting theme
Activity Details
39
Sun, 7/30/2017,
2:00 PM -
3:50 PM
CC-347
Methods in Financial Risk Assessment — Contributed Papers
Section on Risk Analysis
Chair(s): Yishi Wang, University of North Carolina Wilmington
2:05 PM
Modeling Maxima in Financial Time Series with Dynamic Generalized Extreme Value Distribution
—
Zifeng Zhao, University of Wisconsin-Madison ; Zhengjun Zhang, University of Wisconsin ; Rong Chen, Rutgers University
2:20 PM
Extracting Latent States from High Frequency Option Prices
—
Jean-Francois Begin, Simon Fraser University ; Diego Amaya, Wilfred Laurier University ; Genevieve Gauthier, HEC Montréal
2:35 PM
Using an Automated News Sentiment Analysis as an Additional Trading Rule for High Frequency Trading Engine
—
Brahim Brahim, BDV Big Data Visualizations Inc
2:50 PM
Multivariate Ordinal Regression Models: An Analysis of Corporate Credit Ratings
—
Rainer Hirk, WU Vienna University of Economics and Business ; Laura Vana, WU Vienna University of Economics and Business ; Kurt Hornik, WU Vienna University of Economics and Business
3:05 PM
Classification Using Ensemble Learning Under Weighted Misclassification Loss
—
Yizhen Xu, Brown University ; Tao Liu, Brown University, Dept of Biostatistics ; Rami Kantor , Brown Univeresity School of Medicine ; Ann Mwangi, Moi University ; Michael J Daniels, University of Texas at Austin ; Joseph Hogan, Brown University, Dept of Biostatistics
3:20 PM
Beyond P-Values: Hypothesis Testing Based on the BIC Model Selection Criterion
—
Stanley Sclove, Univ of Illinois At Chicago ; Robert F Bordley, Booz Allen Hamilton
3:35 PM
A Simple Extension of the FGM Copula for Negative Association
—
Kahadawala Cooray, Central Michigan University