JSM 2011 Online Program

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Activity Details


135 Mon, 8/1/2011, 8:30 AM - 10:20 AM CC-D234
Financial Modeling — Contributed Papers
Business and Economic Statistics Section , Scientific and Public Affairs Advisory Committee
Chair(s): Bonnie K. Ray, IBM Thomas J. Watson Research Center
8:35 AM Segmenting the Time Series of a Market Index Using a Hidden Markov Model Ziqian Tony Huang, University of Illinois at Chicago ; Stanley L. Sclove, University of Illinois at Chicago
8:50 AM Regime Switching in the Conditional Skewness of S&P 500 Returns Mohammad Jahan-Parvar, East Carolina University ; Bruno Feunou, Duke University ; Romeo Tedongap, Stockholm School of Economics
9:05 AM Alpha Representation for Active Portfolio Management and High-Frequency Trading in Seemingly Efficient Markets Godfrey Cadogan, Ted Rogers School of Management
9:20 AM Floor Discussion



2011 JSM Online Program Home

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