JSM 2011 Online Program
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Activity Details
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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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