CS032 Statistical Methods for Risk, Discovery, and Market Analysis

Fri, May 1, 9:50 AM - 11:20 AM Room Executive Ballroom AB Hyatt Regency Milwaukee

Palash AroraChair

Data Science Applications

2 Presentations

A Fixed-Point Approach to Data-Driven Region Discovery

10:20 AM - 10:45 AM

Co-authors: James Duncan, John O'Brien (Bowdoin College), James Duncan

Lasso Regression Semi-Supervised Learning Fixed-Point Methodologies Social Science Methodologies

Authorized Participant Networks, Inventory Constraints, and Liquidity Mismatch in Bond ETFs: A Combined Empirical–Structural Analysis

10:45 AM - 11:10 AM

Co-authors: Mehrdad Soltani (University of Delaware/JPMorganChase), Paul Laux (University of Delaware), Mehrdad Soltani (University of Delaware/JPMorganChase)

Illiquidity ETF Mispricing Authorized Participant Role Simulation Liquidity Mismatch Network Microstructure