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Harvard Statistics Summer Retreat

Tentative Program

All classes will meet in room G125 (the Watjen Room) in Maxwell/Dworkin Hall. (Note: schedule subject to change.)

Monday, June 11

9:30-10:40 Registration and Continental Breakfast  
10:40-11:00 Welcoming Remarks Xiao-Li Meng
11:00-12:00 Opening Keynote Address:
Investment Management in a Fluid World		 Mohamed El-Erian
12:00-2:00 Lunch  
2:00-3:15 Using Quantitative Models for Relative-Value Derivatives Trading Stephen Blyth
3:15-3:45 Coffee & Refreshments  
3:45-5:00 Network Modeling with Applications to Hedge Fund Returns Yoonjung Lee
6:00-8:00 Reception  

Tuesday, June 12

8:30-9:00 Continental Breakfast  
9:00-10:15 Maximum Drawdown and Directional Trading Jan Vecer
10:15-10:45 Coffee & Refreshments  
10:45-12:00 Plenary Address: The Psychology of Trading Andrew Lo
12:00-2:00 Lunch  
2:00-3:15 Quantitative Challenges Facing Market Practitioners Industry Panel Session
3:15-3:45 Coffee & Refreshments  
3:45-5:00 Modeling Growth Stocks Samuel Kou
6:00-8:00 Banquet Dinner  

Wednesday, June 13

8:30-9:00 Continental Breakfast  
9:00-10:15 A Tutorial on Bayesian Methods Xiao-Li Meng
10:15-10:45 Coffee & Refreshments  
10:45-12:00 Heavy-Tailedness and Dependence Rustam Ibragimov
12:00-2:00 Lunch  
2:00-3:15 Efficient Monte Carlo Simulations for Risk & Sensitivity Analysis Jose Blanchet
3:15-3:45 Coffee & Refreshments  
3:45-5:00 Closing Keynote Address: Predictability of Aggregate Stock Returns John Campbell

Copyright 2007 by the President and Fellows of Harvard College