Econometrics and Modelling International Symposium
15th September 2007
Durham Business School
This one day symposium will deal with the recent advances in financial modelling and more particularly with financial econometrics. The main focus of financial modelling is modelling uncertainties and evaluating financial risks. The past two to three decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. The interest in the econometrics of financial modelling has generated an entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as GARCH, neural networks, statistical fractals, and chaos theory. These developments have been developed from other sciences and social sciences disciplines like statistical physics, hydrology, political science, psychology etc. This has also spawned recent disciplines like Marketics (Analytical marketing).
There will be four internationally renowned speakers at the symposium. These are: Professor Karim Abadir from Imperial College, Professor Yacine Aït-Sahalia from Princeton University, Professor Richard Baillie from Michigan State University and Professor Peter Phillips from Yale University.
This symposium is open to all free of charge. To register for this event or for more information please contact Professor Kaddour Hadri or Ms Elsie Liddell.