Conference Agenda

International Workshop on Statistical Computing in Quantitative Finance and Biostatistics:
A Satellite Meeting for the 7th IASC-ARS Conference
20-21 December 2011, Feng Chia University



General Program Schedule:
December 20 (Tuesday) QF: Quantitative Finance BS: Biostatistics.
※ Rooms 804A, 804B & the Eighth International Conference Room are on 8F of Business Buliding. ※
Program Book
Tutorial
( Eighth International Conferece Room )

9:30 – 10:30

Professor Wai-Sum Chan
departmentDepartment of Finance, The Chinese University of Hong Kong
abstractStochastic Investment Modeling

Registration and Opening
( Eighth International Conferece Room )
10:00 - 10:30 Registration / Morning Tea
10:30 - 11:00 Opening
Keynote Speech I
( Eighth International Conferece Room )
Chair/Discussant Professor Moon Y. Huh
departmentDepartment of Statistics, Sungkyunkwan University, Korea
11:00 - 12:00 Professor Toshiaki Watanabe
departmentInstitute of Economic Research, Hitotsubashi University, Japan
abstractBayesian Analysis of Time-Varying Parameter Vector Autoregressive Model With the Ordering of Variables for the Japanese Economy and Monetary Policy
12:00 – 13:30 Lunch
QF Session I
( 804B )
BS Session I
( 804A )
Chair/Discussant Professor Yasuhiro Omori
departmentFaculty of Economics, University of Tokyo, Japan
Professor Yutaka Tanaka
departmentDepartment of Environmental & Mathematical Sciences, Okayama University, Japan
13:30 – 14:00 Professor Cheng-Der Fuh (傅承德)
departmentInstitute of Statistics, National Central University, Taiwan (中央大學統計研究所)
abstractEfficient Importance Sampling for Rare Event Simulation with Applications
Dr. Jassy Nuoo-Ting Molitor
departmentOregon State University, USA joint with Imperial College London
abstractDoes Education Affect Cognitive Reserve - A Combined Bayesian Analysis of Five International Aging Studies
14:00 – 14:30 Dr. Philip L. H. Yu
departmentDepartment of Statistics and Actuarial Science, the University of Hong Kong
abstractCan the Content of News Better Improve Volatility Forecast?
Dr. Heng-Hui Lue (呂恒輝)
departmentDepartment of Statistics, Tunghai University, Taiwan (東海大學統計學系)
abstractDimension Reduction in Survival Regressions with Censored Data via an Imputed Spline Approach
14:30 – 15:00 Dr. Tomohiro Ando
departmentManagement Science, Graduate School of Business Administration, Keio University, Japan
abstractA Model Averaging Approach for High-Dimensional Regression
Professor Tsung-I Lin (林宗儀)
departmentDepartment of Applied Mathematics, National Chung Hsing University, Taiwan (中興大學應用數學系)
abstractBayesian Joint Mean-Covariance Modelling for Longitudinal Data Using the Multivariate t Distribution
15:00 – 15:20 Tea Break
QF Session II
( 804B )
BS Session II
( 804A )
Chair/Discussant Professor Marc Paolella
departmentSwiss Banking Institute, University of Zurich, Switzerland
Professor Junji Nakano (中野純司)
departmentThe Institute of Statistical Mathematics, Research Organization of Information and Systems, Japan
15:20 – 15:50 Dr. Davy C. M. Wong
departmentDepartment of Mathematical Sciences, University of Technology, Sydney, Australia
abstractEstimation of Spectral Risk Measures for Risk Management
Professor Chin-Shang Li (李金上)
departmentDivision of Biostatistics, Department of Public Health Sciences, University of California, USA
abstractA Spline-Based Lack-of-Fit Test for a Generalized Linear Model
15:50 – 16:20 Professor Ngai-Hang Chan (陳毅恆)
departmentDepartment of Statistics, The Chinese University of Hong Kong
abstractStatistical Arbitrage and Fractional Cointegration
Dr. Yu-Fen Huang (黃郁芬)
departmentDepartment of Mathematics, National Chung Cheng University, Taiwan (中正大學數學系)
abstractUse of Hierarchical Bayesian Methods to Evaluation of Multiregional Trials
16:20 – 16:50 Professor Mei-Hui Guo (郭美惠)
departmentDepartment of Applied Mathematics, National Sun Yat-Sen University, Taiwan (中山大學應用數學系)
abstractOn the Estimation of Time Series Regression Coefficients with Long Range Dependence
Professor Jen-Pei Liu (劉仁沛)
departmentDepartment of Agronomy, National Taiwan University, Taiwan (台灣大學農藝學系)
abstractAn Inferential Procedure for the Probability of Passing the USP Dissolution Test
16:50 – 17:20 Dr. Jennifer S. K. Chan
departmentSchool of Mathematics and Statistics, University of Sydney, Australia
abstractStochastic Modelling of Volatility and Inter-relationships in the Australian Electricity Markets
Professor Tae-Rim Lee
departmentDepartment of Information Statistics, Korea National Open University, Korea
abstractSymbolic Tree for Prognosis of Hepato Cellular Carcinoma Patients
17:30 - Welcome dinner (Windsor Hotel Taichung)

 December 21 (Wednesday)
Keynote Speech II
( 804B )
Keynote Speech III
( 804A )
Chair/Discussant Dr. Philip L. H. Yu
departmentDepartment of Statistics and Actuarial Science, The University of Hong Kong
Professor Junji Nakano (中野純司)
departmentThe Institute of Statistical Mathematics, Research Organization of Information and Systems, Japan
9:00 – 10:00 Professor Yasuhiro Omori
departmentFaculty of Economics, University of Tokyo, Japan

abstractRealized Stochastic Volatility with Leverage and Long Memory
Professor Shwa-Hwa Lo (羅小華)
departmentDepartment of Statistics, Columbia University, USA
abstractDiscovering Influential Variables and Their Applications: A Review
10:00 - 10:30 Tea Break
QF Session III
( 804B )
BS Session III
( 804A )
Chair/Discussant Professor Yuichi Mori
departmentDepartment of Socio-Information Okayama University of Science, Japan
Dr. Wen-Han Hwang (黃文瀚)
departmentDepartment of Applied Mathematics, National Chung Hsing University, Taiwan (中興大學應用數學系)
10:30 - 11:00 Professor Wai-Sum Chan
departmentDepartment of Finance, The Chinese University of Hong Kong
abstractOn the Calibration of Mortality Forward Curves
Professor Daniel Tsou (鄒宗山)
departmentInstitute of Statistics, National Central University, Taiwan (中央大學統計研究所)
abstractRobust Likelihood Inference for General Correlated Data
11:00 - 11:30 Professor Marc Paolella
departmentSwiss Banking Institute, University of Zurich, Switzerland
abstractMARC-MARS: Modeling Asset Returns via Conditional Multivariate Asymmetric Regime-Switching
Dr. John Thomas Molitor
departmentOregon State University, joint with Imperial College London
abstractAdjusting for Highly Correlated Confounders Using Bayesian Mixture Models: A Study of Associations between Measures of Deprivation, Air Pollution Exposures and Health in London
11:30 - 12:00 Dr. Mike K. P. So
departmentDepartment of IS, BS & OM, Hong Kong University of Science & Technology, Hong Kong
abstractEfficient Estimation of Dynamic Covariance via Risk Factors Mapping and its Applications to Financial Risk Management
Professor Yun-Chan Chi (嵇允嬋)
departmentDepartment of Statistics, National Cheng Kung University, Taiwan (成功大學統計學系)
abstractFrailty Models with a Cure Fraction for Modeling Clustered Discrete Survival Data
12:00 - 14:00 Lunch / Meeting: meet ISI president, Professor Jae Chang Lee ( 806 )
Keynote Speech IV
( 804B )
Keynote Speech V
( 804A )
Chair/Discussant Professor Mei-Hui Guo (郭美惠)
departmentDepartment of Applied Mathematics, National Sun Yat-Sen University, Taiwan (中山大學應用數學系)
Professor Tae-Rim Lee
departmentDepartment of Information Statistics, Korea National Open University, Korea
14:00–15:00 Professor Wolfgang Härdle
departmentCenter for Applied Statistics and Economics, Humboldt-Universität zu Berlin, German
abstractRisk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data with Application to Risk Patterns
Professor Wei-Yann Tsai (蔡偉彥)
departmentDepartment of Biostatistics, Columbia University, USA
abstractProportional Likelihood Ratio Model
15:00 - 15:30 Tea Break
QF Session IV
( 804B )
BS Session IV
( 804A )
Chair/Discussant Dr. Mike K. P. So (蘇家培)
departmentDepartment of IS, BS & OM, Hong Kong University of Science & Technology
Professor Jung Jin Lee
departmentDepartment of Statistics, Soong Sil University, Seoul, Korea
15:30 - 16:00 Dr. Henghsiu Tsai (蔡恆修)
departmentInstitute of Statistical Science, Academia Sinica, Taiwan (中央研究院統計科學研究所)
abstractInference of Seasonal Long-Memory Time Series with Measurement Errors
Dr. Hung-Hui Juan
departmentInstitute of Statistics, National Chiao Tung University, Taiwan (國立交通大學統計學研究所)
abstractAutomatic Segmentation for Brainbow Images
16:00 – 16:30 Dr. Wei-Fang Niu (牛維方)
departmentInstitute of Bioinformatics and System Biology, NCTU, Taiwan (國立交通大學生物資訊及系統生物研究所)
abstractMaximum Likelihood Estimation of Continuous Time Stochastic Volatility Models with Partially Observed GARCH
Dr. Shu-Chuan (Grace) Chen
departmentSchool of Mathematical and Statistical Sciences Arizona State University
abstractAn Experimental Study on Monkeys for Neuron Functions in Hand Movement during Reaching and Grasp
16:30 – 16:45 Nuttanan Wichitaksorn
Ph.D. Student
departmentUniversity of Sydney Business School, Australia

abstractModeling Australian Excess Return through Quantile Regression and Asymmetric Laplace Distribution by Scale Mixture of Normals
Wan-Jen Chen (陳婉貞)
Ph.D. student
departmentInstitute of Statistics, National Central University, Taiwan (中央大學統計研究所)
abstractEstimation of Intra-Cluster Correlation Coefficient for Ordinal Data via the Failure of Bartlett's Second Identity
16:45 - 17:00 Liang-Ching Lin (林良靖)
Ph.D. student
departmentDepartment of Applied Mathematics, National Sun-Yat-sen University, Taiwan (中山大學應用數學系)
abstractGoodness-Of-Fit Test for Stochastic Volatility Models
Shiow-Lan Gau (高秀蘭)
Instructor and Ph.D. student
departmentDepartment of Statistics, Fegn Chia University, Taiwan (逢甲大學統計學系)
abstractBayesian Approach for Mixture Models with Groupted Data
17:00 - 17:15 Barbara Choros-Tomczyk
Ph.D. student
departmentLadislaus von Bortkiewicz Chair of Statistics, C.A.S.E. - Center for Applied Statistics and Economics, Humboldt-Universitat zu Berlin, Germany
abstractCDO and HAC
Wei-Cheng Hsiao (蕭維政)
Ph.D. student
departmentInstitute of Statistics, National Central University, Taiwan (中央大學統計研究所)

abstractIs the Skew t Distribution Truly Robust?
17:30 Conference dinner (Howard Prince Hotel Taichung)