2008 New England Statistics Symposium

Saturday, April 19, 2008, Suffolk University, Boston

Conference Home

Program

NESS 2008 Sponsors:

Department of Economics, Suffolk University

Beacon Hill Institute, Suffolk University

Department of Mathematical Sciences, Bentley College

Boston Chapter, American Statistical Association

NESS 2008
Planning Committee:

Dominique Haughton
Bentley College

Jonathan Haughton

Suffolk University

Welcome

The Economics Department and Beacon Hill Institute at Suffolk University, the Mathematical Sciences Department at Bentley College, and the Boston Chapter of the American Statistical Association are proud to host the 22^nd New England Statistics Symposium on Saturday, April 19, 2008.

The purpose, as usual, is to bring together statisticians from all over New England to a central location to share research, discuss emerging issues in the field, and to network with colleagues.

Andrew Lo of MIT and Martin Wells of Cornell University will deliver keynote presentations. In addition, there will be parallel sessions with contributed papers.

The Symposium will be held in Sargent Hall at Suffolk University, located at 120 Tremont St., Boston, diagonally opposite the Park Street station of the MBTA at the corner of Boston Common.

We invite talks on all aspects of statistics and probability. Reports on work in progress are welcome. Please submit an abstract as soon as possible to insure a place on the program using the instructions found in the Call for Papers section of this website. Participation of graduate students is encouraged. We may be contacted by e-mail at ness2008@beaconhill.org .

Sargent Hall, Suffolk University

120 Tremont St, Boston

This year marks the 22nd anniversary of the New England Statistics Symposium. The first New England Statistics Symposium was held at the University of Connecticut and we continue the tradition of hosting the symposium on alternate years. On other years it rotates among Colleges and Universities throughout New England. For a list of previous host institutions and keynote speakers, click here.

Featured Keynote Speakers

Andrew Lo, MIT

What Happened to the Quants in August 2007?

Abstract (paper with Amir Khandani)

During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. Based on TASS hedge-fund data and simulations of a specfic long/short equity strategy, we hypothesize that the losses were initiated by the rapid “unwind" of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a forced liquidation by a multi-strategy fund or proprietary-trading desk, possibly due to a margin call or a risk reduction.

These initial losses then put pressure on a broader set of long/short and long-only equity portfolios, causing further losses by triggering stop/loss and de-leveraging policies. A significant rebound of these strategies occurred on August 10th, which is also consistent with the unwind hypothesis. This dislocation was apparently caused by forces outside the long/short equity sector in a completely unrelated set of markets and instruments, suggesting that systemic risk in the hedge-fund industry may have increased in recent years.

Martin Wells, Cornell University

Adventures of a Statistician in the Legal System