[Main Speaker][Invited Speakers][Graduate Seminar][Program][Conference Venue][Registration][Contact Address][Participants][Accommodation][Traveling][Acknowledgments]

ANALYSIS OF HIGH FREQUENCY FINANCIAL DATA

Annual Meeting of the Finnish Statistical Society,
Vaasa, May 17–18, 2001

Conference Photos

The aim of the conference is to bring together researchers interested in statistical applications, stimulate further research, and foster discussions concerning the latest developments in modern statistical tools for analysis and modeling of high frequency data, particularly available on financial markets. The availability of increasingly higher frequency data has challenged traditional statistical methodology, which ultimately is the science of making inferences from relatively few randomly selected observations. New tools for analyses of distributional properties, higher order dependencies, common sources of variation have been targets of intense research over the past two decades. One of the greatest milestones is the ARCH methodology, invented by the main speaker of this Symposium, Professor Robert F. Engle. New avenues have opened up in nonlinear time series modeling, robust estimation, and other fields of statistical analysis.

The scientific sessions consist of presentations of the invited lectures and contributed papers. Contributed papers should be sent no later than April 30, 2001 to the conference address.

Pre-meeting Graduate seminar: May 16 afternoon StatNet (The Finnish Statistical Network) will arrange in connection with the Annual Meeting a Seminar for graduate students working on their dissertations. For further information and registration details, see StatNet homepage.

Graduate Seminar Photos

Main Speaker

Professor Robert F. Engle, New York University, Leonard N. Stern School of Business, New York

Invited Speakers

Professor Kurt Brännäs, University of Umeå, Umeå
Professor Timo Teräsvirta, Stockholm School of Economics, Stockholm

Pre-meeting Graduate Seminar

Wednesday May 16, 2001, Room C203, Tervahovi, University of Vaasa,

13.15–14.00	Sara Ahola, "A robust canonical correlation." Commentator: Professor Juha Alho
14.05–14.50	Eero Laakkonen, "Growth analysis in SEM - simulation experiments." Commentator: Professor Esko Leskinen
14.55–15.40	Carolina Sierimo, "Stock returns, inflation, and monetary policy." Commentator: Professor Seppo Pynnönen
15.40–16.00	Coffee
16.00–16.45	Juha Karvanen, "Independent components modeling" Commentator: Professor Jukka Nyblom
16.50–17.35	Reijo Sund, "Metodologisia näkökulmia yksilötason rekisteriaineistojen hyödyntämiseen." Commentator: Professor Juha Alho

The Annual Meeting of the Finnish Statistical Society

Thursday 17, Room B201 (Wolff), Tervahovi, University of Vaasa

10.00–12.30	Registration
12.30–13.00	Opening
13.00–14.30	Main Lecture I
	Predicting Returns and Volatilities with Ultra-High Frequency Data:
	Implications for the Efficient Market Hypothesis (PowerPoint slides)
	Professor Robert F. Engle
	Chair: Seppo Pynnönen
14.30–15.00	Coffee break
15.00–16.30	Invited Lecture I
	Evaluating GARCH Models
	Professor Timo Teräsvirta
	Chair: Gunnar Rosenqvist
16.30–16.40	Break
16.40–17.40	Contributed Papers I
	Chair: Juha Vuolle-Apiala
	Fractional Brownian motion as a model in finance (slides)
	Tommi Sottinen, University of Helsinki
	An I(2) Model for Money Demand and Monetary Transmission Mechanisms in Sweden
	Niklas Ahlgren, Swedish School of Economics and Business Administration, Helsinki
	Characterizing the degree of stability of non-linear dynamic models (Full paper, pdf)
	Xavier de Luna, University of Umeå
18.30–20.00	Reception, City of Vaasa, City Hall, City Art Gallery
	Address: Raastuvankatu 26
20.30	Dinner, (Merilintu, Raippaluoto)

Friday 18, Room B201 (Wolff), Tervahovi, University of Vaasa

8.30–9.00	Coffee
9.00–10.30	Main Lecture II
	Trades and Quotes: A Bivariate Point Process (PowerPoint slides)
	Professor Robert F. Engle
	Chair: Johan Knif
10.30–10.40	Break
10.40–12.10	Invited Lecture II
	Modelling an Exchange Rate in a Target Zone
	Professor Timo Teräsvirta
	Chair: James Kolari
12.10–13.40	Lunch (Restaurant Mathilda)
13.40­–14.10	Törnqvist esitelmä, vuoden 2000 palkittu tilastotieteen pro gradu työ (pdf)
	Chair: Heikki Almgren
14.10–15.10	Contributed Papers II
	Chair: Jukka Perttunen
	A Low Volatility Multi-Currency Numeraire: Theory and Evidence (pdf)
	James Kolari, Texas A&M University, USA
	Outliers and ARCH modeling (pdf)
	Jussi Tolvi, University of Turku
	On the correlation of realized volatility (pdf)
	Daniel Djupsjöbacka and Ronnie Söderlund, Estlander & Rönnlund Financial Products Ltd
15.10–15.35	Coffee
15.35–16.20	Invited Lecture III
	Modelling Conditional Skewness
	Professor Kurt Brännäs
	Chair: Antti Kanto
16.20	Conference closing

Conference venue

The venue of the conference is University of Vaasa, located on Palosaari, 1.5 kilometers (0.9 miles) northwest from the city center. Address is Wolffintie 34, FIN-65200 Vaasa. See map.

Program and organizing committee

Seppo Pynnönen, Pentti Suomela, Ilkka Virtanen and Anneli Virta (secretariat), Department of Mathematics and Statistics, University of Vaasa.
The Finnish Statistical Society

Registration and payments

Please fill in and return the registration form for The Annual Meeting of Finnish Statistical Society by April 20, 2001. You can also register at the web site by filling in and sending the online registration form found below or sending e-mail to secretariat Anneli Virta (anvi@uwasa.fi). Registration fee is FIM 700 (€ 118) before April 20, 2001 and FIM 800 (€ 135) after April 20^th. For full time students the fee is FIM 350 (€ 59), and FIM 400 (€67.5) after April 20^th. The fee should be paid to the account of University of Vaasa: account 800018-48473. Please note "B097" and your full name on the money order. The registration fee includes abstracts/papers, coffee each day, lunch on Friday and Dinner on Thursday evening.

Registration forms

• pdf-format

Registered participants as of May 14, 2001

Important Dates

April 10, 2001	Registration to the Graduate Seminar.
April 20, 2001	Registration and payment to the Annual Meeting
April 30, 2001	Submission of contributed and Seminar papers
May 16, 2001	Graduate Seminar starts
May 17--18, 2001	Annual Meeting of the Finnish Statistical Society

Accommodation

Special rates for accommodation during the conference and premeeting Graduate Seminar are in

• Hostel Tekla, Palosaarentie 58, FIN-65200 VAASA, phone +358-6-3276 411, www.hostel-tekla.net,
  • single room FIM 200 per night
  • double room FIM 300 per night,
  • three persons' room FIM 400 per night.
• Sokos Hotel Vaakuna, Ylätori, FIN-65100 VAASA, phone +358-6-212 4111, fax +358-6-3127 175, www.sokoshotels.fi/hotellit/vaakuna_vaasa.htm,
  • single room FIM 350 per night
  • double room FIM 440 per night.
• Hotel Astor, Asemakatu 4, FIN-65100 VAASA, phone: +358-(0)6-326 9111 Fax: +358-(0)6-326 9484, www.astorvaasa.com/eng/eng_hotelindex.html,
  • single room FIM 460
  • double room FIM 650.
• Radisson SAS Royal Hotel Vaasa Hovioikeudenpuistikko, 18 FIN-65100 Vaasa Finland, tel +358-6-2128111, www.radissonsas.com,
  • single room FIM 450 per night
  • double room FIM 670 per night.

These rates are valid until April 31, 2001. The participants are kindly asked to make the reservations themselves with reference TILASTOPÄIVÄT 2001 for the special rate. Further information on these and other accommodation possibilities are found at website: http://www.vaasa.fi/webeng/tourism/hotel_en.htm. Here you can find other information of Vaasa.

Traveling

There are rail, bus and flight connections to Vaasa. Latest information for appropriate connections are found from websites

Rails	Helsinki/Turku/Oulu/Tampere-Seinäjoki-Vaasa
	Vaasa-Seinäjoki-Oulu/Tampere/Turku/Helsinki
	Joensuu-Jyväskylä-Vaasa
	Vaasa-Jyväskylä-Joensuu
Buss	Express Buss
Flights	Finnair
	SAS (Scandinavian Airlines System)

Acknowledgments

Financial support for the conference from Jenny and Antti Wihuri foundation and Liikesivistysrahasto are gratefully acknowledged.

[Main Speaker][Invited Speakers][Graduate Seminar][Program][Conference Venue][Registration][Contact Address][Participants][Accommodation][Traveling][Acknowledgments]