[Main Speaker][Program][Conference Venue][Registration][Contact Address][Participants][Accommodation][Traveling][Acknowledgments]

NoonToNoon Meeting on FINANCIAL TIME SERIES

The Fifth NoonToNoon Meeting on Statistical and Mathematical Applications in Finance,
Vaasa, December 8--9, 2005

The aim of the conference is to bring together researchers and practitioners interested in statistical and mathematical applications in financial markets. In this meeting the major focus is in the modern time series tools applied in financial data. The main speaker in the symposium is Professor Terence C. Mills. Invited speakers are Professor Stefan Geiss and Professor Esko Valkeila.

The scientific sessions consist of presentations of the invited lectures and contributed papers. Contributed papers should be sent no later than November 15, 2005 electronically in pdf-format to Seppo Pynnonen, e-mail address: sjp@uwasa.fi.

Main Speaker

Professor Terence C. Mills, Loughborough University, Loughborough, United Kingdom

Invites Speakers

Professor Stefan Geiss, Department of Mathematics and Statistics, University of Jyväskylä.

Professor Esko Valkeila Institute of Mathematics, Helsinki University of Technology.

Program

Thursday 8, Room B201, University of Vaasa

11.00--12.00	Registration
12.00--12.20	Opening
12.20--14.00	Main Lecture I
	Recent Developments in Modelling Univariate Financial Time Series
	Professor Terence C. Mills
	Chair: Seppo Pynnönen
14.00--14.30	Coffee break
14.30--15.20	Invited Lecture I
	Does Fractional Smoothness Help in the Approximation of Stochastic Integrals?
	Professor Stefan Geiss
	Chair: Seppo Hassi
15.20--15.30	Break
15.30--17.00	Contributed Papers I, Room B201
	Chair: Dario Gasbarra
	Asset allocation and non-normality of stock returns
	Bernd Pape, University of Vaasa
	Bootstrap test of cointegration rank with financial time series
	Niklas Ahlgren, Swedish School of Economics
	Intraday linkages accross international equity markets
	Syed Mujahid Hussein, Swedish School of Economics
15.30--17.30	Contributed Papers II, Room A213
	Chair:Paavo Salminen
	Arbitrage and martingales in nonlinear price processes
	Teemu Pennanen, Helsinki School of Economics
	The ideal Hodrick-Prescott detrending operator
	Matti Laaksonen, University of Vaasa
	The stability and volatility of electric prices: An illustration of (lambda, sigma)-analysis
	Mikael Bask, Bank of Finland
	Wavelet analysis of cross-correlations between major European currencies
	Mikko Ranta, University of Vaasa
19.00--22.00	Buffet Dinner at Mathilda Restaurant, University of Vaasa

Friday 9, Room B201, University of Vaasa

9.00--10.30	Main Lecture II
	Recent Developments in Modelling Multivariate Financial Time Series
	Professor Terence C. Mills
	Chair: Johan Knif
10.30-11.00	Coffee
11.00--12.00	Invited Lecture II
	On Replication and Absence of Arbitrage in Non-Semimartingale Models
	Professor Esko Valkeila
	Chair: Juha Vuolle-Apiala
12.00	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. The address is Wolffintie 34, FIN-65200 Vaasa. See map.

Program and organizing committee

Seppo Pynnönen, Department of Mathematics and Statistics, University of Vaasa, Johan Knif, Hanken, and Anneli Virta (secretariat), Department of Mathematics and Statistics, University of Vaasa.

Registration and payments

Please fill in and return the registration form for The NoonToNoon by October 31, 2005. 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). There is no conference or dinner fee, but the participants are expected to take care of hotel reservations, traveling arrangements, and cover all traveling and lodging costs at their own expense.

Participants pdf-file

Important Dates

October 31, 2005	Registration to the Meeting
November 15, 2005	Submission of contributed papers
December 8--9, 2005	The Fifth NoonToNoon Meeting of Mathematical and Statistical Applications in Finance

Accommodation:

• Hotel Astor Vaasa
• Hotel Tekla
• Omena Hotel
• Radisson SAS
• Sokos Hotel Vaakuna

General information on accommodation possibilities can be found at website: http://www.vaasa.fi/tourism/. Here you can find other information about Vaasa.

Traveling

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

Rails	Train
Buss	Express Buss
Flights	Finnair
	SAS (Scandinavian Airlines System)
Local	Taxi, tel: (06)100411

Acknowledgments

Financial support for the conference from Academy of Finland, Liikesivistysrahasto, and Department of Mathematics and Statistics, University of Vaasa are gratefully acknowledged.

[Main Speaker][Program][Conference Venue][Registration][Contact Address][Participants][Accommodation][Traveling][Acknowledgments]