Stern-Wharton Conference on Statistics in Business


Friday, April 28th, 2006

Sponsored by the

Department of Information, Operations and Management Sciences

Leonard N. Stern School of Business, New York University

Cosponsor

Department of Statistics

The Wharton School of Business, University of Pennsylvania


Abstract

Uncertainty is ubiquitous in business, as it is in any context. Probability, statistics, and stochastic processes are the tools by which it is possible to understand uncertainty, and plan for and control risk.

This conference brings together members of the statistics faculty and doctoral students of the Stern and Wharton Schools of Business. The objective is to highlight both methodologies and applications of statistics to problems in business, defined broadly.

Each speaker will present for 35 minutes followed by a 10 minute discussion period.

All interested researchers and practitioners are welcome. The registration fee for the conference is $15, which includes continental breakfast, refreshments, a box lunch, and an evening reception. The registration fee is waived for students, faculty, and staff of New York University and of the Wharton School, but all interested attendees must register in advance. In order to register, please send name, title, affiliation and address to "gwashing@stern.nyu.edu". If you are not a Wharton or NYU student, staff or faculty member please mail a check for $15 made out to New York University to Gloria Washington, IOMS Department, 44 West 4th Street, New York, NY 10012-0258, in order to reserve your spot.

Conference Coordinators:

Jeffrey S. Simonoff, Professor of Statistics, Stern School of Business
Edward I. George, Universal Furniture Professor of Statistics, Wharton School of Business

For additional information:
phone: (212) 998-0484
Fax: (212) 995-4003
E-mail: gwashing@stern.nyu.edu


            FRIDAY,  APRIL 28

8:15am Registration and Continental Breakfast

8:50am Welcome
Jeffrey Simonoff, Organizer

MORNING SESSION: METHODOLOGY

9:00am "Classification Consistency and Surrogate Empirical
Risk Minimization"

Jon McAuliffe
The Wharton School

9:45am "Optimal Portfolio Selection Problems"

Peter Lakner
The Stern School

10:30am Refreshment Break

10:45am "R-Estimates vs. GMM: A Theoretical Case Study of
Validity and Efficiency"

Dylan Small
The Wharton School

11:30am "Spatial models, Spatial Integrals, and Green’s Theorem"

Gary Simon
The Stern School


12:15pm Lunch Break
A box lunch will be available in the Sosnoff Lounge of the
Kaufman Management Center (KMC), first floor


AFTERNOON SESSION: APPLICATIONS

1:30pm "Prediction of Future Performance in Baseball"

Shane Jensen
The Wharton School

2:15pm "Overcoming Bias in Predictive Regression: A multi-purpose
Methodology"

Yi Wang
Doctoral student, The Stern School

3:00pm Refreshment Break

3:15pm "Optimal Filtering of Jump Diffusions: Extracting
Latent States from Asset Prices"
 Jon Stroud
The Wharton School

4:00pm "Credit Rating Transitions of U.S. Corporate Bonds"

Weijian Liang
Doctoral student, The Stern School

5:00pm Cocktail Reception
Hosted by the Department of Information, Operations and
Management Sciences, The Stern School
The Torch Club, 18 Waverly Place (between Greene Street
and Mercer Street)


All sessions will be held in Room 1-70 on the first floor
of the Kaufman Management Center (KMC), 44 West 4th Street,
New York City - part of New York University's Leonard N.
Stern School of Business. The School is accessible via the R,
N (to 8th Street), A, B, C, D, E, F, Q (to W. 4th Street), or
#6 (to Astor Place) subway route. A public parking garage can
be found one block from the Kaufman Management Center under
the Washington Square Village apartment complex, beneath
the block bounded by LaGuardia Place, West 3rd Street, Mercer
Street, and Bleecker Street. The Kaufman Center is building 49
in the official NYU map, while the Torch Club is in block 32.

Discounted rooms at the Soho Grand Hotel are available to attendees
 of the conference, based on an NYU discount. Please let us know
if you wish to make a reservation there, so that appropriate
documentation for the NYU discount can be provided.