Speaker: Itai Gurvich Date: 03-28-2017 Location: Uris Hall 333
Central-limit (Brownian) approximations are widely used for performance analysis and optimization of queueing networks because of their tractability relative to the original queueing models. Their stationary distributions are used as proxies for those of the queues.
Speaker: Andrew Gelman Date: 03-30-2017 Location: MUDD 303
Elections have both uncertainty and variation and hence represent a natural application of probability theory. In addition, opinion polling is a classic statistics problem and is featured in just about every course on the topic.
Speaker: Frank Brosens, Avery Katz, Christopher Waguespack & Chris Watson Date: 04-03-2017 Location: Davis Auditorium Event Driven investing and specifically merger arbitrage can offer attractive risk adjusted returns for funds that prudently manage the risk factors, including a negatively skewed P&L profile for many positions. We will discuss our process for identifying and quantifying the idiosyncratic and systematic risks, as well as the analysis we perform, the manner in which we structure positions, and the hedges we may implement to mitigate these risks.
Speaker: Michael Betancourt (Columbia University) Date:04-06-2017 Location: Mudd 303 Despite the promise of big data, inferences are often limited not by sample size but rather by systematic effects. Only by carefully modeling these effects can we take full advantage of the data -- big data must be complemented with big models and the algorithms that can fit them.