This award provides funding for the third edition of the Conference on Modeling High Frequency Data. The conference is a joint effort between Stevens Institute of Technology (Ionut Florescu), University of Texas at El Paso (Maria C. Mariani), and Purdue University (Jose E. Figueroa-Lopez). The purpose of the conference is to improve the models used to analyze data sampled with high frequency. Tools available from a variety of areas such as statistics, stochastic processes, statistical mechanics, clustering, and systems will be exposed. Academics, industry professionals, and government regulators will meet to collaborate, with the goal of advancing the quality of research currently under development in the field. The previous editions were instrumental for the development of the field by bringing attention to important problems in high frequency data modeling and proposing cutting-edge solutions to some of these problems.

The scientific motivation for the conference arises from the fact that organizing a conference in the trade capital of the world has the potential of bringing together the best mathematicians, practitioners and regulators to help developing and improving the modeling aspect of the marketplace. The main training objective of this meeting is to continue exposing today's economic and modeling problems to current graduate students in the hope that this will improve the quality and impact of their research.

Project Report

3", Summer 2011, Hoboken, NJ Award #1106027 The goal of the meeting was to provide information about latest developments in modeling data sampled with high frequency. The conference was organized by Stevens Institute of Technology, in collaboration with University of Texas at El Paso, and Purdue University. The conference took place between July 28 and July 31 2011 in Hoboken, New Jersey. All results, abstracts, and presentations from speakers who consented to share their presentations are publicized on the conference website: This year edition of the conference numbered 138 participants. We had a total of 47 speakers, grouped as follows: 4 plenary speakers (50 min talks), 27 regular speakers (40 min talks), and 16 graduate student speakers (20 min talks). This is a very noticeable increase from the previous year edition which featured 24 talks. On July 29 we organized a Special Session on Computational Finance and Microstructure models. We felt that this session is part of the conference but is better to have the talks grouped in a common theme. German Creamer organized this special session which featured 5 talks. On July 29 we organized a two hour special session on the future of the high frequency data analysis. The special session featured a panel formed from two industry participants and two academic researchers. On July 30 we organized a poster session. The main organizers of the conference were: Ionut Florescu (email: Stevens Institute of Technology), Maria Cristina Mariani (email: University of Texas at El Paso), Jose Figueroa-Lopez (email: Purdue University)

National Science Foundation (NSF)
Division of Mathematical Sciences (DMS)
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Tomek Bartoszynski
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Stevens Institute of Technology
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