The conference will be held at Stevens Institute of Technology, Hoboken, NJ, October 24-26, 2013.

This award provides funding for the fifth edition of the Conference on Modeling High Frequency Data in Finance. The conference is a joint effort between Stevens Institute of Technology (Ionut Florescu), University of Texas at El Paso (Maria C. Mariani), Boston University (H. Eugene Stanley), and Purdue University (Frederi Viens). The purpose of the conference is to improve the models used to analyze financial 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 America's trade capital 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 training research.

The conference website is:

Project Report

Final Report for the 5th Annual Conference on Modeling High Frequency Data in Finance Standard Grant: NSF DMS 1309861 The 5th edition of the conference took place between October 24 and October 26, 2013. The website dedicated to this event is available at: The conference significantly advanced the state of knowledge on models designed to study data sampled with high frequency. Interacting with finance professionals, academia had the opportunity to construct and improve models to be able to study relevant problems for the real world. The graduate students participating have a tremendeous opportunity to interact with finance professionals mostly located in Chicago and New York regarless of where the students are studying. The entire NSF award was used to support outside participants. This was the fifth edition of the conference supported by NSF. The next table shows the support provided by NSF as well as the evolution of the conference from a local to an international one. Table 1: Report on Participation to the previous editions Edition Number Attendees Number of Talks 2009 123 30=21+9 2010 89 24=19+5 2011 138 47=31+16 2012 203 50=41+9 2013 160 63=50+13 The organizers wish to thank the National Science Foundation, the organization which provided the starting and largest support for the conference. Without your help the conference would not have been possible. The number of participants would have been greatly reduced and the quality of the talks would have suffered by not being able to support people coming from the western coast or abroad.

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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