This award provides funding for the fourth edition of the Conference on Modeling High Frequency Data to be held Steven Institute of Technology, NJ on August 16-19,2012. 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 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 as well as regulators to help develop and improve the modeling aspect of the financial markets. 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.
The 4th edition of the conference took place between July 19 and July 22, 2013. The website dedicated to this event is available at http://kolmogorov.fsc.stevens.edu/conference2012 The conference was held for 4 days and 203 participants registered for the event. The conference had 50 speakers of which 9 were graduate students. The award in the amount of $44,410 provided by NSF was used to provide participant support. We supported a total of 60 participants which were as follows: 29 out of the 41 main speakers were supported from the funds provided from NSF. 7 of the 9 graduate student speakers were supported with NSF funds (the other two were local). We reimbursed travel, accommodation and incidental costs. NSF funds also supported a total of 31 graduate students and young researchers participating at the conference. The support included lodging support for the period of the conference, as well as travel reimbursement. Some of the presentations will be submitted for review and publication into two volumes related to the conference topics. Handbook of High Frequency Trading editors I. Florescu, M.C. Mariani, H.E. Stanley, and F. Viens, Wiley, (under contract, to be finalized in 2014) Special Issue of Quantitative Finance on High frequency data analysis editors I.Florescu, M.C. Mariani, H.E. Stanley, and F. Viens, (second special issue to be finalized and published in 2015) The submission site is public and open to all articles related to these topics: http://kolmogorov.fsc.stevens.edu/specialissues/
