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FIRST EUBANK CONFERENCE: MODELING REAL WORLD MARKETS

March 23-24, 2009
Rice University, Department of Statistics
George R. Brown School of Engineering
Duncan Hall

This will be a workshop concerning empiricism in modeling the market. How does one handle situations in which current orthodoxies in finance produce strategies which fail to model the real world? To what extent have the current orthodoxies been responsible for failed strategies on the part of investors and government regulators? What are the implications of market practice in nonwestern markets. How shall we begin to build new theories which are more effective at modeling and modifying real world markets? This workshop,supported financially by a grant from Nancy and Thomas Eubank, will waive registration fees. Pre-registration will be required for participation in the two lunches. Registration will close Friday, March 13th.


CONFERENCE AGENDA

First Day - Monday, March 23, 2009
8 – 9:00am  Registration
9:00            Call to Order and Introduction of Katherine Ensor Chair of the Department of 
                  Statistics and CoFES Director – Jim Thompson
                  Welcome from the Department of Statistics – Katherine Ensor
9:15            Introduction to Conference “Some Problems to be Addressed” – J. Thomas Eubank
9:30            "Bad Economics, Bad Public Policy: The Disadvantages of Disregarding Data" – J. Thompson  
10:30          Break
10:45          “Islamic Finance” – Mahmoud El–Gamal
11:45          Lunch at Cohen House
1:00pm       Student Panel: “A Data Based Deconstruction of the Efficient Frontier, the Capital Market Lin 
                  and the Security Market Line” (Rice students of market modeling – Ricardo Affinito, 
                  Garrett Grolemund, Colleen Kenney, and Steve Liao)
1:30            General Discussion
2:00 – 3:00  “Cascading Losses: The Role of Complex Dependence” – Katherine B. Ensor and 
                  Ginger M. Davis
3:00            Break
3:15            “The New World of Accounting” – Steve Zeff
4:15            “Constant Proportion Debt Obligations, Zeno's Paradox, and the Spectacular 
                  Financial Crisis of 2008” – Don Richards
5:00            Adjourn
5:15            Social (Martel Hall)
6:00            Banquet - Welcome by Dean of Engineering Sallie Keller-McNulty
                  "Empirical Portfolio Creation" – Jim Thompson

Second Day - Tuesday, March 24, 2009
9:00am        Intro of Paul Davidson – Jim Thompson
9:15            “John Maynard Keynes: The Greatest Economist of the 20th Century and His View of the 
                  Role of Financial Markets in the Aggregate Economy” – Paul Davidson
10:15          Break
10:30          “Market Truths: Theory Versus Empirical Modeling” – William Wojciechowski and 
                  Jim Thompson
11:15          Panel - “Where We Hope these Conferences Will Lead” – Eubank, Ensor, Richards
11:45          Lunch at Cohen House
12:45pm    “Rags or Riches: Short Options Trading Program” – John Dobelman
1:45            “How Did We Get Here and Where Are We Going?” – William Sirakos
2:45            Panel - “Legal Implications of the EMH” (How the Theories we Adopt Affect Real 
                  World Decisions) – Eubank, Ensor, Thompson
3:15            Wrap-up and General Discussion
4:00            Closing Reception (Martel Hall)

On-Site REGISTRATION is Available
Speakers
Parking Information (Map & Directions), Duncan Hall