2015 Informs Annual Meeting

SB07

INFORMS Philadelphia – 2015

SB04 04-Room 304, Marriott JFIG Paper Competition II Sponsor: Junior Faculty Interest Group Sponsored Session

SB06 06-Room 306, Marriott Stochastic Systems in Finance Sponsor: Financial Services Sponsored Session

Chair: Asoo Vakharia, Professor, University of Florida, Department of ISOM, Gainesville, FL, 32611, United States of America, asoov@ufl.edu Chair: Arda Yenipazarli, Assistant Professor of Operations Management, Georgia Southern University, COBA 2224, Statesboro, GA, 30460, United States of America, ayenipazarli@georgiasouthern.edu The 2015 JFIG paper competition features paper submissions from a diverse array of talented junior faculty members. The prize committee evaluated submissions based on the importance of the topic, appropriateness of the approach, and significance of the contribution. After careful review, the prize committee selected a group of finalists to present their research in one of the two JFIG sessions. For information on the finalists and their papers, please refer to the online program. SB05 05-Room 305, Marriott Bridging Business and Analytics Cluster: Social Media Analytics Invited Session Chair: Mingfei Li, Associate Professor, Bentley University, 175 Forest Street, Waltham, United States of America, Mli@bentley.edu 1 - Implement Business Analytics in Education: An Exploration in Business Education Mingfei Li, Associate Professor, Bentley University, 175 Forest Street, Waltham, MA, United States of America, Mli@bentley.edu Do we have a formula for Business Analytics in education? How do we fill the gap between business and analytics in school? Ideas of combining Business with Analytics in education will be explored. Using Bentley’s business analytics programs as an example to show works from students in this field. 2 - The Analytics of Kickstarter David Oury, Lecturer, Bentley University, 175 Forest Street, Our project investigates those factors that influence the success or failure of crowdfunding projects through analytics on the Kickstarter data set. We compare results, models and capabilities of the following software packages: Alteryx, IBM SPSS Modeler, KNIME, R, RapidMiner, Salford Systems, SAS Enterprise Miner and Semcasting. 3 - Analytics, Interdisciplinary Collaboration, and the Mapping of Brand DNA Joseph Dery, PhD Student, Sr. Data Scientist, Bentley University, EMC Corporation, 175 Forest Street, Waltham, MA, 02451, United States of America, JDERY@bentley.edu Do successful analytics projects utilize interdisciplinary collaboration? Leveraging the brand-exclusivity robbing phenomenon of brand genericide, this deceivingly marketing-dependent problem is viewed through a combined lens of brand management, legal studies, linguistics and analytics. The result: newly mapped “Brand DNA” with the ability to measure brand-mutations through longitudinal text mining. 4 - An Exploration of Power Structures Utilizing Network Analysis Kevin Mentzer, PhD Student, Bentley University, 175 Forest Street, Waltham, MA, 02451, United States of America, mentzer_kevi@bentley.edu, Dominique Haughton This work combines Bayesian analysis with social network analysis to highlight significant change in networks over time. Applications exploring power in interlocked corporate boards as well as power in state government are explored. Findings show capabilities to identify and isolate key data as well as show shifting power dynamics. Morison room 325, Waltham, MA, 02451, United States of America, doury@bentley.edu

Chair: Alexandra Chronopoulou, Assistant Professor, University of Illinois at Urbana-Champaign, 117 Transportation Building, MC-238, 104 South Mathews Avenue, Urbana, IL, 61801, United States of America, achronop@illinois.edu 1 - Efficient Risk Analysis for Loan Pools Justin Sirignano, Stanford University, Huang Engineering Center, Stanford, Ca, 93404, United States of America, jasirign@stanford.edu, Kay Giesecke Financial institutions and investors are often exposed to default risk from large numbers of loans. Due to the size of loan pools, brute-force simulation is computationally expensive. We prove weak convergence results in order to construct an efficient Monte Carlo approximation. We test our approximation on a data set of over 25 million actual mortgages. Computational cost is often several orders of magnitude less than brute-force simulation of the actual pool with a similar level of accuracy. 2 - Optimally Thresholded Realized Power Variations for Stochastic Volatility Models with Jumps Jose Figueroa-lopez, Purdue University, figueroa@purdue.edu Thresholded Power Variations are popular nonparametric estimators for continuous-time processes with jumps. An optimal threshold selection approach is put forward in the presence of a stochastic volatility risk component. To this end, we further develop current kernel based estimators for the spot volatility, which in turn yield new optimal bandwidth selection procedures for stochastic volatility models. 3 - Principal Component Analysis of High Frequency Data Dacheng Xiu, University of Chicago, Booth Business School, Chicago, IL, dachxiu@chicagobooth.edu, Yacine Ait-sahalia We develop a methodology to conduct principal component analysis at high frequency. The procedure involves estimation of realized eigenvalues, realized eigenvectors, and realized principal components and we provide the asymptotic distribution of these estimators. 4 - Indifference Pricing for Contingent Claims: Large Deviations Effects Konstantinos Spiliopoulos, Assistant Professor, Boston University, Department of Mathematics and Statistics, 111 Cummington Mall, Boston, MA, 02215, United States of America, kspiliop@math.bu.edu We study utility indifference prices and optimal positions for a non-traded contingent claim in an incomplete market with vanishing hedging errors, making connections with large deviations. Consider a sequence of semi-complete markets where for each n the claim hn = Dn+Yn, Dn is replicable and Yn is unheadgable. In this setting, we show the prices typically are not the unique arbitrage free price in the limiting market and that optimal purchase quantities occur at the large deviations scaling. SB07 07-Room 307, Marriott Networks and Contagion Risk Cluster: Risk Management Invited Session Chair: Agostino Capponi, Columbia, Mudd 313, New York, NY, 10027, United States of America, ac3827@columbia.edu 1 - Interfirm Relationships and Asset Prices Carlos Ramirez, Finance PhD Candidate, Carnegie Mellon

University, 5000 Forbes Ave, Pittsburgh, 15213, United States of America, carlosrc@cmu.edu

I study asset pricing in large economies where persistent interfirm relationships generate interdependencies among firms’ cash-flows. In the calibrated model: well connected firms command higher risk premium than less connected firms; firm-level return volatilities follow a factor structure; and momentum trading strategies are profitable.

67