Workshop on Applications of Random Matrices in Economics and Statistics


Thursday May 18

9:30 Coffee
10:00 - 10:45 Leonid Pastur (King's College London and Institute for Low Temperature Physics & Engineering) Large Sample Covariance Matrices: Some History and Recent Developments
10:45 - 11:15   Coffee break
11:15 - 12:00 Anna Maltsev (Queen Mary University of London) A new perspective on the stochastic volatility model
12:05 - 12:50 Zhentao Shi (CUHK and Georgia Institute of Technology) On Lasso for High-Dimensional Predictive Regression
12:50 - 14:10 Lunch break
14:10 - 14:55 Holger Dette (Ruhr-Universitaet Bochum) Nonparametric bootstrap of high-dimensional sample covariance matrices
15:00 - 15:45 Vadim Gorin (UC Berkeley) High-dimensional canonical correlation analysis
15:45 - 16:15 Coffee break
16:15 - 17:00 Marc Potters (Capital Fund Management) Estimating financial covariance matrices: cross-validation, dynamic and fleeting modes
17:05 - 17:50 Jianqing Fan (Princeton) Inference for Heteroscedastic PCA with Missing Data
17:50 - 18:30 Opportunity to go back to the hotel
18:30 Drink Reception
19:00 Dinner

Friday May 19

9:00 Coffee
9:30 - 10:15     Jean-Philippe Bouchaud (Capital Fund Management) Eigenvector overlaps from Free RMT, and applications
10:20 - 11:05 Alexei Onatski (Cambridge) Trace test for high dimensional cointegration
11:05 - 11:35 Coffee break
11:35 - 12:20 Alexander Aue (UC Davis) Testing high-dimensional general linear hypotheses under a multivariate regression model with spiked noise covariance
12:25 - 13:10 Andrei Zeleneev (UCL) Robust Estimation and Inference in Panels with Interactive Fixed Effects
13:10 - 14:30 Lunch break
14:30 - 15:15 Roger Moon (USC) Uniform bound on operator norm of subgaussian random matrices and its applications
15:20 - 16:05 Eric Auerbach (Northwestern) Heterogeneous Treatment Effects for Networks, Panels, and other Outcome Matrices
16:05 Time to explore Oxford
19:00 High Table Dinner (for speakers only)

Registerred Participants (in addition to the speakers and organizers)

Ayden Higgins (Oxford)
Cavit Pakel (University of Oxford)
Cenyu Zhang (University of Oxford)
Christophe Gaillac (University of Oxford)
Claudia Noack (Oxford and Nuffield)
Csaba Toth (University of Oxford)
Danilo Jr Dela Cruz (University of Oxford)
Fei Wei (University of Oxford)
Frank Kleibergen (University of Amsterdam)
Frank Windmeijer (Nuffield College)
Jad Hamdan (University of Oxford)
James Duffy (University of Oxford)
Johannes Forkel (University of Oxford)
Jon Keating (University of Oxford)
Jose Moran (Oxford INET)
Majid Al Sadoon (Durham University)
Martin Mugnier (CREST-ENSAE)
Max Helmer (TU-Darmstadt)
Michael Curran (University of Oxford)
Mitja Devetak (University of Oxford)
Otso Hao (University of Oxford)
Sophocles Mavroeidis (University of Oxford)
Svetlana Malysheva (QMUL)
Xiyu Jiao (Nuffield College, Oxford)
Yuji Nakatsukasa (University of Oxford)