Nobel Prize in Economics
The Royal Swedish Academy of Sciences has decided to award the Sveriges Riksbanks Prize in Economic Sciences in Memory of Alfred Nobel for 2013 to IMS member Lars Peter Hansen, University of Chicago, IL, USA, for his early research. Lars shares this honor with Eugene Fama and Robert Shiller, “for their empirical analysis of asset prices.”
There is no way to predict the price of stocks and bonds over the next few days or weeks. But it is quite possible to foresee the broad course of these prices over longer periods, such as the next three to five years. These findings, which might seem both surprising and contradictory, were made and analyzed by this year’s Laureates.
Beginning in the 1960s, Eugene Fama and several collaborators demonstrated that stock prices are extremely difficult to predict in the short run, and that new information is very quickly incorporated into prices. These findings not only had a profound impact on subsequent research but also changed market practice. The emergence of so-called index funds in stock markets all over the world is a prominent example.
If prices are nearly impossible to predict over days or weeks, then shouldn’t they be even harder to predict over several years? The answer is no, as Robert Shiller discovered in the early 1980s. He found that stock prices fluctuate much more than corporate dividends, and that the ratio of prices to dividends tends to fall when it is high, and to increase when it is low. This pattern holds for stocks, bonds and other assets.
One approach interprets these findings in terms of the response by rational investors to uncertainty in prices. High future returns are then viewed as compensation for holding risky assets during unusually risky times. In 1982 Hansen presented his statistical theory, the Generalized Method of Moments, then used it to test whether historical share prices were consistent with the best known asset-pricing model at the time. He found the methods being used must be rejected because they failed to explain share movements. As a result, Hansen’s work helped confirm Shiller’s preliminary findings on bubbles and inspired new research.
The Laureates have laid the foundation for the current understanding of asset prices. It relies in part on fluctuations in risk and risk attitudes, and in part on behavioral biases and market frictions.
Lars Peter Hansen, born in 1952 in Urbana, Illinois, received his PhD in 1978 from University of Minnesota, Minneapolis. He is the David Rockefeller Distinguished Service Professor in Economics & Statistics at the University of Chicago, IL, USA. Lars shares the prize of SEK 8 million ($1.23 million) with the other two Laureates.
Lars delivered his lecture, “Uncertainty Outside and Inside Economic Models” on December 8: you can watch a video at the Nobel Prize website, http://www.nobelprize.org. You can also listen to a radio interview with Lars at http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/2013/hansen-interview.html
(You can view the certificate Lars received here.)
Jeffrey Steif elected member of Royal Swedish Academy of Sciences
At its General Meeting on 9 October Jeffrey Steif, Chalmers University of Technology, was elected a member of the Royal Swedish Academy of Sciences.
The Royal Swedish Academy of Sciences is an independent organization whose overall objective is to promote the sciences and strengthen their influence in society. As well as awarding the Nobel Prizes, each year the Academy elects new members. Being elected a member of the Academy constitutes exclusive recognition of successful achievements. These could be prominent research in mathematics, natural science, engineering, social science or humanities, but also outstanding services to science. The Academy has today about 440 Swedish and 175 foreign members. Since its beginning in 1739, about 1,600 Swedish people have been elected to membership.
Jeffrey Steif is Professor of Mathematics at Chalmers University of Technology in Gothenburg, Sweden. Jeffrey’s research area is probability theory and more specifically ergodic theory, percolation and particle systems. He has served as Associate Editor for Annals of Probability, Annals of Applied Probability, Electronic Journal of Probability, and Electronic Communications in Probability, among others.
Jeffrey’s webpage is http://www.math.chalmers.se/~steif/
Alison Etheridge appointed as Programme Chair for Ninth World Congress (Toronto, 2016)
Prof Alison Etheridge has been appointed as Scientific Programme Chair for the 9th World Congress on Probability and Statistics, jointly sponsored by the Bernoulli Society and the Institute of Mathematical Statistics. The meeting will be held in Toronto, Canada, in the summer of 2016 (details to follow).
Professor Alison Etheridge works in the Statistics Department of Oxford University. Her research can be roughly divided into the three interconnected areas of infinite dimensional stochastic analysis, mathematical ecology and mathematical population genetics, with recent publications in Annals of Probability, Theoretical Population Biology, and Genetics; she has written books on financial calculus and superprocesses.
Her webpage is http://www.stats.ox.ac.uk/~etheridg/
ICSA Pao-Lu Hsu Award recognizes Jianqing Fan, Xiao-Li Meng and Bin Yu
At the Ninth ICSA International Conference (20–23 December, 2013 in Hong Kong) the International Chinese Statistical Association will present the first recipients of the Pao-Lu Hsu Award. Congratulations to Jianqing Fan from Princeton University, Xiao-Li Meng from Harvard University, and Bin Yu from University of California at Berkeley. This award recognizes their excellent scholarly accomplishments in statistical research as well as outstanding contributions to the development of sound statistics in Chinese communities. An official award ceremony with special presentations by the award recipients will be held at this conference.
The titles of the Awardee Talks are:
Jianqing Fan: Are we all wrong?
Xiao-Li Meng: A Trio of Inference Problems That Could Win You a Nobel Prize in Statistics (if you help fund it)
Bin Yu: Modeling Visual Cortex V4 in Naturalistic Conditions with Invariant and Sparse Image Representations.
See the meeting website at http://www.math.hkbu.edu.hk/ICSA2013/index.html
David Madigan appointed Faculty Dean at Columbia University
IMS Fellow David Madigan has been named executive vice president and dean of the Faculty of Arts and Sciences at Columbia University. Madigan has been the interim dean since March. He joined Columbia’s faculty in 2007 as a professor of statistics and became the department chair the following year.
University President Lee C. Bollinger said, “In his important new leadership role, David will be called on to sustain and further strengthen Columbia’s academic excellence, expand our interdisciplinary programs, and make this core academic community of arts and sciences even more diverse.”
Madigan said fostering a more diverse faculty is one of his key objectives, along with supporting the highest quality teaching and learning. “As interim executive vice president I have experienced first hand the extraordinary quality and brilliance of the faculty and students here at Columbia and the attendant responsibility we have to do good in the world,” he said. “I am excited and humbled to take on this role.”
Born in Ireland, Madigan earned his bachelor’s degree in mathematical sciences and a PhD in statistics from Trinity College, Dublin. He is a Fellow of IMS, the American Statistical Association, and the American Association for the Advancement of Science.
IMS members organising Nonparametric Statistics conference
Following the successful I ISNPS (International Society of NonParametric Statistics) Conference in 2012 in Greece, Ricardo Cao, Wenceslao Gonzalez-Manteiga and Juan Romo are organizing the second ISNPS Conference in Cadiz, south of Spain, June 12–16, 2014.
The conference hotel is located 60 km (40 miles) from Jerez de la Frontera airport. The province of Cadiz is an exceptional and unique area, with high quality cultural, ecologic and gastronomic values, including villages, landscapes and 138 km of first class beaches with coves, inlets and long stretches of sand. Jerez de la Frontera has an international airport with direct connections to many European cities.
The IMS co-sponsored conference will put together recent advances and trends in several areas of nonparametric statistics in order to facilitate the exchange of research ideas, promote collaboration among researchers from all over the world and contribute to the further development of the field. The program (scheduled on June 12, 13, 15 & 16; June 14 will be a free day) will include plenary talks, special invited talks, invited talks and contributed talks on all areas of nonparametric statistics. Deadline for submission of contributed talks is February 15, 2014. For any questions, please email email@example.com and see the webpage http://www.isnpstat.org.