Professor Karim Maher Abadir, Professor of Financial Econometrics, Tanaka Business School, presents his Inaugural Lecture: ‘Lies, Damned Lies, and Statistics?’
Abstract: Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this lecture, I will focus on designing new statistical tools to deal with some prominent questions in Finance and Economics. In particular, I will talk about the following. (1) How to characterize the randomness of variables, motivated by a problem in the pricing of financial options. (2) Uncovering the relation between interest rates on different maturities, now and in the future; the “term structure of interest rates”. (3) Modelling the unconventional nonlinear long-memory dynamics that arise from a general-equilibrium economic model, and their implications for exchange rates, stock market indexes, and all macroeconomic variables; with recommendations for trading in financial markets, but also for the design of macroeconomic stabilization policies by governments.
Biography: Karim Abadir is the Chair of Financial Econometrics at Imperial College London since 2005. He has previously taught at the American University in Cairo (AUC), University of Oxford, University of Exeter, and the University of York where he was Head of the Statistics Group and joint Chair between the departments of Mathematics and Economics for 10 years. He graduated in Economics for his BA (AUC), MA (AUC), and DPhil (Oxon). He has authored over 60 articles, including in the Annals of Statistics, Econometric Theory, Econometrica, Journal of Econometrics, Journal of Physics A, Review of Economic Studies, and has published a book on Matrix Algebra. He is Associate Editor of Econometric Reviews, Econometric Theory, Journal of Financial Econometrics, Portuguese Economic Journal. He is on the Advisory Board of METU Studies in Development. He was a founding Editor of the Econometrics Journal for 10 years, and an Associate Editor of the Review of Economic Studies for 8 years. His research interests include Econometrics & Statistics, Financial Markets, Macroeconomics, and Applied Mathematics.
Chair: Professor David Begg, Principal, Tanaka Business School
Vote of Thanks: Professor Gabriel Talmain, Professor of Economics, University of Glasgow.
A pre lecture tea reception will be served from 16.45 in the lower ground foyer of Tanaka Business School.