FinTech for Data Scientists: Marketability, Cryptocurrencies, MIDAS Regression, and Heavy-Tailed Innovations

Abstract

In this talk, I will give a brief overview of Fintech research based on my recent working papers. (1) Marketability Restriction: how to value a discount for lack of marketability. (2) Stablecoins: how to design and evaluate stable cryptocurrencies. (3) Mixed Frequency Analysis: how to build a criterion for model uncertainty under the MIxed DAta Sampling (MIDAS) framework. (4) Robust Inference with Heavy-Tailed Innovations: how to do statistical inference based on the heavy-tailed or time-series noises.

Keywords: Marketability, Stablecoins, High frequency data, Heavy tails.

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