FACULTY

Active and accomplished scholars engaging with students

Prof. Arnab Chakrabarti

Prof. Arnab Chakrabarti

Prof. Arnab Chakrabarti received his PhD in Statistics from Indian Statistical Institute; he was also a postdoctoral researcher at the Brij Disa Centre for Data Science and AI, IIM, Ahmedabad.


BIO

Prof. Arnab Chakrabarti is Assistant Professor – Economics and he obtained his Doctorate Degree in Statistics from Indian Statistical Institute. He pursued postdoctoral research at Brij Disa Centre for Data Science and AI, IIM Ahmedabad and Misra Centre for Financial Market and Macroeconomics, IIM, Ahmedabad. He has a B.Sc. & M.Sc. in Statistics from University of Calcutta.  


Prof. Arnab has more than 3 years of work experience. He received the M N Das Young Scientist Award, 2021 from the Society of Statistics and Computer Application.  


His area of interest lies in application of statistics in social and natural sciences. He extensively works on network analysis and high-frequency financial data analysis.  


RESEARCH & PUBLICATIONS


  1. Chakrabarti, R. Sen (2022). Copula Estimation for Nonsynchronous Financial Data. Special Issue on Recent Advances in Statistical Finance, Sankhya B.

  2. Chakrabarti, R. Sen Limiting Spectral Distribution of High-Dimensional Hayashis Estimator of Integrated Covariance Matrix. Submitted.

  3. Chakrabarti, A. S. Chakrabarti. Sparsistent financial networks from high-dimensional data. Submitted.

  4. Chakrabarti, A. S. Chakrabarti (2021). Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Neworks, Journal of Network Theory in Finance 6(1), 1-22, DOI: 10.21314/JNTF.2021.002.

  5. Chakrabarti, A. S. Chakrabarti (2022). Instability of networks: effects of sampling frequency and extreme fluctuations in financial data. European Physical Journal B, 95-71.

  6. Chakrabarti, R. Sen (2019). Some Statistical Problems with High Dimensional Financial Data. New Perspectives and Challenges in Econophysics and Sociophysics. New Economic Windows. Springer, Cham.