Academic Affiliation

Member of

1. Indian Science Congress Association

2. Indian Statistical Institute


Professional Affiliation

Member of

a. Operations Research Society of India

b. Indian Association for Productivity, Quality and Reliability

Former positions held:

a. Vice President and Technical Training Leader, Analytics CoE, Genpact.

b. Lecturer, National Institute of Management Calcutta (now known as Army Institute of Management, Kolkata). In addition, held the position of Academic Coordinator for more than two years and led the MBA and MCA programme operations as the head of academics.

c. Programmer, R S Software (I) Pvt. Ltd.



Area of Research

Statistical Process Control

Change Point Problems

Analysis of Directional Data

Outlier Problems

Robust Statistics

Applications of statistical methods in Management

Analysis of Rank Data

Portfolio Management

Weather Derivatives

Computational Finance

Algebraic Statistics

Received the BEST PROFESSOR OF THE YEAR award for teaching at IIM-A in the year 2006.

Fellowships awarded:

a. Junior / Senior Research Fellowship of Indian Statistical Institute in Statistics

b. CSIR (NET) Research Fellowship in Statistics (did not avail)

Current Research

Robustness of tests and estimators with Directional Data

Portfolio allocation with heavy tailed return distributions

Change Point problems with directional data.

Detection of Multiple Change Points in financial time series.

Statistical Quality Control with angular data.

Analysis of rank data

TEACHING:

I teach the following courses:

Post Graduate Programme in Management:

1. Quantitative Methods-II

2. Advanced Methods of Data Analysis

3. Stochastic Calculus in Finance

4. Statistical Methods and Data Analysis

Fellow Programme in Management

5. Stochastic Processes

6. Mathematical Finance

Post Graduate Programme in Management for Executives

7. Analysis of Data

8. Understanding and Assessing Risk

Post Graduate Programme for Public Management and Policy

9. Data Analysis

Publications/ Articles/ Cases

Publications :

1. Laha, A. K. and Dongaonkar, S. (2009): Bayesian Analysis of Rank Data using SIR. In Advances in Multivariate Statistical Methods. Sengupta, A. (Ed.). World Scientific Publishers

2. Laha, A. K. and Kohli, S. (2009): Valuation of Apparent Temperature Based Weather Derivatives. In Forecasting Financial Markets in India. Pradhan, R. P. (Ed.), Allied Publishers, pp. 195-201.

3. Sengupta, A. and Laha, A. K. (2008): A Bayesian analysis of the change-point problem for directional data, Journal of Applied Statistics, vol. 35, issue 6, pp. 693-700

4. Sengupta, A. and Laha, A. K. (2008): A Likelihood Integrated Method for Exploratory Graphical Analysis of Change Point Problem with Directional Data, Communications in statistics. Theory and methods, vol. 37, No.11-12, pp. 1783-1791

5. "Portfolio Allocation with Heavy Tailed Returns" (with Divyajyoti Bhoumick and Bharathy Subramaniam) (2007) appeared in the journal Applied Financial Economics Letters, vol 4, issue 3, 237-242.

6. "Artificial Neural Network Models for Forecasting Stock Price Index in Bombay Stock Exchange" (with Neeraj Mohan, Pankaj Jha and Goutam Dutta)(2006) appeared in Journal of Emerging Market Finance, vol5, no. 3, 283-295.

7. "A proof of the Divergence of the Harmonic Series using Probability Theory" (2006) appeared in the International Journal of Mathematical Education in Science and Technology, vol 37, no.4, 502-03, Taylor & Francis, London.

8. “Process Capability Indices for Angular Data” (2003) appeared in the journal Statistical Methods, 5(2), 31-40.

9. "Slippage problem for the mean direction of the circular normal distribution" (with A. SenGupta) (2001) appeared in the journal Australian & New Zealand Journal of Statistics, 43(4), 461-471.

10. "Control charts for angular observations" (2002) appeared in the book Statistical Methods for Quality Improvement edited by A.B. Aich, A. Chatterjee and A. K. Chattopadhyay.

11. "Quality in Engineering and Management Libraries - A comparative study" (2002) (with N. Ghosh, C. Pal and D. Banerjee) - appeared in the book Business Librarianship and Information Services edited by R. L. Roshan and I.V. Malhan.

12. "Change point problems with angular data" (1997)- published in the proceedings of the 3rd Winter School on Directional Data (edited by A. SenGupta) organised jointly by Indian Statistical Institute and Osmania University

13. "Slippage and Change Point Problems with Directional Data" (2001), Ph.D. Thesis, Indian Statistical Institute.

Best paper awards in Conferences:

1. The paper "Change Point Problems for the Mean Direction of the Circular Normal Distribution" was selected for the Best Paper award in the Young Researcher's Competition held as part of the International Conference on Future of Statistical Theory, Practice and Education (sponsored by ASA, IMS and IISA), Hyderabad (2004).

2. The paper "Valuation of Apparent Temperature based Weather Derivatives" (co-author Mr. S. Kohli) was awarded the First Prize in the Faculty category in the National Conference on Forecasting Financial Markets in India 2008 held at IIT, Kharagpur (2008).

Conference Papers:

1. “Portfolio Allocation when some stock returns are heavy tailed” paper presented in the CARISMA – IIM Calcutta workshop on Optimization Methods and Financial Applications, March 2009, IIM-Calcutta, India.

2. "Valuation of Apparent Temperature based Weather Derivatives" invited paper presented in the National Conference on Forecasting Financial Markets in India, December 2008, IIT-Kharagpur, India

3. "Bayesian Analysis of Rank Data with Covariates" invited paper presented in the 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics and Data Analysis (IASC 2008), November 2008, Yokohama, Japan.

4.“Model Based Clustering with Circular Data” invited paper presented in the International Conference on Statistical Paradigms: Recent Advances and Reconciliations in January, 2008, ISI, Kolkata.

5. "Bayesian Analysis of Rank Data" invited paper presented in the
International Conference on Multivariate Statistical Methods in the 21st century: The Legacy of S. N. Roy, in December 2006, Kolkata, India.

6. “Analysis of Regime Switching Behaviour of Indian Stock Markets" presented in the 12th International Conference on Computing in Economics and Finance in June, 2006 at Limassol, Cyprus.

7. "Statistics in Finance", Key note speech in the national conference on "Contemporary Issues in Finance", Saurashtra University, Rajkot (2006.

8. “A new likelihood integrated method for change-point problems with skewed circular distributions” invited paper presented in the international conference on “Statistics in the Technological Age” organized by University of Malaya held at Kuala Lumpur, Malaysia (2005)

9. "Artificial Neural Network Models for Forecasting Stock Price Index in Bombay Stock Exchange" paper presented in the 2nd Conference of the Asia Pacific Association of Derivatives, Bangalore (2005).

10. "Detection of Multiple Change Points - An application to detection of volatility changes in the Indian stock market" paper presented at the national conference of Operational Research Society of India, Ahmedabad (2005)

11. "A Bayesian Analysis of the Change Point Problem for Directional Data" paper presented at the International Workshop/Conference on Bayesian Statistical Analysis, Varanasi (2005)

12. "Robustness of tests for Change Point with Directional Data" invited paper presented in the International Conference on Future of Statistical Theory, Practice and Education, Hyderabad. (2004)

13. "Process Capability Indices for Angular Data" paper presented in the International conference on Statistics in Industry and Business, Cochin, 2003.

14. "Social Mobility in India and Future Indian Societies" invited paper presented in the National Conference on Statistical Computing, Bhagalpur, 2002

15. "Quality in Management Education - A meta-analysis of recent B-School surveys" paper presented at the National conference on Quality of Life, Santiniketan, 2002.

16. "Inference on the true rank under transposition errors with applications to Market Research" paper presented in the International Conference on Ranking and Selection, Multiple Comparisons and Reliability , Chennai, 2002.

17. "Genetic Algorithms for Maximizing Likelihoods" paper presented at the International Conference in Operations Research, Kolkata, 2001.

18. "Control Charts for Angular Observations" paper presented at the International Conference on Statistics, Combinatorics and related areas, Mumbai, 2000

19. "On Slippage and Change point problems for the Circular Normal Distribution" paper presented at the International Conference on Recent Advances in Statistics and Probability, Kolkata, 1997.

20. "Change Point Problem for the Mean Direction of the Circular Normal Distribution" paper presented in the 2nd International Triennial Calcutta Symposium on Probability and Statistics, Kolkata, 1995.

21. "Change Point Problem for the Mean Direction of the Circular Normal Distribution" paper presented at the 82nd session of the Indian Science Congress Association, Jaipur, 1995.

Working Papers:

1. A Bayesian Analysis of the Change Point Problem for Directional Data using SIR, IIM-A Working Paper No. 2005-09-05 (with Ashis SenGupta)

2. Bayesian Analysis of Rank Data using SIR, IIM-A Working Paper No. 2005-09-06 (with Sourabh Dongaonkar)

3. Artificial Neural Network Models for Forecasting Stock Price Index in Bombay Stock Exchange,IIM-A Working Paper No. 2005-10-01 (with Neeraj Mohan, Pankaj Jha and Goutam Dutta)

4. Performance of Nonparametric Control Charts, IIM-A Working Paper No. 2005-10-04, (with Divesh Gupta and Anant Choubey)

5. Portfolio Allocation with Heavy-tailed Returns, IIM-A Working Paper No. 2005-11-02 (with Divyajyoti Bhoumick and Bharathy Subramaniam)

6. A Likelihood Integrated Method for Exploratory Graphical Analysis of Change Point Problem with Direction Data, IIM-A Working Paper No. 2006-05-04 (with Ashis SenGupta)

7. Pseudo-Scientific Jargons and Advertising Persuasiveness,(August 2005), Social Science Research Network, http://ssrn.com/abstract=784904 (with Himadri Roy Choudhuri)

Technical Notes:

1. "A Note on Randomized Response Surveys", QM-248, IIM, Ahmedabad, 2005.

2. "A Note on Tests of Normality", QM-249, IIM, Ahmedabad, 2005.

3. "Probability Models for Non-Life Insurance Applications", QM-252, IIM, Ahmedabad-2006

Case:

1. Statistical Process Control at Landis+Gyr Limited: Implementation of Control Charts, QM-250, IIM, Ahmedabad, 2006.

2. Disha - Career @ Analytics, P&IR0203, IIM, Ahmedabad, 2008 (coauthor: M Sumitra Das)

Seminars/ Guest Lectures/ Courses taught at other institutions:

1. Analysis of Efficiency of Non-parametric Control Charts”, Department of Industrial Engineering and Management, Indian Institute of Technology, Kharagpur (2005).

2. “Total Quality Management”, Purabi Das School of Information Technology, Bengal Engineering College (Deemed University), Howrah (2004).

3. “Regression Diagnostics”, Indian Institute of Management, Calcutta (2000).

4. “Marketing Models”, Indian Institute of Management, Calcutta (2000).

5. “Medical Statistics”, Dept. of Endocrinology of Post Graduate Institute of Medical Education and Research (2000).

6. "Quantitative Methods", course in the Strategic Design Management programme of National Institute of Design, Ahmedabad (2006).

7. "Quantitative Methods in Management" in the PGDM programme of FLAME, Pune (2008).

Downloads

Topic Name	File Size	File Type
From Business Today, July 16, 2006	147.91 KB	Download
Statistics in Finance	198.37 KB	Download
Introduction to Mathematics- Chapter 1	159.53 KB	Download
Volatility changes in Indian Stock Market - PPT	185.62 KB	Download
Process Capability Indices for Angular Data - PPT	78.93 KB	Download
Social Mobility PPT	229.40 KB	Download
A Proof of Divergence of Harmonic Series using Probability Theory	67.40 KB	Download
Quality in Management Education	104.68 KB	Download
A Note on Randomized Response Surveys	134.10 KB	Download

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