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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

CENTRAL Workshop: Machine Learning in Economics

17.05. - 18.05.2018

Chapel in the Faculty of Economics,

Spandauer Straße 1, 10178 Berlin, Germany

 

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin, Germany
 

 
Tel.: +49 - 30 - 2093 5771
Fax: +49 - 30 - 2093 5649
E-Mail:

monique.reiske@hu-berlin.de

 

 

Organization and Interactive Book of Abstracts

Prof. Dr. Andrija Mihoci
Brandenburg University of Technology
Faculty 5
Chair of Economic Statistics and Econometrics
Erich-Weinert-Str. 1
03046 Cottbus, Germany

 

 

Tel.: +49 - 355 - 69 38 20
E-Mail: andrija.mihoci@b-tu.de
 

 

 

Participants

STAT HUB

 

Wolfgang Härdle

Alla Petukhina

Junjie Hu

Xinwen Ni

Alisa Kolesnikova

Raphael Reule

 

University of Sczcecin

 

Magdalena Mojsiewicz

Mariusz Doszyń

Krzysztof Dmytrów

Jacek Batóg

 

Aarhus University

 

Andrea Barletta

Alice Buccioli

University of Warsaw

 

Piotr Jaworski

 

Warsaw University of Technology

 

Anna Zalewska

 

Dresden University of Technology

 

Ostap Okhrin

Iryna Okhrin

 

Soochow University

 

Jigao Yan

 

WALEX COSMOS

 

Jenher Jeng

 

Charles University Prague

 

Zdenek Hlávka

Robert Navrátil

Jan Večeř

 

Brandenburg University of Technology

 

Andrija Mihoci

Sascha Voekler

 

University of Chinese Academy of Sciences

 

Jiao Can

 

University of Vienna

 

Georg Pflug

 

Interactive Book of Abstracts

(PDF)

 

Schedule

(PDF)

 

 

Day

Time

Speaker

Title

Thursday

(17.05.2018)

09:30

Arrival and Registration

Opening  Session

10:00-10:15

Wolfgang Karl Härdle (Humboldt-Universität zu Berlin)

Welcome Speech

10:15-10:30

Piotr Jaworski (University of Warsaw)

On Evolution of the Yield Curve of CoCo Bonds

10:30-10:45

Magdalena Mojsiewicz (University of Sczcecin)

Modelling of Mortality among Oldold Groups

10:45-11:00

Alisa Kolesnikova (Humboldt-Universität zu Berlin)

Volatility Index for Cryptocurrencies - VCRIX

11:00-11:30 Coffee Break

Morning Session

11:30-11:45

Ostap Okhrin (Dresden University of Technology)

Statistics is Everywhere

11:45-12:00

Andrea Barletta (Aarhus University)

It Only Takes a Few Moments to Hedge Options

12:00-12:15

Jiao Can (University of Chinese Academy of Science)

Optimal design of product reliability, sales, and promotion under the nonrenewable warranty

12:15-12:30

Jenher Jeng (WALEX COSMOS)

Very Deep Learning on Domino Effects with the Capital Market Simulation Game WALEX

12:30-14:00 Lunch

Afternoon Session I

14:00-14:15

Junjie Hu (Humboldt-Universität zu Berlin)

Electricity Consumption Optimization Based on Time Series Forecasting

14:15-14:30

Robert Navrátil (Charles University Prague)

Maximum Volatility Portfolio

14:30-14:45

Mariusz Doszyń (University of Sczcecin)

Intermittent Demand Forecasting: Empirical Verification

14:45-15:00

Alla Petukhina (Humboldt-Universität zu Berlin)

Portfolio Allocation Strategies with Cryptocurrencies

15:00-15:30 Coffee Break

Afternoon Session II

15:30-15:45

Alice Buccioli (Aarhus University)

Portfolio Optimization in Contagious Markets

15:45-16:00

Xinwen Ni (Humboldt-Universität zu Berlin)

LDA application in the analysis of Christmas Songs, NASDAQ News, and Shakespeare

16:00-16:15

Iryna Okhrin (Dresden University of Technology)

Sentiment Analysis for Movie Recommender System

16:15-16:30

Andrija Mihoci (Brandenburg University of Technology)

Adaptive Order Flow Forecasting with Multiplicative Error Models

18:00-20:00 Dinner

 

Friday (18.05.2018)

Morning Session I

10:00-10:15

Yegor Klochkov (Humboldt-Universität zu Berlin) and Jigao Yan (Soochow University)

Network autoregression with estimated adjacency matrix

10:15-10:30

Krzysztof Dmytrów (University of Szczecin)

Application of Multiple-Criteria Decision-Making techniques for selected take-out techniques in order-picking

10:30-10:45

Jan Večeř (Charles University Prague)

Dynamic Probability Scoring Rules, Statistical Martingale Testing and Model Selection

10:45-11:00

Anna Zalewska (Warsaw University of Technology)

Modified CoVar in Portfolio Optimization

11:00-11:15

Sascha Vökler (Brandenburg University of Technology)

Computational Intelligence in Product-line Optimization: Simulations and Applications

11:15-11:45 Coffee Break

Morning Session II

11:45-12:00

Jacek Batóg (University of Sczcecin)

Estimation of Airport Noise Compensation for Real Estate Owners: Application of Cluster Analysis and GLMs (with prof. US dr hab. Iwona Foryś)

12:00-12:15

Georg Pflug (University of Vienna)

Stochastic Quasigradient Methods with Applications in Shape Optimization

12:15-12:30

Raphael Reule (Humboldt-Universität zu Berlin)

Programming and Prejudice: Interdisciplinary Regulation with Machine Learning Methods

12:30-12:45

Zdenek Hlávka (Charles University Prague)

Detection of Change-Points in Martingale Difference Sequences

12:45-13:00 Closing Ceremony