Rumble in the Jungle 2019
09.10. - 13.10.2019
Buckow, Germany
Organization and Contact Information
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Wolfgang Härdle IRTG 1792 |
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| Tel.: | +49 - 30 - 2093 99469 | |
| E-Mail: |
irtg1792.wiwi@hu-berlin.de |
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IRTG Short Course
László Györfi
Department of Computer Science and Information Theory
Faculty of Electrical Engineering and Informatics
Budapest University of Technology and Economics
Phone: +36-1-4633146
Fax: +36-1-4633147
e-mail: gyorfi[at]cs.bme.hu
Venue
15377 Buckow (Märkische Schweiz)
Participants
HUBWolfgang Härdle
Bruno Spilak Elena Ivanova Junjie HU Daniel Jacob Min-Bin LIN Kainat Khowaja Konstantin Häusler Wendy WANG Georg Keilbar Anna Shchekina Elizaveta Zinovyeva Vanessa Guarino Marius Sterling Raphael Reule
Berlin School of Economics and Law, FRG
Francis LIU |
Xiamen University, CN
Yinggang ZHOU Yanfen ZHANG
Budapest University of Technology and Economics, HU
László Györfi
PricewaterhouseCoopers Düsseldorf, FRG
Sergej Sizov Danial Saef
John Von Neumann Institute, VN
Nguyen Minh David Duong
Chinese Academy of Sciences, CN
Rui REN |
Schedule
Note for Time Slot Arrangement:
The time slot for every regular-talk is 30-minute = a 25-minute presentation + a 5-minute discussion.
The time slot for every short-talk is 20-minute = a 15-minute presentation + a 5-minute discussion.
Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give her/his/diverse opinion)
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Day |
Time |
Speaker |
Title |
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Wednesday |
12:00 |
Arrival |
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1st Session, Chair: Raphael Reule |
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| 13:00-13:10 |
Welcome Prof. Wolfgang K. Härdle |
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| 13:10-14:30 |
Newcomer Introduction "Map/Food/Smiles" Anna Shchekina, Vanessa Guarino, |
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| 14:30-15:00 |
Keynote Talk - Sergej Sizov The Harmony of Double Diamond: |
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15:00-16:40 |
Short course I - László Györfi Growth optimal portfolio selection |
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16:40-17:00 |
Coffee Break |
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2nd Session, Chair: Georg Keilbar |
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17:00-18:10 |
Short course II - László Györfi Growth optimal portfolio selection
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Cool-Down Session |
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| 18:10-18:40 |
Finnish Sauna Russian Sauna |
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19:00-22:00 |
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Thursday (10.10.2019) |
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1st Session, Chair: Raphael Reule |
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| 09:15-09:30 |
Newcomer Introduction "Map/Food/Smiles"
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09:30-09:50 |
Anna Shchekina | Asian option pricing using graphics processing units | |
| 9:50-10:10 | Kainat Khowaja | Model Order Reduction by Proper Orthogonal Decomposition (POD) | |
| 10:10-10:30 | Min-Bin LIN | Optimization for resource allocation in business processes | |
| 10:30-10:50 | Vanessa Guarino | A Risk Management Approach mixing Machine Learning Signals via Entropy Pooling | |
| 10:50-11:00 | Coffee Break | ||
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2nd Session, Chair: Daniel Jacob |
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11:00-11:20 |
Konstantin Häusler |
The Impact Of Labour Markets On Fertility: An Empirical Analysis Of Western Europe |
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11:20-11:40 |
Francis LIU |
Applying Deep Deterministic Policy Gradient in Stock Trading |
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| 11:40-12:00 | Elena Ivanova | Advances in the risk preference world: Rank Dependent Quantile Preference | |
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Excursion / Lunch |
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12:00-15:00 |
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| 15:00-16:00 |
IRTG Meeting at Pritzhagener Mühle Teaching WT 19/20 (REN, YZ, MS, EZ, MBL, AS, ...) |
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3rd Session, Chair: Rui Ren |
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| 16:00-16:20 | Marius Sterling | LOB price prediction with DL and its interpretation | |
| 16:20-16:40 | Daniel Jacob | Heterogeneous treatment effects from tenure on job satisfaction | |
| 16:40-17:00 | Junjie HU | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts | |
| 17:00-17:20 | Wendy WANG | K-Expectile clustering | |
| 17:20-17:40 | Yinggang Zhou | Are cryptocurrencies are safe haven? | |
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18:20-22:00 |
BBQ Terrace Dinner |
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Friday |
1st Session, Chair: Wendy WANG |
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| 09:30-09:50 | Elizaveta Zinovyeva, Raphael Reule |
Classifying Smart Contracts | |
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09:50-10:10 |
Rui REN |
Financial Risk Meter in Expectile |
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10:10-10:30 |
Yanfen Zhang, Georg Keilbar |
Cointegration and Cryptocurrency Dynamics |
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10:30-10:50 |
Coffee Break and Checkout |
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2nd Session, Chair: Elena Ivanova |
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10:50-11:10 |
Bruno Spilak |
Tail risk protection: ML vs GARCH |
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11:10-11:30 |
Danial Saef |
Price Jumps in Cryptocurrencies |
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| 11:30-11:50 | Nguyen Minh David Duong | Portfolio Optimisation in classical Markowitz risk-reward and beyond in stochastic and machine learning settings | |
| 12:00-12:20 |
Voting and Rewarding of the "Best doctoral researcher RIJ talk" |
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12:30 |
Departure |
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Waldsieversdorf
Location (transfer by bike / car):
Venue
Sanatorium / Führungsakademie/ Lazarett / Parteischule Waldsieversdorf
Kindermannstraße 1, 15377 Waldsieversdorf
Participants
HUB
Wolfgang Härdle Cathy Chen Weining Wang Vladimir Spokoiny
Egor Klochkov Niels Wesselhöft Jovanka Lili Matic Junjie Jeremy Hu Awdesch Melzer Michael Althof Daniel Jacob Marius Sterling Ioana Ceausu Elena Ivanova Bruno Spilak Raphael Reule
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London School of Economics, UK
Filippo Pellegrino Alice Pignatelli Di Cerchiara
Berlin School of Economics and Law, FRG
Natalie Packham
PricewaterhouseCoopers Düsseldorf, FRG
Danial Saef
Aarhus University, DK
Timo Teräsvirta Warsaw University of Technology, PL
Anna Patrycja Zalewska |
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Schedule
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Day |
Time |
Speaker |
Title |
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Friday (11.10.2019) |
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11:00-14:00 |
Arrival, Registration & Lunch |
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1st Session, Chair: Raphael Reule |
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14:00-14:05 |
Wolfgang Härdle |
Welcome Speech |
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14:20-14:40 |
Filippo Pellegrino |
CoVaR - do's and dont's of stress-testing |
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14:40-15:10 |
Anna Zalewska |
Varying Random Coefficient Models |
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15:10-15:40 |
Discussion / Coffee Break |
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2nd Session: Short-course |
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15:40-17:10 |
Short course III - Weining Wang Using GEE to estimate nonlinear models with spatial data |
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| 17:10-17:20 | Coffee Break | ||
| 17:20-18:40 |
Short course IV - Natalie Packham Extreme Value Theory - with applications in stress testing |
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19:00 |
Dinner |
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Saturday |
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1st Session, Chair: Junjie Hu |
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09:20-09:50 |
Alice Pignatelli Di Cerchiara |
Product Embeddings in Product Choice Modeling |
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09:50-10:10 |
Awdesch Melzer |
Pricing Green Financial Productsmodel |
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| 10:10-10:30 | Junjie Hu | Quantlet Clustering | |
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11:10-11:20 |
Coffee Break |
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2nd Session, Chair: Awdesch Melzer |
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11:20-11:40 |
Cathy Chen |
Sequential detection of structural changes in irregularly observed data |
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11:40-12:00 |
Daniel Jacob |
Causal Inference and Machine Learning |
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12:00-12:20 |
Ya Qian |
Localizing multivariate CAViaR |
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12:30-15:40 |
Lunch |
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3rd Session: Short-course |
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16:00-17:30 |
Short course Va - Wolfgang K. Härdle Mathematics of Statistical Methods |
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| 17:30-17:40 | Coffee Break | ||
| 17:40-18:40 |
Short course Vb - Wolfgang K. Härdle Mathematics of Statistical Methods |
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19:30 |
Dinner |
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Sunday |
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1st Session, Chair: Marius Sterling |
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| 09:00-09:05 |
Raphael Reule |
General Information Clearing of rooms, Taxi Payment |
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| 09:05:09:10 | Danial Saef | Introduction to Bloomberg Terminals | |
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09:10-09:30 |
Niels Wesselhöft |
Kelly in high dimensions |
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09:30-09:50 |
Filippo Pellegrino |
A Model of the Fed’s View on Inflation |
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09:50-10:10 |
Marius Sterling |
Is scientific performance a function of funds? |
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| 10:10-10:20 | Clearing of rooms | ||
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10:20-10:40 |
Xinwen Ni |
American Multi-Asset Option Pricing under Levy Copulae and Ballotta-Bonfigioli |
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10:40-11:00 |
Jovanka Lili Matic |
Testing the rank of cojumps in high-frequency data with market microstructure noise |
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| 11:00-11:20 | Egor Klochkov | LASSO in TENAR | |
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11:20-11:30 |
Coffee Break |
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2nd Session, Chair: Niels Wesselhöft |
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11:30-11:50 |
Michael Althof |
BEI Rates in practice |
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| 11:50-12:10 | Elena Ivanova | Dynamic Quantile Models of Rational Behavior | |
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12:10-12:30 |
Ioana Ceausu |
Statistics of Startups |
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13:00-14:00 |
Departure Lunch box provided |
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