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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Summer Camp 2019

03.07. - 05.07.2019 

Buckow, Germany

 

Organization and Contact Information

Wolfgang Härdle
Raphael Reule

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

Tel.: +49 - 30 - 2093 99469
E-Mail:

irtg1792.wiwi@hu-berlin.de

 

 

IRTG Short Course

Timothy Loughran

 

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

 

Participants

 

HUB                                                      

Wolfgang Härdle   

Cathy Chen

Weining Wang

Michael Burda

   

Bruno Spilak

Michael Althof

Ioana Ceasusu

Elena Invanova

Xinwen NI

Keyan LIU

Daniel Jacob

Bingling WANG

Georg Keilbar

Elizaveta Zinovyeva

Marvin Gauer

Marius Sterling

Niels Wesselhöfft

Raphael Reule

 

Horizon 2020, EUC

 

Alla Petukhina

University of Notre Dame, U.S.A.

 

Timothy Loughran

 

 

University College London, UK

 

Toru Kitagawa

 

 

Xiamen University, PRC

 

Yanfen ZHANG
Xinjue LI
Chen ZHANG
Minyang LI

 

 

Singapore Management University, Singapore

 

Richard Crowley


 

Schedule
 

Day

Time

Speaker                

Title                                       

Wednesday
(03.07.2019)

12:30

Arrival

1st  Session, Chair: Raphael Reule

13:30-14:00

Welcome

Wolfgang K. Härdle

14:00-16:00

Short course I

Timothy Loughran

Textual Analysis in Finance.

Poster

16:00-16:20

Coffee Break

2nd  Session, Chair: Xinwen Ni

16:20-17:30

Short course II

Timothy Loughran

Measuring Information Complexity.

Poster

Cooldown Session / Dinner

17:30-18:00

European Commission - Horizon 2020

Alla Petukhina

18:00-18:30 Sauna

18:30-22:00

BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer

 

Thursday (04.07.2019)

1st  Session, Chair: Marius Sterling

9:30-
9:50

Elena Ivanova How to Exploit Linear Quantile Regression for Risk Preferences.
9:50-10:10 Elizaveta Zinovyeva Antisocial online behavior detection using deep learning.
10:10-10:40 Daniel Jacob Matched Individual Treatment Effects.
10:40-11:00 Yanfen Zhang A bootstrapped spectral test for adequacy of weak vector autoregressive model.

11:00-11:10

Coffee Break

2nd  Session, Chair: Michael Althof

11:10-11:30

Georg Keilbar

Testing Parametric Specifications for the Conditional Quantile Using Neural Networks.

11:30-11:50

Xinwen Ni

LDA application in Cryptocurrency market.

11:50-12:10 Niels Wesselhöfft Separating the asset universe from cryptocurrencies.
12:10-12:30

Egor Klochkov

Opinion networks and communities in social media.

Excursion / Lunch

12:30-15:00

Pritzhagener Mühle, 
Lindenstraße 74, 15377 Oberbarnim

15:00-16:00

IRTG PI Meeting at Pritzhagener Mühle

(Perspectives, Events, Finances, ...)

3rd  Session, Chair: Bingling Wang

16:00-16:20 Minyang Li Dynamic Panel Estimation of a Dividend Discount Model with Adaptive Expectations: Evidence of Fundamental Pricing at the Shanghai Stock Exchange.
16:20-16:40 Keyan Liu Financial Risk Meter.
16:40-17:10 Chen Zang Network of Global Yield Curve.

18:30-22:00

Ristorante Castello Angelo
Wriezener Str. 59, 15377 Buckow

 

Friday
(05.07.2019)

1st  Session, Chair: Bruno Spilak

09:30-09:50

Michael Althof, Xinjue Li

Unified Yield Curve Taylor Rule.

09:50-10:10

Marvin Gauer

Estimation of eMail Processing Time in the Financial Services Industry.

10:10-10:30

Marius Sterling

Forcasting on Limit Order Book data.

10:30-10:50

Coffee Break and Checkout
(Please clear all rooms before 10:50)

2nd  Session, Chair: Marvin Gauer

10:50-11:10

Bruno Spilak

(Crypto)currency portfolio management with deep reinforcement learning.

11:10-11:30

Bingling Wang

K-expectile Clustering.

11:30-11:50 Ioana Ceausu Predicting startup performance.
11:50-12:00

Roundup
Prof. Wolfgang K. Härdle

12:00

Departure
(Lunch Boxes provided)