RIJ / HX 2020
October 2nd - October 6th, 2020
Buckow, Germany
Organization and contact information
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Wolfgang Härdle
IRTG 1792
Tel .: +49 - 30 - 2093 99469 |
Venue
15377 Buckow (Märkische Schweiz)
Participants
HUB, DEWolfgang Härdle
Daniel Jacob Min Bin LIN Kainat Khowaja Konstantin Häusler Wendy WANG Georg Keilbar Anna Shchekina Elizaveta Zinovyeva Vanessa Emanuela Guarino Marius Sterling Raphael Reule Xinwen NI
Berlin School of Economics and Law, DE
Francis LIU
Deutsche Bank Risk Lab, DE
Jovanka Lili Matic Ilyas Agakishiev
DYOS GmbH, DE
HANFA, CR
Fraunhofer Institute for Applied
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University of York, UK
Weining WANG
PricewaterhouseCoopers Düsseldorf, FRG
Danial Saef
Chinese Academy of Sciences, CN
Rui REN
University of Paderborn, DE
Yuanhua Feng
University College Dublin, IE
Valerio Poti
Université de Sousse, TN
Souhir Ben Amor
PIMCO Europe Ltd - Investment Deutschland GmbH, DE
Michael Althof
European Commission Horizon 2020 - FinTech Project , DE
Alla Petukhina |
Schedule
Talk schedule:
Please note, that we will randomly choose speakers via a random number generator out of the numbered participants pool.
Every participant should therefore check with either Prof. Härdle or Raphael Reule about their talk topic.
If you do participate without having any output, you will have to pay all respective costs of this event yourself!
Please check with mentimeter.com
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.
Best PhD researcher talk:
Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give her/his/diverse opinion).
Furthermore we will use a mobile app, which every participant needs to download in order to immediately anonymously grade the given talk.
| Day | Time |
Speaker |
Title |
| Friday (02.10.2020) |
12:00 |
Arrival (External) |
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14:00-20:00 |
Professors/Guests Meeting |
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17:00 |
Arrival (Internal)
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18:00-18:10 |
Introduction Prof. Wolfgang K. Härdle
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Cool-Down Session |
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18:10-18:40 |
Get together - Hotel Terrasse Strandhotel Vier Jahreszeiten
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| Saturday (03.10.2020) |
1st Session, Chair: Raphael Reule | ||
| 08:00-09:30 | Breakfast | ||
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09:30-09:45 |
Welcome Prof. Wolfgang K. Härdle
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09:45-10:00 |
Newcomer Introduction "Map/Food/Smiles" Maria Culjak |
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10:00-10:30 |
Keynote Talk - Weining Wang Inference of Break-Points in High-Dimensional Time Series
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| 10:30-11:00 | Coffee break | ||
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11:00-12:30 |
Short Course I - Yuanhua FENG Fractionally integrated Log-GARCH with application to VaR and Expected Shortfall |
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12:30-15:00
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Lunch break (Menue) Strandhotel Vier Jahreszeiten
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| 2nd Session, Chair: Michael Althof | |||
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15:00-16:30 |
Short Course II - Valerio Potì Forecast evaluation using stochastic dominance analysis |
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19:00-22:00 |
BBQ Terrace Dinner Strandhotel Vier Jahreszeiten
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| Sunday (04.10.2020) |
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| 1st Session, Chair: Daniel Jacob | |||
| 08:00-10:00 | Breakfast | ||
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10:00-10:20 |
Xinwen Ni |
CRISPR and Machine Learning, a new research idea | |
| 10:20-10:40 | Maria Culjak | Value of picking sectors in cryptocurrency optimisation | |
| 10:40-11:00 | Danial Saef | Contagion dynamics in high frequency - modeling shock impacts in cryptocurrency markets | |
| Excursion/Lunch - 12:00-17:00 | |||
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12:00-15:00 |
By bike (Rental bikes available) Altes Forsthaus
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| 15:00-16:00 |
IRTG Meeting at Altes Forsthaus Teaching WT 20/21 (...) Mini projector/cables/adapter/slide switcher required! |
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| Session, Chair: Kainat Khowaja | |||
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16:00-17:00 |
Short Course III - Prof. Wolfgang K. Härdle and Kainat Khowaja Spectral analysis for time series clustering Altes Forsthaus
Mini projector/cables/adapter/slide switcher required! |
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19:00-22:00 |
Soup Dinner Strandhotel Vier Jahreszeiten
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| Monday (05.10.2020) |
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| 1st Session, Chair: Vanessa Emanuela Guarino | |||
| 08:00-09:30 | Breakfast | ||
| 09:30-09:50 | Daniel Jacob | Heterogeneous Treatment Effect Estimation Through Stacking of Meta-Learners | |
| 09:50-10:10 | Georg Keilbar | A projection-based semiparametric interactive fixed effects model | |
| 10:10-10:30 | Min-bin Lin | A Deep Dive into Cryptocurrencies: The Behaviour and Underlying Mechanism | |
| 10:30-10:50 | Kainat Khowaja | A crypto clustering analysis: do the underlying mechanism drive the behaviour? | |
| 10:50-11:10 |
Coffee break |
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| 2nd Session, Chair: Min Bin LIN | |||
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11:10-11:30 |
Elizaveta Zinovyeva |
Classifying SCs |
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| 11:30-11:50 | Francis Liu |
Crypto-based P2P lending: introduction and issues |
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| 11:50-12:10 |
Ilyas Agakishiev |
Reinforcement learning | |
| 12:10-12:30 | Justin Hellerman |
AE GAN for time series |
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12:30-15:00 |
Lunch break (Menue) Strandhotel Vier Jahreszeiten
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| 3rd Session, Chair: Wendy WANG | |||
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15:00-15:20 |
Anna Shchekina |
FRM@ Crypto |
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| 15:20-15:40 | Rui REN | Crypto portfolio construction based on Financial Risk Meter | |
| 15:40-16:00 | Souhir Ben Amor | FRM@ Emerging markets | |
| 16:00-16:20 | Vanessa Emanuela Guarino | Model Selection | |
| Dinner | |||
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19:30-22:00 |
Ristorante Castello Angelo
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| Tuesday (06.10.2020) |
1st Session, Chair: Georg Keilbar | ||
| 08:00-09:30 | Breakfast | ||
| 09:30-09:50 | Lili Matic |
Valuation and risk management of cryptocurrency options |
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| 09:50-10:10 | Wendy WANG |
Regression based clustering for penal data |
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| 10:10-10:30 | Marius Sterling |
Generalized Random Forest |
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| 10:30-10:50 | Konstantin Häusler |
Investing in cryptos |
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10:50-11:30 |
Coffee Break and
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| 2nd Session, Chair: Francis Liu | |||
| 11:30-11:50 | Michael Althof | Clustering (Linear) Yield Curves | |
| 11:50-12:10 | Bruno Spilak | Clustering (Non-linear) Yield Curves | |
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12:10-12:30 |
Rewarding of the "Best doctoral researcher talk"
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| 12:30 | Departure (Lunch Boxes provided) |
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