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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

RIJ / HX 2020

October 2nd - October 6th, 2020 
Buckow, Germany

 

Organization and contact information

Wolfgang Härdle
Vanessa Emanuela Guarino
Kainat Khowaja
Raphael Reule

 

IRTG 1792
Humboldt University of Berlin
Dorotheenstr 1
10117 Berlin, Germany

 

Tel .:    +49 - 30 - 2093 99469
eMail:  irtg1792.wiwi@hu-berlin.de

 

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

 

 

Participants

 

HUB, DE                                                      

Wolfgang 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


Bruno Spilak

 

 

HANFA, CR


Maria Culjak

 

 

Fraunhofer Institute for Applied
Information Technology, DE

 

Justin Hellermann

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)
of external guests

 

14:00-20:00

 

Professors/Guests Meeting
Hotel Terrasse

 

17:00

 

Arrival (Internal)
of IRTG 1792 students

 

 

 

18:00-18:10

 

Introduction

Prof. Wolfgang K. Härdle

 

Cool-Down Session

 

18:10-18:40

 

Get together - Hotel Terrasse

Strandhotel Vier Jahreszeiten
Ringstraße 5-6, 15377 Buckow (Märkische Schweiz)

 

 

Saturday
(03.10.2020)
1st Session, Chair: Raphael Reule
08:00-09:30 Breakfast

 

09:30-09:45

 

Welcome

Prof. Wolfgang K. Härdle

 

 

09:45-10:00

 

Newcomer Introduction "Map/Food/Smiles"

Maria Culjak

 

10:00-10:30

 

Keynote Talk - Weining Wang

Inference of Break-Points in High-Dimensional Time Series

 

10:30-11:00 Coffee break

 

11:00-12:30

 

Short Course I - Yuanhua FENG 

Fractionally integrated Log-GARCH with application to VaR and Expected Shortfall

Poster

 

12:30-15:00

 

 

Lunch break (Menue)

Strandhotel Vier Jahreszeiten
Ringstraße 5-6, 15377 Buckow (Märkische Schweiz)

 

2nd Session, Chair: Michael Althof

 

15:00-16:30

 

Short Course II - Valerio Potì

Forecast evaluation using stochastic dominance analysis

Poster

 

                   

19:00-22:00

 

BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer

Strandhotel Vier Jahreszeiten
Ringstraße 5-6, 15377 Buckow (Märkische Schweiz)

 

 

Sunday
(04.10.2020)
1st Session, Chair: Daniel Jacob
08:00-10:00 Breakfast

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

 

12:00-15:00

 

By bike (Rental bikes available)

Altes Forsthaus
Eberswalder Chaussee 2, 15377 Waldsieversdorf

 

15:00-16:00

IRTG Meeting at Altes Forsthaus

Teaching WT 20/21 (...)

Mini projector/cables/adapter/slide switcher required!

Session, Chair: Kainat Khowaja

 

16:00-17:00

 

Short Course III - 

Prof. Wolfgang K. Härdle and Kainat Khowaja

Spectral analysis for time series clustering

Altes Forsthaus
Eberswalder Chaussee 2, 15377 Waldsieversdorf

 

Mini projector/cables/adapter/slide switcher required!

 

 

19:00-22:00

 

 Soup Dinner
 Speisezimmer

Strandhotel Vier Jahreszeiten
Ringstraße 5-6, 15377 Buckow (Märkische Schweiz)

 

 

Monday
(05.10.2020)
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

2nd Session, Chair: Min Bin LIN

11:10-11:30

Elizaveta Zinovyeva

Classifying SCs

11:30-11:50 Francis Liu

Crypto-based P2P lending: introduction and issues

11:50-12:10

Ilyas Agakishiev

Reinforcement learning
12:10-12:30 Justin Hellerman

AE GAN for time series

 

12:30-15:00

 

Lunch break (Menue)

Strandhotel Vier Jahreszeiten
Ringstraße 5-6, 15377 Buckow (Märkische Schweiz)

 

3rd Session, Chair: Wendy WANG

15:00-15:20

Anna Shchekina

FRM@ Crypto

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
 

 

19:30-22:00

 

Ristorante Castello Angelo
Wriezener Str. 59, 15377 Buckow

 

 

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

09:50-10:10 Wendy WANG

Regression based clustering for penal data

10:10-10:30 Marius Sterling

Generalized Random Forest

10:30-10:50 Konstantin Häusler 

Investing in cryptos

 

10:50-11:30

 

Coffee Break and
Checkout

 

 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

 

 

12:10-12:30

 

Rewarding of the

"Best doctoral researcher talk"

 

12:30 Departure
(Lunch Boxes provided)