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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Summer Camp 2020

15.07. - 17.07.2020

Buckow Area, Germany

 

Contact Information

Wolfgang Härdle
Raphael Reule

IRTG 1792
Humboldt-Universität zu Berlin
Dorotheenstr. 1
10117 Berlin, Germany
 

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

irtg1792.wiwi@hu-berlin.de

 

 

 

Buckow Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

 

Waldsieversdorf Venue

Sanatorium / Führungsakademie/ Lazarett / Parteischule  Waldsieversdorf

Kindermannstraße 1, 15377 Waldsieversdorf

 

 

 

 

Participants

 

HUB

Wolfgang Härdle

 

Junjie HU 

Daniel Jacob 

Min-Bin LIN

Marius Sterling 

Konstantin Häusler 

Wendy WANG 

Anna Shchekina 

Elizaveta Zinovyeva

Kainat Khowaja

Vanessa Guarino

Georg Keilbar 

Raphael Reule 

 

University of York, UK

 

Weining WANG

 

 

Chinese Academy of Sciences, CN

 

Rui REN

 

 

Université de Sousse, TN

 

Souhir Ben Amor

 

 

Berlin School of Economics and Law, DE

 

Natalie Packham

Maria Osipenko

Francis LIU 

 

 

Huazhong University of
Science and Technology, CN

 

Ang LI

 

 

Fraunhofer Institute for Applied
Information Technology, DE

 

Justin Hellermann

PricewaterhouseCoopers Düsseldorf, DE

 

Sergej Sizov

Maximilian Werner

Elena Silyakova

Danial Saef 

 

 

PIMCO Europe Ltd - Investment Deutschland GmbH, DE

 

Michael Althof

 

 

Delft University of Technology, NL

 

Pasquale Cirillo

 

 

Bitwala GmbH, DE


Jin BIAN

 

 

DYOS GmbH, DE


Bruno Spilak

 

 

Wiecki Consulting, DE


Thomas Wiecki

 

Deutsche Bank Risk Lab, DE

 

Jovanka Lili Matic

Ilyas Agakishiev

 

 

London School of Economics and Political Science, UK

 

Mengshan XU

 

 

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



Tuesday (14.07.2020)



11:00-22:00
 


Joint Business Partnership Meeting

 

 

 

Day

Time

Speaker

Title

Wednesday
(15.07.2020)

12:00

Arrival
Canapé's on site

1st Session, Chair: Raphael Reule


13:00-13:30


Welcome

Prof. Wolfgang K. Härdle
 

13:30-14:00

Keynote Talk I - Maximilian Werner

Monetary policy and deptholder heterogeneity
 

14:00-15:00

Short Course I - Pasquale Cirillo

Tail risk of contagious diseases
 

15:00-15:20

Coffee Break

2nd Session, Chair: Georg Keilbar


15:20-16:30


Short course II - Thomas Wiecki

Bayesian Modeling
 

16:30-16:50 Coffee Break


16:50-17:30


Short course III - Thomas Wiecki

Bayesian Modeling
 


17:30 - 18:00
 


Keynote Talk II - Maria Osipenko

A low dimensional exploration of road traffic extremes

 


19:00-22:00


Ristorante Castello Angelo
Wriezener Str. 59, 15377 Buckow

 

 

Thursday
(16.07.2020)

1st Session, Chair: Michael Althof

09:30-09:35

Mentimeter Information

Francis LIU


09:35-10:00


Keynote Talk III - Sergej Sizov

 Give me the the Context: Data meets Expert Knowledge
 

10:00-10:20

Junjie HU

Investigation on News Network Effect

10:20-10:40

Ang LI

FRM@Asia

10:40-11:00

Francis LIU

Recalibration Risk

11:00-11:10 Coffee Break

2nd Session, Chair: Kainat Khowaja

11:10-11:30

Anna Shchekina, Vanessa Guarino

FRM@Crypto

11:30-11:50

Rui REN

FRM@Expectiles
11:50-12:10 Souhir Ben Amors, Michael Althof FRM@Emerging Markets


DETERMINE SPEAKERS FOR PRITZHAGENER MÜHLE!

(Mini Beamer/Voting Paper Required!)

Save your talks locally!
There is no internet connection in the  woods!

 

Excursion / Lunch


12:10-15:00


Pritzhagener Mühle,
Lindenstraße 74, 15377 Oberbarnim

 


15:00-16:00


IRTG Meeting at Pritzhagener Mühle

Mini Beamer Required!
 

3rd Session, Chair: Anna Shchekina (At Pritzhagener Mühle!)

16:00-16:45

Bruno Spilak

Tail-risk protection: Machine Learning meets modern Econometrics 

16:45-17:40

Georg Keilbar

Quantile Neural Network Test

 


19:30-22:00


BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer
 

 

Friday
(17.07.2020)

1st Session, Chair: Justin Hellermann

09:30-09:45

Jovanka Lili Matic

Valuation and risk management of cryptocurrencies options

09:45-10:00

Mengshan XU

Semiparametric Estimation with Isotonic Estimator plugged in

10:00-10:15

Konstantin Häusler

Dynamics of the CRIX

10:15-10:30 Elizaveta Zinovyeva, Raphael Reule

Smart Contract Classification


10:30-10:45


Coffee Break and
Checkout
 

2nd Session, Chair: Lili Matic

10:45-11:00

Daniel Jacob

Cross-Fitting and Averaging for Heterogeneous Treatment Effects

11:00-11:15

Kainat Khowaja, Danial Saef

Data Driven Controlling

11:15-11:30

Justin Hellermann

Time Series GANs

11:30-11:45 Marius Sterling

Generalized Random Forests

11:45-12:00 Jin Bian Bitwala - Not another Bank
12:00-12:15 Ilyas Agakishiev Local change point detection with KL divergence

3rd Session, Chair: Vanessa Guarino


12:20-12:30


Rewarding of the

"Best doctoral researcher talk"

(Presents!)
 

12:50 Departure
(Lunch Boxes provided, PhD's wait for green light!)