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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Rumble in the Jungle 2021

11.10. - 15.10.2021

Buckow, 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

 

 

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

 

Participants

 

HUB

 

Wolfgang Härdle

Rui REN


Konstantin Häusler 

Anna Shchekina 

Wendy WANG 

Min-Bin LIN

Ratmir Miftachov

Ilyas Agakishiev

Kainat Khowaja

Raphael Reule 

 

 

Berlin School of Economics and Law, DE

 

Natalie Packham

Francis LIU 

 

 

Deutsche Bank Risk Lab, DE

 

Michael Kalkbrener

Jovanka Lili Matic

 

University of York, UK

 

Weining WANG

                                                                        

 

Université de Sousse, TN

 

Souhir Ben Amor

                                                                        

 

Universität Paderborn, DE

 

Yuanhua FENG

                                                                        

 

Aarhus University, DK

 

Timo Terasvirta

 

 

PricewaterhouseCoopers Düsseldorf, DE

 

Danial Saef 

 

 

Royalton Partners AG, CH

 

Przemysław Bielicki

Julian Winkel

 

 

AICOR Softwareentwicklungs und Vertriebs GmbH & Co.KG, DE


Bruno Spilak

 

 

Sun Yat-Sen University, PRC

 

Ruting WANG

 

 

Xiamen University, PRC

 

Hongyu XIA

 

 

University of Glasgow, UK


Cathy Yi-Hsuan CHEN

 

 

Norwegian University of Science and Technology, NO


Wei LI

 

 

Hochschule für Technik und Wirtschaft Berlin, DE

 

Alla Petukhina

 

 

Schedule

 

Each discussion will be led by a randomly chosen discussant. (Everyone has a chance to give her/his/diverse opinion).

 

 

Day

Time

Speaker

Title



Monday
(11.10.2021)



11:00-22:00
 


Joint Business Partnership Meeting

 

 

Tuesday
(12.10.2021)

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 - Souhir Ben Amor

A hybrid system for electricity price forecasting: complexity or efficiency?

 

14:00-15:00

Short Course I - Natalie Packham

Correlation scenarios and correlation stress testing

 

15:00-15:20

Coffee Break

2nd Session, Chair: Daniel Saef


15:20-16:30


Short course II - Michael Kalkbrener

New challenges for risk management and accounting - Covid and climate risk

 

16:30-16:50 Coffee Break


16:50-18:00


Short course III - Weining WANG

Policy Choice in Time Series by Empirical Welfare Maximization

 

 


19:00-22:00

 

BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer

 

 

Wednesday
(13.10.2021)

1st Session, Chair: Xinwen Ni

 

10:00-10:30

 

Keynote Talk II - Rui REN

Financial Risk Meter FRM based on Expectiles.

 

10:30-11:00

Keynote Talk III - Cathy Yi-Hsuan Chen

Monitoring network changes in social media.

 

11:00-11:30

Keynote Talk IV - Timo Terasvirta

Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model.

 

11:30-12:30

 

Short Course V - Yuanhua Feng

Sinh- and Arcsinh, and Log-Sinh and Arcsinh Normal Distributions Applied to Distributional Regression and Subordinated Gaussian FARIMA Processes.

 

 

 

12:30-16:00

 

Lunch Break

 

 

Workshop-Session                   

 

16:00-18:00

 

 

Workshops in Breakout Rooms

 

 

19:00-22:00

 

Ristorante Castello Angelo
Wriezener Str. 59, 15377 Buckow

 

 

Thursday
(14.10.2021)

1st Session, Chair: Ratmir Miftachov

10:00-10:15

Report on Workshops and Mentimeter Information

Francis LIU

10:15-10:30

Wei Li

CBR for bankruptcy prediction

10:30-10:45

Konstantin Häusler

An ETF on CRIX.

10:45-11:00

Julian Winkel

Quantinar

11:00-11:15 Coffee Break

2nd Session, Chair: Wei Li

11:15-11:30

Francis LIU

Crypto-backed P2P lending.

11:30-11:45

Danial Saef

Understanding Jumps in High Frequency Digital Asset Markets

11:45-12:00

Bruno Spilak

Non-linear factor model for portfolio allocation

12:00-12:15

Ruting WANG

Does Rigid Payment’s Breaking Down Diminish Financing Cost?

 

12:15-14:00

 

Lunch Break

 

Seminar-Session, Chair: Wendy WANG

14:00-14:30

COST research seminar - ZOOM

 

This study examines the risk and return characteristics of the NFT-based startups listed on the cryptocurrency exchange. Our investigation is motivated by the recent surge in the NFT activity on the part of creators, investors, and traders. We begin by proposing a classification of the existing NFT-related projects that range from NFT blockchains to NFT DeFi. Next, we run the analysis and establish that NFTs: 1) earn high first-day returns; 2) yield prodigious returns both on the raw and risk-adjusted basis, roughly an order of magnitude higher than the return on bitcoin; 3) deliver positive and significant alpha and exhibit above-average beta. We also show that the NFT segment of the cryptocurrency market leads market recovery following the mid-2021 crash. In the final analysis of the paper, we find that NFT infrastructure integrated within existing blockchains substantially increase market valuations of the networks.

14:30-15:00

Keynote Talk I - Alla Petukhina

Robustifying Markowitz

 


19:30-22:00


BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer
 

 

Friday
(15.10.2021)

1st Session, Chair: Bruno Spilak

09:45-10:00

Hongyu XIA

Tail risk comovement of Chengtou bond in China

10:00-10:15

Wendy WANG

1 C_unit for DOR1

10:15-10:30

Min-Bin LIN

Crypto volatility and blockchain mechanism


10:30-10:45


Coffee Break and
Checkout
 

2nd Session, Chair: Julian Winkel

10:45-11:00

Lili Matic

Slibovitz

11:00-11:15

Ratmir Miftachov

Consistent Estimation of Shapley Curves

11:15-11:30

Anna Shchekina

Sentiment-based Cryptocurrency Market Analysis.

11:30-11:45

Ilyas Agakishiev

BPAGAN - Portfolio analysis using a GAN

That's it folks.


12:00

 

Departure

(PhD's wairt for green light!)