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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Summer Camp 2021

19.07. - 23.07.2021

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


Daniel Jacob 

Konstantin Häusler 

Anna Shchekina 

Wendy WANG 

Min-Bin LIN

Georg Keilbar 

Ratmir Miftachov

Julian Winkel

Kainat Khowaja

Raphael Reule 

 

 

Berlin School of Economics and Law, DE

 

Francis LIU 

 

 

Technische Universität Dresden, DE

 

Ostap Okhrin

 

 

Deutsche Bank Risk Lab, DE

 

Ilyas Agakishiev

 

 

University of York, UK

 

Weining WANG

 

 

Royalton Partners AG, CH

 

Przemysław Bielicki

Michael Althof

 

 

AICOR Verwaltungs GmbH, DE


Bruno Spilak

 

 

Sun Yat-Sen University, PRC

 

Ruting WANG

 

 

Xiamen University, PRC

 

Hongyu XIA

 

 

University of Glasgow, UK


Cathy Yi-Hsuan Chen

                                                                

 

Université de Sousse, TN

 

Souhir Ben Amor

Schedule

 

Day

Time

Speaker

Title



Monday (19.07.2021)



11:00-22:00
 


Joint Business Partnership Meeting

 

 

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

 

Day

Time

Speaker

Title

Tuesday
(20.07.2021)

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 - Bingling WANG, Min-Bin LIN, Wolfgang K. Härdle

NFTs and VizTech.

 

 

14:00-15:00

 

Short Course I - Ostap Okhrin

Data-Driven Statistics.

 

15:00-15:20

Coffee Break

2nd Session, Chair: Georg Keilbar


15:20-16:30


Short course II - Ostap Okhrin

Data-Driven Statistics.

 

16:30-16:50 Coffee Break


16:50-18:00


Short course III - Cathy Yi-Hsuan CHEN
Pricing kernel and risk premium of cryptocurrencies.

 

 


19:00-22:00

 

BBQ Terrace Dinner (normal)
Terrasse, Seezimmer, Herrenzimmer

 

 

Wednesday
(21.07.2021)

1st Session, Chair: Souhir Ben Amor

10:00-10:10

Mentimeter Information

Georg Keilbar

 

10:10-11:00


Short course IV - Weining WANG
Optimal Treatment Choice for Time Series.

 

11:00-11:15 Coffee Break

2nd Session, Chair: Michael Althof

11:15-11:30

Bruno Spilak

Portfolio construction with autoencoder.

11:30-11:45

Konstantin Häusler

An ETF on CRIX.

11:45-12:00

Ruting WANG

FRM@China Financial Risk Meters.

Excursion / Lunch


12:00-15:00

 

By bike (Rental bikes available)

Altes Forsthaus
Eberswalder Chaussee 2, 15377 Waldsieversdorf

 


15:00-16:00


IRTG Meeting

 

 


19:30-22:00


Terrace Dinner (light)
Terrasse, Seezimmer, Herrenzimmer
 

 

Thursday
(22.07.2021)

1st Session, Chair: Kainat Khowaja

10:00-10:15

Daniel Jacob

Nonparametric Outcome-adaptive Variable Selection using Random Forest.

10:15-10:30

Souhir Ben Amor

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

10:30-10:45

Georg Keilbar

A projection based approach to interactive fixed effects.

10:45-11:00 Coffee Break

2nd Session, Chair: Julian Winkel

11:00-11:15

Michael Althof

Managing an ETF.

11:15-11:30

Francis LIU

Crypto-backed P2P lending.

11:30-11:45

Ratmir Miftachov

Multiple change point detection for cryptos.

Excursion / Lunch


12:00-15:00

 

By bike (Rental bikes available)

Pritzhagener Mühle, 
Lindenstraße 74, 15377 Oberbarnim

 


15:00-17:00


IRTG Meeting & GN's
Bathing & Walking at Tornowsee

grosser Tornowsee

 

 


19:30-22:00


Ristorante Castello Angelo
Wriezener Str. 59, 15377 Buckow

 

 

Friday
(23.07.2021)

1st Session, Chair: Ratmir Miftachov

09:45-10:00 Julian Winkel Quantlet redesigned.

10:00-10:15

Julian Winkel

BTC Pricing Kernels and risk premia.

10:15-10:30

Kainat Khowaja

Uniform confidence bands for GRF estimates.


10:30-10:45


Coffee Break and
Checkout
 

2nd Session, Chair: Francis Liu

10:45-11:00

Ilyas Agakishiev

Assume a can opener.

11:00-11:15

Hongyu XIA

The Provincial Risk Measurement and Network Spillover Risk of Local Debt in China: 2009-2020.

11:15-11:30

Anna Shchekina

FRM FinancialRiskMeter for Cryptos.

3rd Session, Chair: Raphael Reule


11:40-11:50


Rewarding of the

"Best doctoral researcher talk"

(Presents!)

 

12:00 Departure
(Lunch Boxes provided, PhD's wait for green light!)