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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

News 2017

Our Team: New IRTG Managing Director

01.01.2017 Alona Zharova to be new IRTG Managing Director starting from 1.1.2017. Welcome to the
IRTG!

Research visit: C. Huang in Cambridge


05.01.2017. Chen Huang was invited to visit Cambridge University 2017.3 - 2017.6. She will work with Oliver Linton, IRTG Advisory Board member, on high
frequency data.

Publication: Paper accepted to JAM

13.01.2017. The paper "Tail Event Driven Asset Allocation: evidence from equity and mutual funds' markets" by W.K. Härdle, S. Nasekin and A. Petukhina was accepted to the Journal of Asset Management"

Dissertation: S. Nasekin completes PhD

20.01.2017. Sergey Nasekin, IRTG PhD student, defended his PhD dissertation on "Dynamic Dimension Reduction for Financial Applications" with Summa Cum Laude. Congratulations!

Conference: Haindorf Seminar 2017

24.01.2017. This year, the Haindorf conference has attracted speakers and short course lecturers from Charles University in Prague (CZ), National Taiwan University (TW), National  Taipei University (TW), Hanyang University (KR) and Massachusetts Institute of Technology (US) who presented their newest research findings. The snowy hills of Haindorf created a warm and productive athmosphere indeed! Thanks to Lenka Zbonakova, IRTG PhD student, for the great organization!

Our team: Position for S. Trimborn

03.02.2017.Simon Trimborn, IRTG PhD student, received an offer by National University Singapure (SG) to continue his PhD studies in the Department of Statistics and Applied Probability. Congratulations!

Dissertation: F. Schulz completes PhD

06.02.2017. Franziska Schulz, IRTG PhD student, ended her doctoral study on "Probabilistic Models in Energy Finance" with a brilliant defense with Summa Cum Laude. Congratulations!

Dissertation: L. Fang completes PhD

07.02.2017. Lei Fang, the former IRTG Manager, successfully finished her doctoral studies on "Mortality Models and Longevity Risk". Congratulations!

Spring School: K. Papagiannouli in Malente

20.02.2017. The IRTG doctoral student Katerina Papagiannouli presented her work at the Spring School of Research unit 1735: Structural inference in Statistics in Malente, from 20.02.2017 until 25.02.2017. The topic of her talk was Estimation of Cointegrated volatility in the presence of Jumps.

Seminar: L. Zbonakova at Charles University Prague

14.06.2017. Lenka Zbonakova, an IRTG students, presented her work at a research seminar on 14.6.2017 at the Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. The topic of her talk was "Penalized Adaptive Method", which is an IRTG joint work with Prof. Wolfgang Härdle and the IRTG student Xinjue Li.

Seminar: L. Zbonakova at Charles University Prague - Mehr…

Conference: New York University

21.06.2017. Prof. Wolfgang Härdle, the IRTG coordinator and spokesperson, organised a session at the SoFiE conference at New York University on „Cryptos, mining and sentiment surprises".

Conference: New York University - Mehr…

Seminar: Prof. Härdle at the European Central Bank

19.06.2017. Prof. Wolfgang Härdle, the IRTG coordinator and spokesperson, held a seminar at the European Central Bank on „Tail Event Driven Networks of SIFIs".

Seminar: Prof. Härdle at the European Central Bank - Mehr…

Conference: Charles University Prague

16.06.2017. Prof. Wolfgang Härdle, the IRTG coordinator and spokesperson, presented his talk on "Textual Sentiment and Sector-specific Reactions" at Charles University Prague.

Conference: Charles University Prague - Mehr…

Workshop: Prof. Härdle at TU Dresden

14.06.2017. Prof. Wolfgang Härdle, the IRTG coordinator and spokesperson, attended the workshop „Big Data in Logistics" at TU Dresden and held his presentation on „Dynamic Topic Modelling for Crypto Currency Fora".

Workshop: Prof. Härdle at TU Dresden - Mehr…

Workshop: FinTech at UCL

19.06.2017. Hermann Elendner, IRTG associated researcher, presented his talk about "Cryptocurrency Evolution and the Resiliency of Blockchain Markets" at the workshop "Blockchain and the Constitution of a New Financial Order: Legal and Political Challenges" that was held at University College London today on June 06th.

Workshop: FinTech at UCL - Mehr…

Dissertation: M. Lu completes PhD

16.06.2017. Mengjou Lu, IRTG PhD student, successfully defended his PhD dissertation. Congratulations!

Dissertation: M. Lu completes PhD - Mehr…

Book Release: Applied Quantitative Finance

09.06.2017. The editors Wolfgang Härdle, Cathy Yi-Hsuan Chen and Ludger Overbeck published their new book "Applied Quantitative Finance" with content by the IRTG 1792 students Shi Chen and Lenka Zboňáková and the IRTG 1792 participating researcher Prof. Weining Wang.

Book Release: Applied Quantitative Finance - Mehr…

Our team: Job offer for T. Benschop

01.06.2017. PhD graduate Thijs Benschop will continue his career at the Bureau for Economic Policy Analysis (CPB) in Haag, Netherlands. Congratulations, Thijs!

Our team: Job offer for T. Benschop - Mehr…

Workshop: Energy Finance

05.05.2017. For the fifth time the annual Energy Finance Workshop took place in the beautiful village of Stolberg in the Harz from April 19 - 21. Fifteen participants from the Ladislaus von Bortkiewicz Chair of Statistics, Humboldt-Universität zu Berlin and the Chair for Energy Trading and Finance, University of Duisburg-Essen presented their on-going research in a friendly and inspiring atmosphere.

Workshop: Energy Finance - Mehr…

Our Researchers appointed INDI Fellows

19.04.2017. Wolfgang Härdle, Vladimir Spokoiny and Yongmiao Hong became Fellows of the Institute for Nonlinear Dynamical Inference (INDI) at RUDN University in Moscow. Among other INDI Fellows are Angus Deaton (2015 Nobel Laureate in Economics), Robert F. Engle (2003 Nobel Laureate in Economics), Lars Peter Hansen (2013 Nobel Laureate in Economics), James J. Heckman (2000 Nobel Laureate in Economic), Daniel McFadden (2000 Nobel Laureate in Economics) and Christopher A. Sims (2011 Nobel Laureate in Economics).

Our Researchers appointed INDI Fellows - Mehr…

Workshop: Seminar of the HypoVereinsbank-UniCredit Group

07.04.2017 – 08.04.2017. The IRTG doctoral student Awdesch Melzer attended the PhD Seminar Seminar of the HypoVereinsbank-UniCredit Group-Stiftungsfonds in memoriam Giovanna Crivelli for finance PhD-students in Berlin, Germany. Awdesch Melzer presented his project “Pricing Wind Power Futures”.

Call for papers: Computational Statistics

06.04.2017. Special Issue of the journal Computational Statistics on Service Data Analytics and Business Intelligence and Related Topics with Guest editors Desheng Dash Wu and Wolfgang Härdle. Submission Deadline: October 1, 2017

Call for papers: Computational Statistics - Mehr…

Dissertation: L. Yu completes PhD

27.03.2017. Lining Yu, IRTG PhD student, successfully defended her PhD dissertation on "Tail Event Driven Financial Risk Modelling". Congratulations!

Dissertation: L. Yu completes PhD - Mehr…

Workshop: Research in Xiamen

23.03.2017. Joint Research Cooperation yielding vast insight and new results: XMU and HUB jointly organized the IRTG Workshop at Xiamen University (CN), where IRTG PhD students from XMU and HUB presented their joint research results.

Workshop: Research in Xiamen - Mehr…

Publication: Hitting top 10% on SSRN

08.03.2017. In February 2017, IRTG 1792 spokesperson, Prof. Wolfgang Härdle, was ranked among the top 10% of authors that month on Social Science Research Network (SSRN), a website. The paper on "DYNAMIC TOPIC MODELLING FOR CRYPTOCURRENCY COMMUNITY FORUMS" was listed on SSRN's Top Ten download list for: Econometrics: Econometric & Statistical Methods - Special Topics eJournal.

Publication: Hitting top 10% on SSRN - Mehr…

Conference: IRTG joint work in Singapore

20.02.2017. Larisa Adamyan, IRTG PhD student, visited "Q-Kolleg DEDA: Digital Economy and Decision Analytics" conference in National University Singapore (SG) and presented a joint work with K. Efimov, L. Wang and W. Härdle on "Assignments of JEL codes via Adaptive Weights Clustering"

Conference: IRTG joint work in Singapore - Mehr…

Conference: A. Melzer at Princeton University

12.05.2017 – 15.05.2017. Participation at the Langfeld meeting “From Micro-Level Cognitive Phenomena to Large-Scale Social Dynamics” and at the CoCCoN meeting on Social Modulation of Risk Perception

Conference: A. Melzer at Princeton University - Mehr…

Conference: A. Melzer at Oxford University

08.07.2017. The IRTG doctoral student Awdesch Melzer presented his work at the Commodity and Energy Markets Conference at Oxford University from 14.06.2017 until 15.06.2017. The topic of his talk was “Pricing green financial products”, which is an IRTG joint work with Prof. Wolfgang Härdle and Prof. Brenda López Cabrera.

Conference: A. Melzer at Oxford University - Mehr…

Humboldt-Universität zu Berlin | Wirtschaftswissen­schaftliche Fakultät | High Dimensional Nonstationary Time Series | About us | News Feed | News 2017 | Publication: Prof. Härdle and Prof. Chen publish in Conference on Business Excellence

Publication: Prof. Härdle and Prof. Chen publish in Conference on Business Excellence

Prof. Cathy Chen and Prof. Wolfgang K. Härdle published their paper on "Data Science and Digital Society" in the Proceedings of the 11th International Conference on Business Excellence.

Publication: Prof. Härdle and Prof. Chen publish in Conference on Business Excellence - Mehr…

Our team: Media Gallery online

01.08.2017. We have put together an online gallery of IRTG 1792 events and activities during the past four years. We invite everyone to take a look at what we have done to push forward research and to foster the IRTG team spirit.

Our team: Media Gallery online - Mehr…

Our team: Ice Cream Sponsorship

05.07.2017. The Ladislaus von Bortkiewicz Chair of Statistics sponsored ice cream for everyone at this year's summer festival that was held at the School of Business and Economics. Prof. Wolfgang Härdle, IRTG spokesperson (pictured, r.), was delighted.

Our team: Ice Cream Sponsorship - Mehr…

Conference: T. Teräsvirta at University of Oxford

06.09.2017. Prof. Timo Teräsvirta, research affiliate of the former CRC 649 "Economic Risk" at the Chair of Statistics, hosted a session as chair at the 2nd Conference on Econometric Models of Climate Change.

Conference: T. Teräsvirta at University of Oxford - Mehr…

Research visit: K. Papagiannouli in Taiwan

04.09.2017. Katerina Papagiannouli, an IRTG student, has returned to Berlin after her research stay at NTPU, in Taiwan, from 31.07.2017- 30.08.2017. She worked on the design of a Typhoon index in collaboration with Prof. Shu-Ling Chen.

Research visit: K. Papagiannouli in Taiwan - Mehr…

Conference: Prof W. Härdle in Fischerkaten, Poland

08.09.2017. Prof. Wolfgang Härdle gave a presentation on "Academic Ranking Scales: Imputation and prediction" at the conference "Microeconmetrics in Theory and Practice" in Fischerkaten/ Pogorzelica, Poland.

Conference: Prof W. Härdle in Fischerkaten, Poland - Mehr…

Conference: IRTG researchers in Cambridge

The THS (Text, Herding and Sentiment) conference was held successfully at University of Cambridge 12-13 September, 2017. It was jointly organized by Prof. Wolfgang Härdle, Prof. Oliver Linton and Prof. Cathy Yi-Hsuan Chen with the supports from Cambridge-INET and Humboldt-IRTG. IRTG professors Prof. Wolfgang Härdle, Prof. Cathy Yi-Hsuan Chen, Prof. Weining Wang, and IRTG students Larisa Adamyan and Ya Qian presented their related works there.

Conference: IRTG researchers in Cambridge - Mehr…

Seminar: Prof. Härdle in South-East China

23.09.2017. Prof. Wolfgang Härdle, the IRTG spokesman, gave a talk on "Pricing green financial products" at Suzhou University in China. This will be followed by a presentation on "Data Science & the Digital Society" at Nanjing University on 29.9.2017.

Seminar: Prof. Härdle in South-East China - Mehr…

Seminar: Prof. Härdle at Fudan University

01.10.2017. Prof. Wolfgang Härdle, the IRTG spokesman, held a course on the "Statistics of Financial Markets" at Fudan University, China. In the course of the Jiang Xuemo Economics Lectures, organized by the university, he gave one lecture daily from September 21 until September 28 before students and guests of the insitute.

Seminar: Prof. Härdle at Fudan University - Mehr…

Our team: Successful DFG review

05.09.2017. The IRTG has successfully completed the on-site review by the German Research Foundation (DFG). For two days we had the chance to present our research results and methods to external experts of the DFG. This was a valuable opportunity for both our researchers and PhD students. The final result will be announced in December 2017.

Our team: Successful DFG review - Mehr…

Workshop: IRTG research team in Drübeck

11.10.2017. Reasearchers and PhD students of the IRTG 1792 were invited to a joint workshop with scientists of SFB 823 at the TU Dortmund.

Workshop: IRTG research team in Drübeck - Mehr…

Award: S. Trimborn selected for FinTech Award

19.10.2017 Simon Trimborn, an IRTG Ph.D. student, was selected for the PhD stipend at the First Toronto FinTech Conference. He receives this award for his paper "Investing with cryptocurrencies - A liquidity constrained investment approach". Congratulations!

Award: S. Trimborn selected for FinTech Award - Mehr…

Publication: Prof. Lopez Cabrera and T.Benschop publish Discussion paper

06.11.2017. Prof. Brenda López Cabrera, reasearcher at IRTG, and Thijs Benschop, an IRTG student, have published their discussion paper on "Realized volatility of CO2 futures".

Publication: Prof. Lopez Cabrera and T.Benschop publish Discussion paper - Mehr…

Seminar: HOH Lecture with M. Hallin

21.11.2017. After two days the Hermann-Otto-Hirschfeldt Lecture concluded at Humboldt-Universität zu Berlin. This year the lecture was held by Prof. em. Marc Hallin of the Université Libre de Bruxelles.

Seminar: HOH Lecture with M. Hallin - Mehr…

Workshop: Cryptocurrency in a Digital Economy in Berlin

16.-17.11.2017. We successfully concluded the two-day workshop "Cryptocurrency in a Digital Economy" at the Einstein Center for Digital Future in Berlin.

Workshop: Cryptocurrency in a Digital Economy in Berlin - Mehr…

Dissertation: S. Chen completes PhD

17.11.2017. Shi Chen, IRTG PhD student, successfully defended her PhD dissertation with summa cum laude. Congratulations!

Dissertation: S. Chen completes PhD - Mehr…

CRIX: Cryptocurrency Index used as benchmark

27.11.2017. The CRyptocurrency IndeX (CRIX) was developed in the course of various projects at the School of Business and Economics. Publications of 2017 now even use CRIX as a benchmark to evaluate the asset class of cryptocurrencies.

CRIX: Cryptocurrency Index used as benchmark - Mehr…

Conference: S. Chen in Xiamen

16.10.2017. Shi Chen, an IRTG student, presented her work at the five-day DEDA conference in Xiamen, China. The topic of her talk was "Bootstrapped market impact with limit order books".

Conference: S. Chen in Xiamen - Mehr…

Humboldt-Universität zu Berlin | Wirtschaftswissen­schaftliche Fakultät | High Dimensional Nonstationary Time Series | About us | News Feed | News 2017 | Publication: Chao, Härdle and Huang publish paper in Computational Statistics and Data Analysis

Publication: Chao, Härdle and Huang publish paper in Computational Statistics and Data Analysis

03.12.2017. The paper "Multivariate Factorizable Expectile Regression with Application to fMRI Data" authored by Shih-Kang Chao, Wolfgang K. Härdle and Chen Huang has been accepted for publication in Computational Statistics and Data Analysis.

Publication: Chao, Härdle and Huang publish paper in Computational Statistics and Data Analysis - Mehr…

Publication: Zharova, Härdle and Lessmann publish discussion paper

06.11.2017. The discussion paper "Is Scientific Performance a Function of Funds?" authored by Alona Zharova, Wolfgang Karl Härdle and Stefan Lessmann has been published as a discussion paper.

Publication: Zharova, Härdle and Lessmann publish discussion paper - Mehr…

Our team: DFG approves IRTG 1792

19.12.2017. We are pleased to announce that the DFG (German Research Foundation) has just approved the prolongation of the IRTG 1792 funding for 2018-2022. This gives us a chance to improve our cooperation between China and Germany further and facilitate graduate studies for our excellent students. We look forward to continuing our hard work with more fruitful results. More information regarding the application process will be published in January 2018.

Our team: DFG approves IRTG 1792 - Mehr…