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

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.


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".

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".

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.

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: 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.

From the website: "The workshop deals with emergent economic, political and legal phenomena in the field of FinTech. It pursues two distinct goals. First, it intends to generate awareness and facilitate a better understanding of the actors, phenomena and dynamics of the new financial order. Second, it explores the political and legal implications of financial and technological innovation based on blockchain technology."

Dissertation: M. Lu completes PhD

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

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.

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!

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.

Energy markets are developing rapidly, with new marketplaces emerging globally for electricity, weather and emissions. The Energy Finance workshop Stolberg 2017 focused on recent trends in modelling and management of risk in energy markets. The topics included, but were not limited to wind energy, emission trading, commodity markets and applied advanced statistical and forecasting methods.

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).

For further details follow this link: