Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Participation: University of Cambridge


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Four researchers of the IRTG 1792 joined the "Big Data in Financial Markets" conference of the Institute for New Economic Thinking at Faculty of Economics of the University of Cambridge on the 24th and 25th of May 2018.


Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, gave a talk on "Time-varying Network of the Limit Order Book". 

Professor Cathy Yi-Hsuan Chen, Mercator Fellow of the IRTG 1792, presented her work on "Cryptocurrency-specific lexicon and sentiment projection".

Lenka Zbonakova, PhD student of the IRTG 1792, followed up with her research on "Penalized adaptive methods in forecasting with large information sets and structure change".

Professor Weining Wang, Hermann-Otto-Hirschfeld Junior Professor of Nonparametric Statistics and Dynamic Risk Management and strongly afiliated to the IRTG 1792 through her research, gave a talk on "High Dimensional Sparse Regression".


The events' website can be reached here.

The respective programme can be downloaded from here.


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