Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

SSRN top 10% of Authors

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, is currently (08.08.2018) in the top 10% of Authors on SSRN by all-time downloads.

Congratulations!

Publication

Dr. Petra Budejovas', almuni of Prof. Härdle, Ngoc Trans', Maria Ospienkos' and Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, paper "Principal component analysis in an asymmetric norm" has been accepted for publication in Journal of Multivariate Analysis.

EUROPEAN COMMISSION

Horizon 2020 - Research and Innovation Framework Programme

Evaluation Summary Report

Thanks to Dr. Alla Petukhina, alumni of Professor Wolfgang Karl Härdle (Speaker of the IRTG 1792), the Humboldt-Universität zu Berlin got a full grant by the European Commission for the project titled "A FINancial supervision and TECHnology compliance training programme". This project will be integrated in the "Horizon 2020 - Research and Innovation Framework Programme". Congratulations!

Participating universities:

1 UNIVERSITA DEGLI STUDI DI PAVIA IT
2 HUMBOLDT-UNIVERSITAET ZU BERLIN DE
3 ZURCHER HOCHSCHULE FUR ANGEWANDTE WISSENSCHAFTEN CH 
4 UNIVERSITY COLLEGE LONDON UK 
5 ACADEMIA DE STUDII ECONOMICE DIN BUCURESTI RO 
6 MODEFINANCE SRL IT
7 FIRAMIS UG DE 
8 PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON EL 
9 INESC TEC - INSTITUTO DE ENGENHARIA DE SISTEMAS E COMPUTADORES, TECNOLOGIA E CIENCIA PT
10 UNIVERSITE PARIS I PANTHEON-SORBONNE FR
11 POLITECNICO DI MILANO IT 
12 UNIVERSITY COLLEGE DUBLIN, NATIONAL UNIVERSITY OF IRELAND, DUBLIN IE
13 UNIVERSITE DU LUXEMBOURG LU 
14 INSTITUT JOZEF STEFAN SI
15 UNIWERSYTET WARSZAWSKI PL
16 SVEUCILISTE U RIJECI EKONOMSKI FAKULTET HR 
17 UNIVERSIDAD COMPLUTENSE DE MADRID ES 
18 EKONOMICKA UNIVERZITA V BRATISLAVE SK 
19 Almax Analytics Ltd. UK 
20 KAUNO TECHNOLOGIJOS UNIVERSITETAS LT 
21 Masarykova univerzita CZ 
22 B-Hive BE
23 IKONOMICHESKI UNIVERSITET - VARNA BG 
24 TAMPEREEN YLIOPISTO FI 
25 WIRTSCHAFTSUNIVERSITAT WIEN

Further information can be found at the website of the European Commission under Call H2020-ICT-2018-2 and the projects website.

Memorandum of Understanding

The School of Business and Economics, Humboldt-Universität zu Berlin, and the School of Data Science, Fudan University, have agreed on a memorandum of understanding  to extend and strenght the scientific exchange and co-operation.

The activities, which are envisioned to foster the friendship between the universities, are the exchange of academic staff and students. Additionally academic staff may serve as lecturers and research fellows. The exchange of academic materials also serves to push the cooperative research on a higher level.

We are looking forwards to challenges and goals that lie ahead!

SSRN Top Ten List

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Professor Stefan Lessmanns', HUB Chair of Information Systems, paper "Improving crime count forecasts using twitter and taxi data", which has been accepted for publication in Decision Support Systems, was recently listed on SSRN's Top Ten download list for: CJRN: Criminology Research Methodology (Topic).

The respective website (11.09.2018), with the linked paper and further information, can be reached here.

We features this research outlet previously here.

Participation

Dr. Alla Petukhina participated in the "3rd COST Conference on Mathematics for Industry in Switzerland" on Artificial Intelligence in Industry and Finance, hosted by the Institute of Applied Mathematics and Physics and the Institute of Data Analysis and Process Design at the Zurich University of Applied Sciences ZHAW in Winterthur, Switzerland.

She presented her work "Portfolio allocation strategies in the cryptocurrency market".

The respective website, with the further information, can be reached here.

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, was invited by the Karlsruhe Institute of Technology (KIT) to give a talk on "Textual Sentiment, Option Characteristics, and Stock Return Predictability" on the 07.09.2018.

The event's poster can be reached here.

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, and Cathy Yi-Hsuan Chen, mercator fellow of the IRTG 1792, were invited by the Rijeka University's Faculty of Economics and Business to give a workshop on "Crypto Currency" on the 24.09.2018.

The event's website with further information can be reached here.

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, was invited by the Loughborough University to give a talk as keynote speaker on "Understanding Cryptocurrencies" at the workshop on Recent Developments in Financial Data Science and Econometrics on the 27.09.2018.

The event's poster can be reached here.

Event

The annual IRTG 1792 RIJ, the "Rumble in the Jungle" workshop for the new doctoral researchers, was held at Buckow (Märkische Schweiz) from the 03.10.2018 - 05.10.2018.

Natalie Packham, associated researcher of the IRTG 1792, gave a short course on "Extreme Value Theory" on this occasion.

Publication

Dr. Petra Burdejovas', Professor Wolfgang Karl Härdles', Dr. Ngoc Trans' and Dr. Maria Osipenkos', paper "Principal Component Analysis in an Asymmetric Norm", which was previously published as SFB 649 DP 2016-040 and is actively used for teaching, was accepted for publication in the Journal of Multivariate Analysis.

Publication

Prof. Ying Chen's, Prof. Wolfgang Karl Härdle's, Dr. He's and Dr. Majer's, paper "Risk Related Brain Regions Detection and Individual Risk Classication with 3D Image FPCA", which was previously published as SFB 649 DP 2015-022, was accepted for publication in the Statistics & Risk Modeling.

Participation

Professor Wolfgang Karl Härdle (speaker of the IRTG 1792), Prof. Stefan Lessmann, Prof. Lars Winkelmann (Principal Investigators of the IRTG 1792), Prof. Cathy Chen (Mercator Fellow of the IRTG 1792), Prof. Timo Teräsvirta (Guest of the IRTG 1792), Ya Qian, Mingyang Li (Doctoral Researchers) and Raphael Reule (MD IRTG 1792) were invited to the Humboldt Aarhus Xiamen (HAX) Conference "DEDA – Digital Economy & Decision Analytics", which was held at Xiamen University, PRC, from the 24.-26.10.2018.

We would like to thank WALEX COSMOS Technology Holdings (Hong Kong) Ltd. for greatly supporting this event and we are looking forward to participate in cooperative research.

The event's website can be reached here.

After a long lasting hunt, a bamboo stick for the presentations was eventually discovered.

Publication

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, Henry Horng-Shing Lu's and Xiaotongand Shen's Springer Handbook of Computational Statistics "Handbook of Big Data Analytics"  has nearly been downloaded 14.000 times and was published recently as part of the Mathematics and Statistics eBook Collection.

Congratulations!

Publication

Professor Wolfgang Karl Härdle's, speaker of the IRTG 1792, Prof. Yingxing Li's, Xiamen University, Prof. Chen Huang's, Xiamen University, paper "Spatial functional principal component analysis with applications to brain image data" has been accepted for publication with the Journal of Multivariate Analysis.

This research has been previously published as SFB 649 Discussion Paper 2017-024.

Event: Hilda Geiringer Lecture 2018

12.11.2018. This year's Hilda Geiringer Lecture (HGL) was held with great success and overwhelming positive feedback with Prof. An. Vogt and Prof. N. Packham as presenters for this event, which is tailored to give young female researchers an inventive to pursue their academic career and get in touch with role models.

This year's Hilda Geiringer Lecture was be introduced by Prof. Annette Vogt, who opened the event with a short talk with the title "Hilda Pollaczek-Geiringer - the first female Privatdozent for applied mathematics at a German university". In her intervention she discussed Hilda Pollaczek-Geiringer's contributions to applied mathematics and statistics during her stay in Berlin. Hilda Pollaczek-Geiringer offered several lectures on different topics of applied mathematics and statistics. And she was one of the leader of the special seminar on applied mathematics between 1927 and 1933. Her last course at the Berlin University was on mathematical statistics in winter 1932/33. Because of the Nazi's she was forced to leave the country, she escaped into exile, first in Brussels, from 1934 to 1939 in Istanbul, and finally to the USA.

Natalie Packham, Professor of Mathematics and Statistics at Berlin School of Economics and Law, gave a talk on "Correlations in credit stress testing!. Stress tests, as an integral part of risk management and banking supervision, are by nature conducted within models and as such vulnerable to model side effects. In this lecture, we shed some light on the model behaviour in stress testing models that are currently in use in the finance industry. This topic gave incentive to very interesting and in-depth discussions.

Many thanks to all who participated and helped in organizing this event!

The respective website can be found here.

Dissertation: Lenka Zbonakova completes PhD

14.11.2018. Lenka Zbonakova defended her PhD dissertation on the "Time Varying Penalized Models in High Dimensions".

Congratulations!

Event: IRTG 1792 Excursion to Gatow

15.11.2018. IRTG 1792 staff and research guests made an excursion to the Museum of Military History at Berlin-Gatow to celebrate Prof. Härdle's birthday.

The Museum on the Berlin-Gatow airfield is a branch of the Bundeswehr Museum of Military History. Like its parent agency in Dresden, it does not see itself primarily as a museum of technical history, but rather as a modern museum of cultural history.

The Museum in Dresden tells a general cultural history of violence, whereas the Berlin Museum focuses on aerial warfare as the most recent development in the military use of force.