Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

SSRN Top Ten List

Professor Cathy YH Chen's, Mercator Fellow of the IRTG 1792, and Dr. Sergey Nasekin's, Alumni of the IRTG 1792, paper "Deep Learning-Based Cryptocurrency Sentiment Construction", was recently listed on SSRN's Top Ten download list for: IRPN: Innovation & Finance (Topic).

The respective website (20.01.2019), with the linked paper and further information, can be reached here.

We featured this research outlet previously as IRTG 1792 DP 2018-066 here.

Participation

17.01.2019: The Chair of Statistics and the IRTG 1792 sponsored culinary activities during this year's Winterfest organized by the School of Business and Economics (WiWi).

Participation

Researchers and guests of the IRTG 1792 visited the CiS systems s.r.o. We want to thank their staff for taking their time and showing us one of their production locations in the Czech Republic and are looking forward to future activities.

Event: 18 Haindorf Seminar

In a long tradition of seminars, the 18. Haindorf seminar, hosted by the IRTG 1792, took place from January 22 until January 26, 2019. In the former Franciscan Monastery in the village of Hejnice (Haindorf) our researchers and guests convened to share and discuss their ongoing research and present their research findings. 

Besides the insightful sessions there was enough time for social activity. Participants used the offers of the region such as skiing, hiking and joyful gatherings in the evenings to get to know each other and create a very collegial and friendly atmosphere. The former monastery provided not only adequate rooms for the sessions, the guests and evening activities but also czech food and a guided tour to the associated church and its crypts.

We want to express our sincere thanks to CiS systems s.r.o. for showing us one of their production locations in the Czech Republic.

We look back at a successful Haindorf seminar and look forward to come back to this beautiful place next year again.

There is more information about the participants as well as the talks on the seminar’s website.

Dissertation: Larisa Adamyan completes PhD

19.02.2019. Larisa Adamyan defended her PhD dissertation on "Adaptive Weights Community Detection".

Congratulations!

Participation

21.02.2019. Elizaveta Zinovyeva, PhD student of the IRTG 1792, and Dr. Alla Petukhina, alumni of Prof. Härdle, are currently visiting ZHAW Zurich University of Applied Sciences.

We want to thank Prof. Dr. Jörg Osterrieder for cooperating with us on some very important projects, such as an European Commission HORIZON 2020 FinTech Project, and are looking forward to future activities.

Publication

07.03.2019. Dr. Petra Budejova's and Prof. Wolfgang Härdle's paper entitled "Dynamic semi-parametric factor model for functional expectiles" has been accepted for publication in Computational Statistics.

Congratulations!

Administrative

01.04.2019. The "Ladislaus von Bortkiewicz Chair of Statistics" website has been merged with the IRTG 1792 website. All previous content from that website is kept accessible.

Furthermore, we invite all colleagues to regularily use the black board on the first floor. Here you can see Cathy YH Chen, Antonio Galvao and Jozef Barunik working with it.

Participation: METIS

04.04.2019. The IRTG 1792 is very happy to be part of the alliance that offers a new resource to the HU Berlin research community:  www.metis.hu-berlin.de . 

The objective of this platform is to offer assistance with respect to the academic and personal development of the members of the research community by providing support to female scientists, creating more family-friendliness and reducing gender stereotypes in the work environment. 

The platform offers information about upcoming events, workshops and publications on gender equality issues. Furthermore, in the SERVICES FOR MEMBERS section provides inspiration for types of projects that can be financed though the platform. 

For more information and potential gender equality projects, don’t hesitate to contact Dr. Anne Freese or Raphael C. G. Reule.

Event: MathFinance Conference 2019

08.04.2019. Professor Wolfgang K. Härdle and Professor Natalie Packham gave talks at the MathFinance Conference 2019: The Quant Conference in Frankfurt, Germany.

MathFinance, founded by Uwe Wystup in 2003, is an independent consulting and software company specializing in risk management of derivatives in all asset classes. Their pricing libraries, consulting in exotic options and structured products, independent studies have been used by a variety of banks, asset managers, and software companies.

MathFinance is a quantitative finance advisory firm, which specializes in the development of state-of-the art models for trading, sales and risk management. They focus strongly on FX options, the volatility surface and structured derivatives, where they have in-house software. Their team of experts has a strong quantitative background and many years of practical experience in front-office environments as quants, structurers and traders. 

Their affinity to both the industry and the academia lets them approach and tackle a problem from all possible angles and provides a tailor-made solution grounded on both extensive research and hands-on practice.

They offer in-house and public derivatives trainings and organize the annual MathFinance Conference in Frankfurt since 2000. Their best-seller course that runs from Sydney to Salt Lake City is Foreign Exchange Derivatives.

Publication

11.04.2019. Xuening Zhu's, Weining Wang's and Wolfgang Härdle's paper entitled "Network quantile autoregression" was published in the Journal of Econometrics. 

https://doi.org/10.1016/j.jeconom.2019.04.034

https://www.sciencedirect.com/science/article/pii/S0304407619300892?via%3Dihub

Congratulations!

Event: Energy Finance Workshop 2019

17.04.2019. Researchers from the Universität Duisburg-Essen, Humboldt-Universität zu Berlin and Universität St. Gallen have met once again to work together and to enjoy some joint sport activities during the Energy Finance Workshop 2019.

Once again his years programme is presenting a very interessting range of research topics, and we are very happy to have some of our students to be able to present at this occasion, especially Awdesch Melzer, who will soon graduate from our institution.

Dissertation

18.04.2019. Awdesch Melzer defended his PhD dissertation on "Dynamics of day-ahead electricity prices".

Congratulations!

SSRN Top Ten Lists

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792, Professor Campbell R. Harvey's, and Raphael C.G. Reule's, Director of the IRTG 1792, paper "Understanding Cryptocurrencies", was recently listed on: 

07.05.2019. SSRN's Top Ten download lists for: Derivatives eJournal Top Ten, ERN: Futures (Topic) Top Ten, ERN: Stock Market Risk (Topic) Top Ten and Econometric Modeling: Derivatives eJournal Top Ten.

08.05.2019. The reasearch was also listed in the Top Ten lists for Banking & Insurance eJournal Top Ten and Econometric Modeling: Capital Markets - Risk eJournal Top Ten.

09.05.2019. The paper was furthermore listed in the Top Ten for Capital Markets: Market Microstructure eJournal Top Ten.

11.05.2019. Top Ten for ERN: Asset Pricing Models (Topic) Top Ten.

12.05.2019. Top Ten list for: Capital Markets: Asset Pricing & Valuation eJournal Top Ten and Capital Markets: Asset Pricing & Valuation eJournals Top Ten.

19.05.2019. Top Ten list for: Econometric Modeling: Capital Markets - Asset Pricing eJournal Top Ten.

25.06.2019. Top Ten list for: Econometric Modeling: Financial Markets - Capital Markets eJournals Top Ten.

01.07.2019. Top Ten list for: Capital Markets: Asset Pricing & Valuation eJournal Top Ten,  Capital Markets: Asset Pricing & Valuation eJournals Top Ten,  Econometric Modeling: Financial Markets eJournals Top Ten and  Mutual Funds, Hedge Funds, & Investment Industry eJournal Top Ten.

03.01.2022 Top Ten download list for: ERN: Futures (Topic) Top Ten.

04.01.2022 Top Ten download list for: ERN: Futures (Topic) Top Ten.

We featured this research outlet previously as IRTG 1792 DP 2018-044 here.

Dissertation

06.05.2019. Ya Qian defended her PhD dissertation on "Industry Interdependency Dynamics in a Network Context".

Congratulations!

Publication

23.05.2019. Sergey Nasekin's and Wolfgang Härdle's paper entitled "Model-driven statistical arbitrage on LETF option markets" is now on Taylor & Francis Online. 

https://doi.org/10.1080/14697688.2019.1605186

Participation

29.05.2019. Xinwen Ni, PhD student of the IRTG 1792, visited the  "Advances in Econometrics, Volume 42, The Econometrics of Networks" conference and presented "Textual Sentiment and Sector specific reaction". The conference was in Paltinis, Romania from May 16 to 17, 2019.

Participation

08.06.2019. Georg Keilbar, PhD student of the IRTG 1792, visited the conference “Economic Applications of Quantile Regression 2.0” and presented “Modelling Systemic Risk using Neural Network Quantile Regression”. The conference was in Lisbon, Portugal from June 7 to June 8, 2019.

Gender

16.06.2019. Ioana Ceausu, Elizaveta Zinovyeva, Lili Matic, Elena Ivanova and Bingling Wang, IRTG 1792 PhD students, as well as Yanfen Zhang, XMU PhD student, teamed up and joined MUDDY ANGEL RUN - EUROPE’S 5K WOMEN-ONLY MUD RUN!, which was funded through IRTG 1792 researchers.

The “Muddy Angel Run” is Europe’s 5 kilometer Mud Run for women of all fitness levels who want to do good while having fun.

Whether running, jogging or walking. Whether young or old, whether a small or large donation: connect with other angels from your friends, colleagues, and family. Get your sisters, your mother, daughters, neighbors, colleagues in your team to have fun and do good!

Worldwide over one million women have participated in Mud Runs against breast cancer. With your participation in the Muddy Angel Run you support this movement and become part of a unique community.