Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Publication

Georg Keilbar's and Weining Wang's paper entitled "Modelling Systemic Risk Using Neural Network Quantile Regression" has been accepted for publication in Empirical Economics.

Congratulations!

Quantlets are available on Github.

Publication

Georg Keilbar's and Yanfen Zhang's paper entitled "On Cointegration and Cryptocurrency Dynamics" has been accepted for publication in Digital Finance.

Congratulations!

Quantlets are available on Github.

SSRN Top Ten Lists

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792 and Bruno Spilak's paper "Tail-Risk Protection: Machine Learning Meets Modern Econometrics", was recently listed on SSRN's Top Ten download lists for:

02.02.2021: Econometrics: Econometric & Statistical Methods - Special Topics eJournal Top Ten.

We featured this research outlet previously as IRTG 1792 DP 2019-020 here.

SSRN Top Ten Lists

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792, Michael Althof's and Dr. Souhir Ben Amor's paper "FRM Financial Risk Meter for Emerging Markets", was recently listed on SSRN's Top Ten download lists for:

13.03.2021: ERN: Other Econometric Modeling: International Financial Markets - Emerging Markets (Topic) and Econometric Modeling: International Financial Markets - Emerging Markets eJournal

We featured this research outlet previously as IRTG 1792 DP 2019-020 here.

Publication

Awdesch Melzer's, Brenda Lopez-Cabrera's, and Wolfgang Karl Härdle's paper entitled "Pricing Green Financial Products" has been accepted for publication as a revised version with Journal of the Royal Statistical Society JRSS-SC-Aug-18-0215.R3 entitled "Pricing Wind Power Futures".

Congratulations!

SSRN Top Ten Lists

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792, Elizaveta Zinovyeva's, and Raphael C.G. Reule's, MD of the IRTG 1792, paper "Understanding Smart Contracts: Hype or Hope?", was recently listed on SSRN's Top Ten download lists for:

26. April 2021:

- Decision-Making in Computational Design & Technology eJournal Top Ten
- DecisionSciRN: Digital Transformation (Sub-Topic) Top Ten
- DecisionSciRN: Technology Adoption & Diffusion (Topic) Top Ten
- ERN: Technology (Topic) Top Ten
- IRPN: Innovation & Cyberlaw & Policy (Topic) Top Ten
- IRPN: Innovation & Information Management (Topic) Top Ten
- Innovation & Management Science eJournal Top Ten.

27. April 2021:

- Decision-Making in Computational Design & Technology eJournal Top Ten
- DecisionSciRN: Digital Transformation (Sub-Topic) Top Ten
- DecisionSciRN: Technology Adoption & Diffusion (Topic) Top Ten
- ERN: Technology (Topic) Top Ten, IRPN: Innovation & Cyberlaw & Policy (Topic) Top Ten
- IRPN: Innovation & Information Management (Topic) Top Ten
- Innovation & Management Science eJournal Top Ten.
 

09. May 2021:

- IO: Productivity, Innovation & Technology eJournal Top Ten

10. May 2021:

- IO: Productivity, Innovation & Technology eJournal Top Ten

15. May 2021:

- Innovation Law & Policy eJournal Top Ten

16. May 2021:

- Innovation Law & Policy eJournal Top Ten

29. May 2021:

- Innovation Law & Policy eJournal Top Ten

30. May 2021:

- Innovation Law & Policy eJournal Top Ten

12. June 2021:

- Innovation Law & Policy eJournal Top Ten

13. June 2021:

- Innovation Law & Policy eJournal Top Ten

15. June 2021:

- Industrial Organization & Regulation eJournals Top Ten

16. June 2021:

- Industrial Organization & Regulation eJournals Top Ten

20. June 2021:

- IRPN Subject Matter eJournals Top Ten
- Innovation Disciplines eJournals Top Ten
- Innovation Research & Policy Network Top Ten

21. June 2021:

- IRPN Subject Matter eJournals Top Ten
- Innovation Disciplines eJournals Top Ten
- Innovation Research & Policy Network Top Ten

22. June 2021:

- Decision Science Research Network Top Ten 
- DecisionSciRN Subject Matter eJournals Top Ten

23. June 2021:

- Decision Science Research Network Top Ten 
- DecisionSciRN Subject Matter eJournals Top Ten

Staff

Georg Keilbar, PhD student of the IRTG 1792, accepted an offer for a postdoc position at the Insitute for Statistics and Operations Research at the University of Vienna.

The University of Vienna (German: Universität Wien) is a public university located in Vienna, Austria. It was founded by Duke Rudolph IV in 1365 and is the oldest university in the German-speaking world. With its long and rich history, the University of Vienna has developed into one of the largest universities in Europe, and also one of the most renowned, especially in the Humanities. It is associated with 21 Nobel prize winners and has been the academic home to many scholars of historical as well as of academic importance. Source

Congratulations and good luck!

Publication

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792, Elizaveta Zinovyeva's, and Raphael C.G. Reule's, MD of the IRTG 1792, paper "Understanding Smart Contracts: Hype or Hope?",

Exclusive Book Chapter


to appear in

“FinTech Research and Applications: Challenges and Opportunities”
[Transformations in Banking, Finance and Regulation series]


to be published by 

World Scientific Publishing, July/August 2022


Editors

Daisy Chou, RMIT University, School of Economics, Finance and Marketing, Australia
Conall O’Sullivan, University College Dublin, UCD Michael Smurfit Graduate Business School, Ireland
Vassilios G. Papavassiliou, University College Dublin, UCD Michael Smurfit Graduate Business School, Ireland

Conference

The First Victoria Peak Conference was organized by the Hong Kong University of Science and Technology, IRTG 1792, and Hamburg University.The conference took place on April 26-27, 2021, online. It covered a broad spectrum of topics on blockchain ecosystem, AI methods for financial applications as well as COVID-19 data analysis from both academic and industrial prospectives.

Wolfgang Karl Härdle, speaker of the IRTG 1792 and many IRTG 1792 doctoral students, amongst them Elizaveta Zinovyeva, Francis Liu, Kainat Khowaja and Xinwen Ni gave talks at the conference.

The respective programmes can be found in the following:

Schedule and further information

Participation: Finanstilsynet

Wolfgang Karl Härdle, speaker of the IRTG 1792, Cathy YH Chen, Mercator Fellow of the IRTG 1792, IRTG 1792 doctoral students, amongst them Elizaveta Zinovyeva, and Raphael C.G. Reule, MD of the IRTG 1792,  visited the Danish Financial Supervisory Authority (Finanstilsynet) at Copenhagen digitally on July 2nd 2021. It is the financial regulatory authority of the Danish government responsible for the regulation of financial markets in Denmark.

During this Horizon 2020 SupTech Event on "AI, Market Risk and Robo Advisory" they gave talks on "Data Science & Digital Society (DS2)", "Financial Risk Meter (FRM)", "Smart Contracts, and the pursuit of an interdisciplinary technical cure-all", and hosted a coding session.

Event: Big Data and Machine Learning in Finance Conference

The conference “Big Data and Machine Learning in Finance“  was organized by the IRTG 1792,  the British Retail Consortium, COST, FinTech and the Politecnico di Milano. The conference took place on 10.06.2021- 11.06.2021 via Zoom. The guests were several academicians with diverse backgrounds as well as representatives of the financial industry. The invited speakers were Tomaso Aste (UCL), Emanuele Borgonovo (Università Bocconi), Tucker Balch (JP Morgan AI research), Juri Marcucci (Bank of Italy) and Georgios Sermpinis (Adam Smith Business School, University of Glasgow).

Professor Wolfgang Karl Härdle from the IRTG 1792 was part of the scientific committee.

More informations can be found on the following website:

https://www.mate.polimi.it/fintech/

Participation: Blockchain SupTech Workshop

The “Blockchain SupTech Workshop“ took place on the 17.06.2021 and was organized by the Deutsche Bundesbank. The topics were about blockchains, cryptocurrencies and smart contracts.

Wolfgang Karl Härdle, speaker of the IRTG 1792 and many IRTG 1792 doctoral students gave talks during this workshop.

This workshop was done online via Webex.

More informations about the programm of the workshop can be found on the following website:

https://www.wiwi.hu-berlin.de/de/forschung/irtg/events/2021/20210603-suptech-workshop-bc-bundesbank.pdf

Event: EU Fin-Tech Horizon 2020 Final workshop 

The final workshop of the “EU Fin-Tech Horizon 2020“ took place on the 18.06.2021 via Zoom and was the final event of a series of many workshops and events.

The topic was the risk management of financial technologies.

Wolfgang Karl Härdle, speaker of the IRTG 1792 opened the event and also gave a talk.

More informations about “EU Fin-Tech Horizon 2020“ and the programm of this event can be found on the following document:

20210530 FINTECH FINAL W UBER Flyer.pdf

Participation: EDT COnference 2021

The conference “Economics of Digital Transformation 2021“  was organized by the University of Rijeka, Faculty of Economics and Business onsite in Rijeka, Opatija and online within the virtual platform from the  June 23rd – 25th.

Wolfgang Karl Härdle, speaker of the IRTG 1792, participated as Program Committee and gave a talk on "Understanding Smart COntracts: Hype or Hope?"

More informations can be found on the following website:

https://www.edt-conference.com/index.php

Participation: ITISE 2021

On behalf of the 7th International Conference on Time Series and Forecasting (ITISE 2021) Organizer Committee, we would like to thank Souhir Ben Amor, AvH Postdoc, and Wolfgang Karl Härdle, speaker of the IRTG 1792, active participation during this edition of ITISE, which was held from 19th-21th July, 2021 in Gran Canaria (Spain).

Author(s): Souhir Ben Amor and Wolfgang Karl Härdle

Title: An Adaptative Hybrid system based Neurofuzzy model for Energy Price Forecasting

More informations can be found on the following website:

https://itise.ugr.es/

20.08.2021. Georg Keilbar defended his PhD dissertation on "Essays on Modern Econometrics and Machine Learning".

Congratulations!

SSRN Top Ten Lists

Professor Wolfgang K. Härdle's, Speaker of the IRTG 1792 and Konstantin Häusler's paper "Rodeo or Ascot: Which Hat to Wear at the Crypto Race?", was recently listed on SSRN's Top Ten download lists for:

24.08.2021: 

- ERN: Other Econometric Modeling: International Financial Markets - Volatility & Financial Crises (Topic) Top Ten 
- Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal Top Ten

20.09.2021

- ERN: Bayesian Analysis (Topic) Top Ten
- ERN: Foreign Exchange Models (Topic) Top Ten
- ERN: Time-Series Models (Multiple) (Topic) Top Ten
- ERN: Time-Series Models (Single) (Topic) Top Ten
- ERN: Volatility (Topic) Top Ten
- Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Top Ten
- Econometrics: Multiple Equation Models eJournal Top Ten
- Econometrics: Single Equation Models eJournal Top Ten.

We featured this research outlet previously as IRTG 1792 DP 2019-020 here.

03.09.2021. Raphael Reule defended his PhD dissertation on "Digital and Surrogate Finance".

Participation: 4. Blockchain@HTW Conference

Wolfgang Karl Härdle, speaker of the IRTG 1792, Bingling WANG and Min-Bin LIN, IRTG 1792 PhD students, gave a talk on "NFTs and VizTech".

More informations can be found on the following website:

https://blockchain.htw-berlin.de/wordpress/

Participation: 29th Annual Conference on PBFEAM

Wolfgang Karl Härdle, speaker of the IRTG 1792, gave a talk on "FRM the Financial Risk Meter".

More informations can be found on the following website:

http://centerforpbbefr.rutgers.edu