Haindorf Seminar 2019
22.01 - 26.01.2019
Hejnice, Czech Republic
Organization and Contact Information
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Wolfgang Härdle Junjie HU doc. PhDr. Jozef Baruník, Ph.D. |
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| Phone: | +49 - 30 - 2093 5708 | |
| E-mail: | ||
IRTG Short Course
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Christian Hafner Université catholique de Louvain
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Holger Dette Ruhr University Bochum, Germany
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IRTG Guest Talk
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Yannis Yatracos Cyprus University of Technology
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Sasa Zikovic University of Rijeka
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Location and Trip Tips
Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location
Skiing
Ski Center Bedřichov
Excursion in a nearby factory
CiS electronic GmbH
Participants
HUB
Wolfgang Härdle Cathy Chen
Alla Petukhina Michael Althof Ioana Ceausu Marvin Gauer Junjie Hu Raphael Reule Elena Ivanova Daniel Jacob Georg Keilbar Keyan Liu Bruno Spilak Bingling Wang Niels Wesselhöfft Elizaveta Zinovyeva |
Charles University Prague
Jozef Baruník Lukáš Vácha Zdenek Hlávka Miloš Kopa František Čech Luboš Hanus Martin Hronec Lucie Kraicova Josef Kurka Matěj Nevrla
Université catholique de Louvain
Christian Hafner
Cyprus University of Technology
Yannis Yatracos
University of Rijeka
Sasa Zikovic
Ruhr-University Bochum
Holger Dette
Friedrich-Alexander University Erlangen-Nuremberg
Matthias Schnaubelt
ZHAW Zurich University of Applied Sciences
Jörg Osterrieder
Xiamen University
Chen Zhang Xinjue Li |
Schedule
Note for Time Slot Arrangement:
The time slot for every regular-talk is 30-minute = a 25-minute presentation + a 5-minute discussion.
The time slot for every short-talk is 15-minute = a 10-minute presentation + a 5-minute discussion.
Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give his/her opinion)
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Day |
Time |
Speaker |
title |
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Tuesday |
12:30 |
Arrival |
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1st session |
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14: 30-16: 00 |
Short course - Christian Hafner (Pt.1) |
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16: 00-16: 30 |
Coffee break |
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2nd session |
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16: 30-18: 00 |
Short course - Christian Hafner (Pt. 2) |
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18: 30-20: 00 |
dinner |
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Wednesday (23.01.2019) |
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1st session: Ioana Ceausu |
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09: 00-09: 30 |
Lukáš Vácha |
Time-frequency response analysis of monetary policy transmission |
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09: 30-10: 00 |
Yannis Yatracos |
Distributional Divergence, Statistical Experiments and Consequences in Option Pricing |
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10: 00-10: 30 |
Daniel Jacob |
Heterogeneous Treatment Effect Estimation using Machine Learning |
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10: 30-11: 00 |
Coffee break |
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2nd Session, Chair: František Čech |
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11: 00-11: 30 |
Sasa Zikovic |
Successfulness of Support Vector Machines in Gas Markets |
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11: 30-12: 00 |
Jozef Baruník |
Tales of Sentiment Driven Tails |
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12: 00-12: 30 |
Elena Ivanova |
Details of sentiment tails |
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12: 30-14: 30 |
Discussion / Lunch Break |
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3rd session |
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14: 30-16: 00 |
Short course - Prof. Holger Dette (Pt.1) |
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16: 00-16: 30 |
Coffee break |
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4th session |
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16: 30-18: 00 |
Short course - Prof. Holger Dette (Pt.2) |
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18: 30-20: 00 |
dinner |
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Thursday |
08: 00-14: 30 |
Optional activities |
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1st Session, Chair: Luboš Hanus |
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14: 30-15: 00 |
Georg Keilbar |
Quantile Neural Network Test |
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15: 00-15: 30 |
Chen Zhang |
Stock Market Risk and Yield Curve |
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15: 30-16: 00 |
František Čech |
Dynamic quantile model for bond pricing |
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16: 00-16: 30 |
Coffee break |
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2nd Session, Chair: Georg Keilbar |
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16: 30-17: 00 |
Matěj Nevrla |
Tail risks, asset prices, and investment horizons |
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17: 00-17: 30 |
Martin Hronec |
Portfolio diversification in the spectral domain |
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17: 30-18: 00 |
Josef Kurka |
Horizon-specific risks, higher moments, and asset prices |
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18: 30-20: 00 |
dinner |
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Friday (25.01.2019)
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1st Session, Chair: Martin Hronec |
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09: 00-09: 30 |
Alla Petukhina |
Portfolio optimization with CoVaR in cryptocurrency market |
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09: 30-10: 00 |
Luboš Hanus |
Dynamic density forecasting using machine learning |
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10: 00-10: 30 |
Bruno Spilak |
Deep Reinforcement Learning |
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10: 30-11: 00 |
Coffee break |
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2nd Session, Chair: Bruno Spilak |
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11: 00-11: 30 |
R.Reule, E.Zinovyeva |
Classifying & Clustering of Smart Contracts |
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11: 30-12: 00 |
Niels Wesselhöfft |
Utilizing high-dimensional high-frequency data for lower sampling frequencies |
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12: 00-14: 30 |
Discussion / Lunch Break |
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3rd Session, Chair: Josef Kurka |
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15: 00-15: 30 |
Bingling Wang |
An Empirical Application of Interactive Fixed Effect Model on Asset Pricing |
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15: 30-15: 45 |
M. Althof, X. Li |
Unified Yield Curve Taylor Rule |
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15: 45-16: 00 |
Marvin Gauer |
Estimation of Email Processing Time in the Financial Services Industry |
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16: 00-16: 30 |
Coffee break |
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4th session, Chair: Niels Wesselhöfft |
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16: 30-16: 45 |
Keyan Liu |
ICA |
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16: 45-17: 00 |
Ioana Ceausu |
Scagnostics |
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17: 00-17: 15 |
Matthias Schnaubelt |
Separating the signal from the noise – financial machine learning for Twitter |
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18: 30-20: 00 |
dinner |
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Saturday |
09:00 |
departure |
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