Summer Camp 2019

High Dimensional Nonstationary Time Series | Summer Camp 2019

Summer Camp 2019

03.07. - 05.07.2019

Buckow, Germany

Organization and Contact Information

Wolfgang Karl Härdle
Raphael Reule

Humboldt University of Berlin
School of Business and Economics
International Research Training Group 1792
Humboldt-Universität zu Berlin
Dorotheenstr. 1
10117 Berlin

Tel.:

+49 - 30 - 2093 99469

E-Mail:

irtg1792.wiwi@hu-berlin.de

IRTG Short Course

Timothy Loughran

Richard Crowley

Pekka Malo

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

Participants

HUB

Wolfgang Härdle

Cathy Chen

Stefan Lessmann

Michael Burda

Christoph Breunig

Anna Shchekina

Bruno Spilak

Michael Althof

Ioana Ceausu

Justin Hellermann

Jovanka Lili Matic

Elena Ivanova

Egor Klochkov

Xinwen NI

Junjie HU

Daniel Jacob

Bingling WANG

Georg Keilbar

Elizaveta Zinovyeva

Marvin Gauer

Marius Sterling

Niels Wesselhöfft

Cemre Unal

Raphael Reule

University of Notre Dame, USA

Timothy Loughran

Singapore Management University, Singapore

Richard Crowley

Berlin School of Economics and Law, Germany

Natalie Packham

Aalto University, Finland

Pekka Malo

National University of Singapore, Singapore

Xiuqin XU

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 her/his/diverse opinion)

Day	Time	Speaker	Title
Wednesday (03.07.2019)	12:30	Arrival
	1^st Session, Chair: Raphael Reule
	13:30-13:45	Welcome Wolfgang Karl Härdle
	13:45-15:15	Short course I Timothy Loughran Textual Analysis in Finance. Poster
	15:15-15:30	Coffee Break
	2^nd Session, Chair: Xinwen Ni
	15:30-16:15	Short course II Timothy Loughran Measuring Information Complexity. Poster
	16:15-16:40	Short course III Richard Crowley Twitter Sentiment
	Cooldown Session / Dinner
	16:40-16:50	Map, Food, Smiles Justin Hellermann
	16:50-18:00	Short course IV Pekka Malo Structural Change Detection in Multivariate Systems: An Application to Financial News Analytics Poster
	18:00-19:00	Sauna
	19:00-22:00	BBQ Terrace Dinner Terrasse, Seezimmer, Herrenzimmer

Thursday (04.07.2019)
	1^st Session, Chair: Marius Sterling
	9:30- 9:50	Egor Klochkov	Opinion networks and communities in social media.
	9:50-10:10	Elizaveta Zinovyeva	Antisocial online behavior detection using deep learning.
	10:10-10:30	Daniel Jacob	Matched Individual Treatment Effects.
	10:30-10:50	Coffee Break
	2^nd Session, Chair: Michael Althof
	10:50-11:10	Bingling Wang	K-expectile Clustering.
	11:10-11:30	Georg Keilbar	Testing Parametric Specifications for the Conditional Quantile Using Neural Networks.
	11:30-11:50	Xinwen Ni	Sentiment Analysis using Cryptocurrency Lexicon.
	Lunch / Administration
	12:00-15:00	Pritzhagener Mühle, Lindenstraße 74, 15377 Oberbarnim
	15:00-16:00	IRTG PI Meeting at Pritzhagener Mühle (Perspectives, Events, Finances, ...)
	3^rd Session, Chair: Bingling Wang
	16:00-16:20	Elena Ivanova	How to Exploit Linear Quantile Regression for Risk Preferences.
	16:20-16:40	Michael Althof	Financial Risk Meter.
	16:40-17:10	Niels Wesselhöfft	Constrained Kelly portfolios under alpha stable laws.
	Cooldown Session / Dinner
	17:10-18:30	Recreational Activities Swimming
	18:30-22:00	Ristorante Castello Angelo Wriezener Str. 59, 15377 Buckow

Friday (05.07.2019)	1^st Session, Chair: Bruno Spilak
	09:00	Checkout (Please clear all rooms before 09:00)
	09:20- 09:35	Jovanka Lili Matic	Hedging strategies under jump induced market incompleteness.
	09:35-09:50	Junjie HU	Generate NASDAQ Textual Sentiment Process.
	09:50-10:10	Marvin Gauer	Estimation of eMail Processing Time in the Financial Services Industry.
	10:10-10:30	Marius Sterling	Forcasting on Limit Order Book data.
	10:30-10:50	Coffee Break
	2^nd Session, Chair: Marvin Gauer
	10:50-11:10	Bruno Spilak	Crypto Volatility forecasting: ML vs GARCH.
	11:10-11:20	Cemre Unal	Predicting startup performance. I
	11:20-11:30	Ioana Ceausu	Predicting startup performance. II
	12:00	Departure
	12:30	Roundup Prof. Wolfgang K. Härdle Location (transfer by bike / car): Sanatorium / Führungsakademie/ Lazarett / Parteischule Waldsieversdorf Kindermannstraße 1, 15377 Waldsieversdorf Lunch boxes available on site.