Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

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

1st  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

2nd  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)

1st  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

2nd  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, ...)

3rd  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)

1st  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

2nd  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.