Rumble in the Jungle 2021
11.10. - 15.10.2021
Buckow, Germany
Contact Information
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Wolfgang Härdle IRTG 1792 |
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| Tel.: | +49 - 30 - 2093 99469 | |
| E-Mail: |
irtg1792.wiwi@hu-berlin.de |
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Venue
15377 Buckow (Märkische Schweiz)
Participants
HUB
Wolfgang Härdle Rui REN
Anna Shchekina Wendy WANG Min-Bin LIN Ratmir Miftachov Ilyas Agakishiev Kainat Khowaja Raphael Reule
Berlin School of Economics and Law, DE
Natalie Packham Francis LIU
Deutsche Bank Risk Lab, DE
Michael Kalkbrener Jovanka Lili Matic University of York, UK
Weining WANG
Université de Sousse, TN
Souhir Ben Amor
Universität Paderborn, DE
Yuanhua FENG
Aarhus University, DK
Timo Terasvirta
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PricewaterhouseCoopers Düsseldorf, DE
Danial Saef
Royalton Partners AG, CH
Przemysław Bielicki Julian Winkel
AICOR Softwareentwicklungs und Vertriebs GmbH & Co.KG, DE
Sun Yat-Sen University, PRC
Ruting WANG Xiamen University, PRC
Hongyu XIA
University of Glasgow, UK
Norwegian University of Science and Technology, NO
Hochschule für Technik und Wirtschaft Berlin, DE
Alla Petukhina |
Schedule
Each discussion will be led by a randomly chosen discussant. (Everyone has a chance to give her/his/diverse opinion).
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Day |
Time |
Speaker |
Title |
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Tuesday |
12:00 |
Arrival |
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1st Session, Chair: Raphael Reule |
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13:00-13:30 |
Prof. Wolfgang K. Härdle |
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| 13:30-14:00 |
Keynote Talk I - Souhir Ben Amor A hybrid system for electricity price forecasting: complexity or efficiency?
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14:00-15:00 |
Short Course I - Natalie Packham Correlation scenarios and correlation stress testing
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15:00-15:20 |
Coffee Break |
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2nd Session, Chair: Daniel Saef |
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15:20-16:30 |
New challenges for risk management and accounting - Covid and climate risk
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| 16:30-16:50 | Coffee Break | ||
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Policy Choice in Time Series by Empirical Welfare Maximization
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BBQ Terrace Dinner
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Wednesday |
1st Session, Chair: Xinwen Ni |
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10:00-10:30 |
Keynote Talk II - Rui REN Financial Risk Meter FRM based on Expectiles.
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10:30-11:00 |
Keynote Talk III - Cathy Yi-Hsuan Chen Monitoring network changes in social media.
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| 11:00-11:30 |
Keynote Talk IV - Timo Terasvirta Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. |
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11:30-12:30 |
Short Course V - Yuanhua Feng Sinh- and Arcsinh, and Log-Sinh and Arcsinh Normal Distributions Applied to Distributional Regression and Subordinated Gaussian FARIMA Processes.
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12:30-16:00 |
Lunch Break
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Workshop-Session | ||
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16:00-18:00
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Workshops in Breakout Rooms |
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19:00-22:00 |
Ristorante Castello Angelo
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Thursday |
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1st Session, Chair: Ratmir Miftachov |
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| 10:00-10:15 |
Report on Workshops and Mentimeter Information Francis LIU |
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10:15-10:30 |
Wei Li |
CBR for bankruptcy prediction |
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10:30-10:45 |
Konstantin Häusler |
An ETF on CRIX. |
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| 10:45-11:00 |
Julian Winkel |
Quantinar |
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| 11:00-11:15 | Coffee Break | ||
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2nd Session, Chair: Wei Li |
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11:15-11:30 |
Francis LIU |
Crypto-backed P2P lending. |
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11:30-11:45 |
Danial Saef |
Understanding Jumps in High Frequency Digital Asset Markets |
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| 11:45-12:00 |
Bruno Spilak |
Non-linear factor model for portfolio allocation |
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| 12:00-12:15 |
Ruting WANG |
Does Rigid Payment’s Breaking Down Diminish Financing Cost? |
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12:15-14:00 |
Lunch Break
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Seminar-Session, Chair: Wendy WANG |
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| 14:00-14:30 |
COST research seminar - ZOOM
This study examines the risk and return characteristics of the NFT-based startups listed on the cryptocurrency exchange. Our investigation is motivated by the recent surge in the NFT activity on the part of creators, investors, and traders. We begin by proposing a classification of the existing NFT-related projects that range from NFT blockchains to NFT DeFi. Next, we run the analysis and establish that NFTs: 1) earn high first-day returns; 2) yield prodigious returns both on the raw and risk-adjusted basis, roughly an order of magnitude higher than the return on bitcoin; 3) deliver positive and significant alpha and exhibit above-average beta. We also show that the NFT segment of the cryptocurrency market leads market recovery following the mid-2021 crash. In the final analysis of the paper, we find that NFT infrastructure integrated within existing blockchains substantially increase market valuations of the networks. |
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| 14:30-15:00 |
Keynote Talk I - Alla Petukhina Robustifying Markowitz |
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Friday |
1st Session, Chair: Bruno Spilak |
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09:45-10:00 |
Hongyu XIA |
Tail risk comovement of Chengtou bond in China |
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10:00-10:15 |
Wendy WANG |
1 C_unit for DOR1 |
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| 10:15-10:30 |
Min-Bin LIN |
Crypto volatility and blockchain mechanism |
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2nd Session, Chair: Julian Winkel |
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10:45-11:00 |
Lili Matic |
Slibovitz |
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11:00-11:15 |
Ratmir Miftachov |
Consistent Estimation of Shapley Curves |
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11:15-11:30 |
Anna Shchekina |
Sentiment-based Cryptocurrency Market Analysis. |
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| 11:30-11:45 |
Ilyas Agakishiev |
BPAGAN - Portfolio analysis using a GAN |
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That's it folks. |
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12:00 |
Departure (PhD's wairt for green light!)
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