Haindorf Seminar 2022
25.01. - 28.01.2022
Hejnice, Czech Republic
Organization and Contact Information
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Wolfgang Härdle Humboldt University of Berlin doc. PhDr. Jozef Baruník, Ph.D. |
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| Phone: | +49 - 30 - 2093 99469 | |
| E-mail: | ||
Location and Trip Tips
Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location
Skiing at Jested
Excursion to the nearby church and tombs of Hejnice
Participants
HUB, DE
Wolfgang Härdle
Konstantin Häusler Kainat Khowaia Ilyas Agakishiev Min-Bin Lin Raul Bag Lili Matic Wendy Wang Ratmir Miftachov Raphael Reule Yifu Wang Bruno Spilak
HTW, DE
Alla Petukhina
Royalton Partners AG, CH
Michael Althof Julian Winkel
PricewaterhouseCoopers Düsseldorf, DE
Danial Saef
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Charles University Prague, CZ
František Čech Luboš Hanus Josef Kurka Matěj Nevrla Lukas Janasek
University of Glasgow, UK
Frankfurt School of Finance and Management, DE
Jan Vecer
Southwestern University of Finance and Economics
Zijin Wang
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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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12: 30- 13: 30 |
Lunch and Check-In | |||||
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1st session, Chair: Bruno Spilak |
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14: 30-14: 40 |
Wolfgang Härdle |
Welcome | ||||
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14: 40-15: 30 |
Zijin Wang |
Volatility Forecasts by Clustering: Applications for VaR Estimation and Option Pricing | ||||
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15: 30-16: 00 |
Coffee break |
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2nd session, Chair: Konstantin Häusler |
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16: 00-17: 30 |
Short course - Jan Vecer
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18: 30- 20: 00 |
Dinner | |||||
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Wednesday (26.01.2022) |
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1st session, Chair: František Čech |
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09: 30-11: 00 |
Short course - Jan Vecer
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11: 00-11: 30 |
Coffee break |
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2nd Session, Chair: Raul Bag |
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11: 30-12: 00 |
Matěj Nevrla |
Common Idiosyncratic Quantile Risk | ||||
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12: 00-12: 30 |
Konstantin Häusler |
An ETF on CRIX | ||||
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12: 30-14: 30 |
Discussion / Lunch Break |
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3rd session, Chair: Lili Matic |
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14: 30-15: 00 |
Bruno Spilak |
Does nonlinear factor analysis help build better portfolio? |
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15: 00-15: 30 |
Raul Bag | Quantinar - The P2P platform for knowledge sharing | ||||
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15: 30-16: 00 |
Yifu Wang |
Realized Interconnection of Cryptocurrencies | ||||
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16: 00-16: 30 |
Coffee break |
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4th session, Chair: Luboš Hanus |
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16: 30-17: 30 |
Cathy Chen | Robo advising under rare disasters | ||||
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18: 30-20: 00 |
Dinner |
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Thursday
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08: 00-15: 00 |
Optional activities |
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1st Session, Chair: Ratmir Miftachov |
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15: 30-16: 00 |
Wendy Wang |
DAI - the Digital Art Index | ||||
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16: 00-16: 30 |
Luboš Hanus |
Deep Learning and Networks | ||||
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16: 30-17: 00 |
Alla Petukhina |
Robust Markowitz with cryptocurrencies |
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17: 00-17: 30 |
Lukas Janasek |
Acquisition of Costly Information in Data-Driven Decision Making |
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18: 30-20: 00 |
Dinner |
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Friday (28.01.2022)
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1st Session, Chair: Kainat Khowaja |
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09: 30-10: 00 |
Ilyas Agakishiev |
PAGAN |
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10: 00-10: 30 |
Josef Kurka |
Distributional Assymetries and Currency Risk | ||||
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10: 30-11: 00 |
Coffee break |
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2nd Session, Chair: Julian Winkel |
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11: 00-11: 30 |
Danial Saef |
Forecasting high frequency volatility regimes | ||||
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11: 30-12: 00 |
Kainat Khowaja |
Save the trees! |
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12: 00- 12: 30 |
Ratmir Miftachov | A nonparametric perspective on Shapley curves | ||||
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12: 30-14: 30 |
Discussion / Lunch Break |
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3rd Session, Chair: Danial Saef |
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14: 30-15: 00 |
Julian Winkel |
Quantlet as NFT |
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15: 00-15: 30 |
Lili Matic |
Shapley confidence bands |
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18: 30-20: 00 |
Dinner |
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Saturday |
09: 15 |
Departure Train OS 16310 leaving at 09:43 from Hejnice |
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