Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Participation

Four researchers of the IRTG 1792 joined the "Big Data in Financial Markets" conference of the Institute for New Economic Thinking at Faculty of Economics of the University of Cambridge on the 24th and 25th of May 2018.

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, gave a talk on "Time-varying Network of the Limit Order Book". 

Professor Cathy Yi-Hsuan Chen, Mercator Fellow of the IRTG 1792, presented her work on "Cryptocurrency-specific lexicon and sentiment projection".

Lenka Zbonakova, PhD student of the IRTG 1792, followed up with her research on "Penalized adaptive methods in forecasting with large information sets and structure change".

Professor Weining Wang, Hermann-Otto-Hirschfeld Junior Professor of Nonparametric Statistics and Dynamic Risk Management and strongly afiliated to the IRTG 1792 through her research, gave a talk on "High Dimensional Sparse Regression".

The events' website can be reached here.

The respective programme can be downloaded from here.

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, was keynote speaker of the Blockchain Night (BCN) #7) at the Commerzbank, Pariser Platz 1, just beside the Brandenburg Gate and gave a talk on "Cryptos: Chance, Risk and Opportunities". 

The events' website can be reached here.

Dissertation: S. Trimborn completes PhD

16.05.2018. Simon Trimborn defended his PhD dissertation on the "CRyptocurrency IndeX". Congratulations!

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, was invited to become member of International Scientific Board of the Journal of Folia Oeconomica Stetinensia, which is published by the Uniwersytet Szczeciński and De Gruyter.

Congratulations!

Publication

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, Henry Horng-Shing Lu and Xiaotong Shen (Eds.) have published the Handbook of Big Data Analytics in Springer Handbooks of Computational Statistics.

It offers a valuable guide to a broad range of big data analytics with statistics in cross-disciplinary applications and shows how to handle high-dimensional problems in big data analytics. Furthermore it provides software-hardware co-designs for big data analytics.

By addressing a broad range of big data analytics in cross-disciplinary applications, this essential handbook focuses on the statistical prospects offered by recent developments in this field. To do so, it covers statistical methods for high-dimensional problems, algorithmic designs, computation tools, analysis flows and the software-hardware co-designs that are needed to support insightful discoveries from big data. The book is primarily intended for statisticians, computer experts, engineers and application developers interested in using big data analytics with statistics. Readers should have a solid background in statistics and computer science. 

Congratulations!

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, and the Ladislaus von Bortkiewicz Chair of Statistics once again sponsored the ice cream for the annual Summer Fest of the School of Business and Economics.

Participation

Yegor Klochkov, PhD student of the IRTG, participated in 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics with a poster "Invertibility of 1d random kernel matrices".

The Vilnius Conferences on Probability and Mathematical Statistics takes place approximately every 4 years since 1973. The IMS annual conferences are organized every year, jointly with either the American Statistical Societies, the Joint Statistical Meetings, Bernoulli Society or the IMS alone. This year it provided opportunities for presentations on a wide range of theoretical and applied topics.

The list of plenary speakers includes: Luc Devroye (McGill University, Montreal), Ruth Williams (UC San Diego), Peter Bühlmann (ETH Zürich), Yuval Peres (Microsoft Research), Jean Bertoin (University Zürich), Svante Janson (Uppsala University), Thomas Mikosch (University of Copenhagen), Sonia Petrone (Bocconi University), Alan Sly (Princeton University), Richard Samworth (Cambridge University), Liudas Giraitis (Queen Mary University of London).

Dissertation: Alla A. Petukhina completes PhD

29.06.2018. Alla A. Petukhina defended her PhD dissertation on the "Tail event driven asset allocation strategies for high-dimensional portfolios".

Congratulations!

Participation

Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, and Cathy Yi-Hsuan Chen, mercator fellow of the IRTG 1792, were invited by the Bank of Italy to give a lecture called "Text Analysis and Sentiment Analysis with Applications to Finance 2018" at Perugia from the 16.07.2018 - 20.07.2018.

The event's website, with the linked programme and further information, can be reached here.

SSRN Top Ten List

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, paper "A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies" was recently listed on SSRN's Top Ten download list for "CSN: Economics" (Topic).

The respective website (16.07.2018), with the linked paper and further information, can be reached here.

As by now (27.07.2018), the paper made it into the Top Ten once again.

Update 31.07.2018: Still in the SSRN Top Ten.

Journal

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Professor Steven Kou from the National University of Singapore are the editors-in-chief for the new journal "Digital Finance - Smart Data Analytics, Investment Innovation, and Financial Technology".

This journal is a top tier peer-reviewed academic and practitioner journal that publishes high-quality articles with a focus on digital finance and innovation as well as on the analysis of digital and internet innovations on financial services and the economy. The journal publishes theoretical or empirical, qualitative or quantitative papers of interest to academics, practitioners, and regulators with the emphasis on empirical, financial market, and investment innovation, financial policy research and recommendations related to improving the welfare in the digital economy.

The respective website, with further information, can be reached here.

Publication

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Professor Stefan Lessmanns', HUB Chair of Information Systems, paper "Improving crime count forecasts using twitter and taxi data" has been accepted for publication in Decision Support Systems.

The publication can be found online here.

Event

The annual IRTG 1792 Summer Camp was held at Buckow (Märkische Schweiz) from the 11.07.2018 - 13.07.2018.

Most participants were grouping up to go there by bike.

Just seconds after arriving people started to work ...

... despite the wonderful view.

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, welcomed the participants and opened the conference.

Anna Zalewska (invited by Dr. Alla Petukhina).

Prof. Christoph Breunig

Prof. Stephane Bonhomme (invited by Prof. Bernd Fitzenberger) ...

... and his daughter wanted to do as the father does!

Prof. Cathy Yi-Hsuan Chen, mercator fellow of the IRTG 1792, and Prof. Bonhomme in discussion.

Prof. Bonhomme and Prof. Fitzenberger in discussion.

Johannes Haupt

Awdesch Melzer

Prof. Weining Wang

Prof. Minh-Ngoc Tran

Filippo Pellegrino

Prof. Winkelmann

The "beach" to get some refreshment from the summers heat.

The way back on bike.

Publication

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Dr. Simon Trimborns', National University of Singapore, paper "CRIX an Index for cryptocurrencies" has been accepted for publication in Journal of Empirical Finance.

SSRN Top Ten List

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Cathy Yi-Hsuan Chens', mercator fellow of the IRTG 1792, paper "Textual Sentiment, Option Characteristics, And Stock Return Predictability" was recently listed on SSRN's Top Ten download list for: ERN: Other Econometric Modeling: Capital Markets - Forecasting (Topic) and ERN: Other Econometric Modeling: Derivatives (Topic).

The respective website (02.08.2018), with the linked paper and further information, can be reached here and here.

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Furthermore it was recently (11.09.2018) listed on SSRN's Top Ten download list for: Behavioral & Experimental Finance (Editor's Choice) eJournal, Derivatives eJournal, ERN: Behavioral Finance (Microeconomics) (Topic), Econometric Modeling: Capital Markets - Forecasting eJournal, Econometric Modeling: Derivatives eJournal and Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal.

The respective website (02.08.2018), with the linked paper and further information, can be reached by clicking the following links to view the Top Ten list for:

Behavioral & Experimental Finance (Editor's Choice) eJournal Top Ten,  Derivatives eJournal Top Ten,  ERN: Behavioral Finance (Microeconomics) (Topic) Top Ten,  Econometric Modeling: Capital Markets - Forecasting eJournal Top Ten,  Econometric Modeling: Derivatives eJournal Top Ten and  Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Top Ten.

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As by now (22.09.2018), the publication is listed on SSRN's Top Ten download list for
FEN: Behavioral Finance (Topic).

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As by now (29.09.2018), the publication was recently listed on SSRN's Top Ten download list for Behavioral & Experimental Finance eJournal Top Ten and  Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Top Ten.

SSRN Top Ten List

Professor Wolfgang Karl Härdles', speaker of the IRTG 1792, and Weining Wangs', principal investigator of the IRTG 1792, paper "LASSO-Driven Inference in Time and Space" was recently listed on SSRN's Top Ten download list for: EduRN: Health Economics Education (HEN) (Topic) and EduRN: Health Economics Education (HEN) (Topic).

The respective website (04.08.2018), with the linked paper and further information, can be reached here.