Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Participation

08.06.2019. Georg Keilbar, PhD student of the IRTG 1792, visited the twelfth annual SoFiE conference and presented “Modelling Systemic Risk using Neural Network Quantile Regression”. The conference was held in Fudan University, Shanghai, China from June 11 to June 14, 2019.

Event

The annual IRTG 1792 Summer Camp took place at Buckow (Märkische Schweiz) from the 03.07.2019 - 05.07.2019.

Many thanks to all participants and staff, who worked as a team and made this event another successful one for the IRTG 1792. Special thanks to our short course guests Timothy Loughran, Richard Crowley and Pekka Malo.

We are very glad to have found such a inspiring sanctuary, the Strandhotel Vierjahreszeiten Buckow, with such incredible positive and proactive staff!

Participation

10.07.2019. Bingling Wang and Min-Bin Lin, PhD students of the IRTG 1792, are participating in data science research based on the WALEX Talent Development Programme STEAM FEAT project held by STEAM Fundamental Education Alliance of Taiwan (STEAM FEAT) at the University of California Berkeley.

The project focuses on educating people of all age on how to react to economic events based on an extensively developped backend consisting of a big database network and artificial intelligence event simulator algorithms. 

This year the tournament educated students from 5th to 8th grade on knowledge about resource allocation under risk using the Rainbow Arch, a board game and a novel developed by Dr. Jenher Jeng. The board game contains a set of dominos which correspond to different events that happen on the journey of a jungle adventure in the novel. During the game each student encounters a series of events triggered by her opponent and she needs to decide the allocation of tokens to the five different investment objects that fluctuate as new events occur. The game examines the critical and structural thinking skills of students and tries to cultivate students’ decision making abilities. In the course, the students were also taught about the concept of artificial intelligence (AI) and learned Scratch, a block-based visual programming language to assist their decision making.

Our research project incorporated with STEAM FEAT will focus on the three initial directions—To define the complexity of the game, analyse the structure of the dominos, and research the tactics/strategies used by students—in order to provide the insight of this board game and observe student learning behaviours.

As it is already presenting itself as a very succesfull project, the Ministry of Education of the Republic of China (Taiwan) has granted it full support.

This year marks the first to have two events, hosted by STEAM FEAT at the University of California Berkeley and Lawrence Hall of Science, to have primary and high school pupils on the project.

The respective news report can be found here.

Special thanks to Catherine Khaw (right) for her driving and energetic guidance of this project!
Here with IRTG 1792 PhD student Xinwen NI to her left, overlooking Singapore.

Dissertation: Egor Klochkov completes PhD

01.08.2019. Egor Klochkov defended his PhD dissertation on "Modelling Financial and Social Networks".

Congratulations!

Participation

26.06.2019. Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, Prof. Cathy Yi-Hsuan Chen, Mercator Fellow of the IRTG 1792, Dr. Alla Petukhina, PhD almuni of the LvB Chair of Statistics, and Dr. Jochen Papenbrock, Firamis Gmbh, gave a two days course from the 25.06.2019 to the 26.06.2019 called “Smart Data Analytics” at the Deutsche Bundesbank, Frankfurt, which was supported by Maria Culjak, University of Rijeka.

25 specialists from 15 European Central banks and other financial supervisors attended lectures. The course is supported trough the framework of EU-Horizon2020 Project “A FINancial supervision and TECHnology compliance training programme”.

Left to right: Dr. J. Papenbrock, Dr. A. Petukhina, M. Culjak. Prof. W. K. Härdle, Prof. C. Chen

Participation

07.08.2019. Wolfgang Karl Härdle, speaker of the IRTG 1792, gave a talk on "CRIX - CRyptocurrency IndeX" at the Singapore Economics Reviews Conference which took place at the Mandarine Orchard Hotel Singapore from the 5th to 7th of August 2019. 

Simon Trimborn, alumni of the IRTG 1792, gave a talk on "Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling" on this occasion.

Xinwen Ni, doctoral student of the IRTG 1792, gave a talk on "Sentiment Measurement with Emojis".

Left to right: Wolfgang Karl Härdle, David Lee Kuo Chuen and Barry Eichengreen

SSRN Top Ten Lists

Wolfgang K. Härdle's, Speaker of the IRTG 1792, Cathy Yi‐Hsuan Chen's, Mercator Fellow of the IRTG 1792, Anrija Mihoci's, Almuni of the LvB Chair of Statistics, and Michael Althof's, PhD student of the IRTG 1792, paper "FRM Financial Risk Meter", was recently listed on: 

15.08.2019. SSRN's Top Ten download lists for: ERN: Systemic Risk (Topic) Top Ten.

07.10.2019. The paper, "FRM FINANCIAL RISK METER", was recently listed on SSRN's Top Ten download list for: Economics of Networks eJournal Top Ten.

We featured this research outlet previously as IRTG 1792 DP 2019-021 here.

Participation

27.08.2019. The 4th Berlin-Princeton-Singapore Workshop on Quantitative Finance was organized from the 18th to the 22nd of March 2019 and the 22nd of July to the 31st of August 2019.

Wolfgang Karl Härdle, speaker of the IRTG 1792, and Weining Wang, principal invesitgator of the IRTG 1792, gave talks during "Workshop 3: Asset Pricing and Risk Management" at the Institute for Mathematical Sciences.  

Participation

18.09.2019. Wolfgang Karl Härdle, speaker of the IRTG 1792, and Cathy Yi-Hsuan Chen, Mercator Fellow of the IRTG 1792, gave SDA Smart Data Analytics lecture series at the Sun Yat-sen University 中山大学 located in Guangzhou, Guangdong, China.

Participation

18.09.2019. Wolfgang Karl Härdle, speaker of the IRTG 1792, gave talks on "Dynamic Crypto Networks" and "DS2 Data Science & Digital Society" at Wang Yanan Institute for Studies in Economics (WISE), of the Xiamen University 厦门大学, colloquially known as Xia Da 厦大 in Mandarin Chinese or Ha Tai 厦大 in Xiamen dialect. 

His compagnon on this visit to the partner institution of the IRTG 1792 is Michael Althof, PhD student of the IRTG 1792, who gave a talk on FRM Financial Risk Meter (IRTG DP 2019-21).

Participation

11.09.2019. Raphael C.G. Reule, Director of the IRTG 1792,  joined in the Crypto Traders Berlin Meetup and gave a talk on the CRyptocurrency IndeX (CRIX), as well as a brief introduction to the Quantlet.de infrastructure, and the FRM Financial Risk Meter.

Participation

19.09.2019. Wolfgang Karl Härdle, speaker of the IRTG 1792, gave a talk on "⼈⼯智能及其未来; Artificial Intelligence - The future of AI?" at the Beijing Humboldt Forum - Qilu Forum 2019; 北京洪堡论坛 2019 草案 at Beijing, PRC.

The respective programme can be found here.

24.09.2019. Furthermore, Prof. Härdle gave a talk on "DS2 Data Science & Digital Society" at the BHF Beijing Humboldt Forum in Pujiang/Chengdu, PRC.

The Beijing-Humboldt Forum (BHF) is an international conference with a non-profit background and deals with the Green Economy and its interaction with cultural heritage. The event takes place every year in September at the University of International Business and Economics (UIBE) in the capital city of China, Beijing. ZEW is a founding member and co-organizer of the Forum which offers a unique platform for interdisciplinary exchange between Germany and China. At the two-day event, around 400 guests will discuss solutions to global challenges and establish sustainable cooperation structures. The sessions will focus on social science research inquiries, taking into account economic, technological, and social contexts. Discussing political implications will also be welcome, since it is precisely the combination of different perspectives and disciplines that makes the conference unique. With its design, the BHF creates both a forum for scientific exchange and a platform for networking for German and Chinese executives from research, industry, politics, and administration.

The Beijing-Humboldt Forum was first held in November 2013 as a side event of the EU-China Summit, chaired by Chinese Prime Minister Li Keqiang and the then President of the European Commission, José Manuel Barroso. The BHF is jointly organised by the Alexander von Humboldt Foundation and the UIBE, with the support of the Austrian and German Embassies in China, the Turkish-German University of Istanbul, Energie AG Data Ltd, the Fraunhofer-Gesellschaft, the Martin Luther University Halle-Wittenberg, ZEW - Leibniz Centre for European Economic Research, the Leibniz Institute for the German Language (IDS), the University of Applied Sciences Upper Austria, Linz Tourism, the Sichuan Artificial Intelligence Research Institute, the University of Münster, and the Nagoya University Japan. BMW China and Rolls Royce Power Systems also support the Beijing-Humboldt Forum 2019. The BHF-Qilu Forum will take place for the first time in 2019, before the BHF 2019, on 19/20 September at Shandong University of Finance and Economics (SDUFE). Following the BHF, the BHF-Chengdu Forum will be held on 24 and 25 September.

Participation

01.10.2019. The STAT of ML conference took place from September 30 - October 1, 2019 in Prague. Wolfgang Karl Härdle, speaker of the IRTG 1792, Weining Wang, principal investigator of the IRTG 1792, and the IRTG 1792 doctoral students Daniel Jacob, Georg Keilbar, Jovanka Matic and Niels Wesselhoefft gave talks at the conference.

The respective programme can be found here.

Participation

2.10.2019. The first CENTRAL workshop took place on October 2, 2019. Daniel Jacob, Georg Keilbar and Jovanka Matic, IRTG 1792 doctoral students, participated and exchanged research ideas with their colleagues from Charles University, Prague and University of Warsaw.

Event

The annual IRTG 1792 RIJ, the "Rumble in the Jungle" workshop for the new doctoral researchers, was held at Buckow (Märkische Schweiz) from the 09.10.2019 - 11.10.2019.

Many thanks to all participants and staff, who worked as a team and made this event another successful one for the IRTG 1792. Special thanks to our guest professors Sergej Sizov, Yinggang Zhou, and László Györfi.

We are very glad to have found such an inspiring sanctuary, the Strandhotel Vierjahreszeiten Buckow, with incredible positive and proactive staff!

(if one can't decide on what do drink - take it all)

Participation

16.10.2019. The first batch of the IRTG 1792 / II intake 2018 is en route to join in the exchange at the WISE/SoE, PRC. We want to wish Bingling Wang, Elena Ivanova, Daniel Jacob, and Georg Keilbar, IRTG 1792 doctoral students, all the best for the upcoming months and hours filled with fruitful discussions with their chinese partners, which will lead to exciting new research outputs.

Event: IRTG 1792 Excursion to Schöneweide

22.10.2019. IRTG 1792 staff and research guests made an excursion to the Dokumentationszentrum NS-Zwangsarbeit to celebrate Prof. Härdle's birthday.

The Forced Labor Documentation Center in Berlin-Schöneweide is the only institution at the historical site of an almost completely preserved forced labor camp in the middle of a residential district. Since 2006, it has made visible the fate of the more than 26 million men, women and children who were exploited as forced labourers by the ancient regime during the Second World War.

Under the eyes of the German civilian population, they worked in all areas of society - in large, medium-sized and small companies, in all branches - from carpentry, bakery, brewery to clothing shop, in municipal institutions such as garbage collection and agriculture, in church cemeteries, to private households. In the Berlin city area alone there were about 3,000 camps for forced laborers.

Documenting. Mediate. Preserve.

As an archive, exhibition, and learning site, the Documentation Center provides information on the history and dimensions of the largest group of forced laborers. Around 8.4 million people were deported to the German Reich as "civilian" forced laborers from the occupied territories of Europe. The former accommodation barracks serve as exhibition, event and educational venues.

In its archive and library, the Documentation Centre records the voices and historical heritage of the survivors for future generations and for further research on the subject. Recently, the international youth meeting place has made it possible to engage intensively with the subject across national borders.

Event: Hilda Geiringer Lecture (HGL) 2019

On 06.11.2019 Xiaohong Chen presented her work on "Adaptive Testing in Instrumental Variables Models" as part of the HGL Lecture 2019, which drew on her coming article joint with Christoph Breunig.

Xiaohong Chen is a Malcolm K. Brachman Professor of Economics at Yale University. Her primary field of research is econometrics, particularly penalized sieve estimation and inference on semiparametric and nonparametric models. Prof. Chen is a recepient of multiple awards, most recently 2017 China Economics Prize and Econometric Theory Multa Scripsit Award in 2012. Her work has been published in numerous top-ranked general-purpose and field journals in statistics and econometrics.

The lecture was held within the framework of Hilda Geiringer Lecture Series, which is organised by IRTG 1792 in honour of the mathematical and statistical contributions of Hilda Geiringer, the first female professor in applied mathematics in Berlin and a role model for women in science.

(Prof. Dr. Wolfgang K. Härdle, Prof. Dr. Xiaohong Chen and Prof. Dr. Annette Vogt with the Hilda Geiringer plaque)