NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Big Data and High-Performance Computing for Financial Economics

Authors Please upload your paper and slides here. Discussants Please upload your slides here.

Toni Whited and Mao Ye, Organizers

July 14, 2018


Parkview Room

Royal Sonesta Hotel
40 Edwin H. Land Blvd.
Cambridge, MA

Conference Code of Conduct

Saturday, July 14
8:00 am
Continental Breakfast
8:30 am
Toni Whited, University of Michigan and NBER
HPC for Structural Estimation
9:00 am
Mao Ye, University of Illinois at Urbana-Champaign and NBER
Big Data in Finance
10:00 am
Break
10:30 am
Extreme Science and Engineering Discovery Environment (XSEDE)
High-Performance Computing for Financial Economists
12:00 pm
Lunch - Riverfront Room
1:00 pm
Simona Abis, Columbia University
Anton Lines, Columbia University
Ask EDGAR: Insights into Asset Management from Big Data and Natural Language Processing (slides)
1:25 pm
Tarun Chordia, Emory University
Amit Goyal, University of Lausanne
Alessio Saretto, University of Texas at Dallas
Anomalies and Multiple Hypothesis Testing: Evidence from Two Million Trading Strategies
1:50 pm
Wei Jiang, Columbia University and NBER
Tao Li, University of Florida
Yuehua Tang, University of Florida
Who is Afraid of Passive Funds?
2:15 pm
Eric Ghysels, University of North Carolina at Chapel Hill
Giang Nguyen, Pennsylvania State University
Bitcoin Price Discovery (slides)
2:40 pm
Break
3:10 pm
Kerry Back, Rice University
Kevin Crotty, Rice University
Tao Li, City University of Hong Kong
Private Information Distributions in Securities Markets (slides)
3:35 pm
Stephen J. Terry, Boston University
Itay Saporta-Eksten, Tel Aviv University
Short-Term Shocks & Long-Term Investment
4:00 pm
Jesús Fernández-Villaverde, University of Pennsylvania and NBER
Pablo A. Guerrón-Quintana, Boston College
Machine Learning Methods for Solving and Estimating Heterogeneous Agent Models with Aggregate Shocks
4:25 pm
Victor Duarte, Federal Reserve Bank of Dallas
Gradient-Based Structural Estimation
4:50 pm
Adjourn
 
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