Big Data and Securities Markets
Organized by Itay Goldstein, Chester S. Spatt, and Mao Ye
Supported by the National Science Foundation
December 10, 2021
on Zoom.us
Friday, December 10
10:25 am
Welcome
10:30 am

Machine Learning about Optimal Portfolios

Theis I. Jensen, Yale University
Bryan T. Kelly, Yale University and NBER
Semyon Malamud, Swiss Finance Institute
Lasse H. Pedersen, Copenhagen Business School

Discussant:
Jules H. van Binsbergen, University of Pennsylvania and NBER
11:15 am

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Lin William Cong, Cornell University and NBER
Ke Tang, Tsinghua University
Jingyuan Wang, Beihang University
Yang Zhang, Beihang University

Discussant:
Agostino Capponi, Columbia University
12:00 pm
Break
12:30 pm

Quote Competition in Corporate Bonds

Terrence Hendershott, University of California, Berkeley
Dan Li, Federal Reserve Board of Governors
Dmitry Livdan, University of California, Berkeley
Norman Schurhoff, University of Lausanne
Kumar Venkataraman, Southern Methodist University

Discussant:
Edie Hotchkiss, Boston College
1:15 pm

The Market Inside the Market: Odd-lot Quotes (slides)

Robert P. Bartlett III, Stanford University
Justin McCrary, Columbia University and NBER
Maureen O'Hara, Cornell University

Discussant:
Robert Battalio, University of Notre Dame
2:00 pm
Break
2:30 pm

The Information Content of Corporate Websites (slides)

Bradford Lynch, University of Chicago
Daniel J. Taylor, University of Pennsylvania

Discussant:
Christian Leuz, University of Chicago and NBER
3:15 pm

Financial Reporting and Consumer Behavior

Suzie Noh, Stanford University
Eric C. So, Massachusetts Institute of Technology
Christina Zhu, University of Pennsylvania

Discussant:
Simona Abis, University of Colorado Boulder
4:00 pm

Valuing Financial Data

Maryam Farboodi, Massachusetts Institute of Technology and NBER
Dhruv Singal, Columbia University
Laura Veldkamp, Columbia University and NBER
Venky Venkateswaran, New York University and NBER

Discussant:
Vincent Glode, University of Pennsylvania
4:45 pm
Adjourn