Big Data and High-Performance Computing for Financial Economics
Organized by Toni Whited and Mao Ye
July 14, 2018
Royal Sonesta Hotel

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

Ask EDGAR: Insights into Asset Management from Big Data and Natural Language Processing (slides)

Simona Abis, University of Colorado Boulder
Anton Lines, Copenhagen Business School

1:25 pm

Anomalies and Multiple Hypothesis Testing: Evidence from Two Million Trading Strategies

Tarun Chordia, Emory University
Amit Goyal, University of Lausanne
Alessio Saretto, University of Texas at Dallas

1:50 pm

Who is Afraid of Passive Funds?

Wei Jiang, Emory University and NBER
Tao Li, University of Florida
Yuehua Tang, University of Florida

2:15 pm

Bitcoin Price Discovery (slides)

Eric Ghysels, University of North Carolina at Chapel Hill
Giang Nguyen, The Pennsylvania State University

2:40 pm

Break

3:10 pm

Private Information Distributions in Securities Markets (slides)

Kerry Back, Rice University
Kevin Crotty, Rice University
Tao Li, City University of Hong Kong

3:35 pm

Short-Term Shocks & Long-Term Investment

Stephen J. Terry, University of Michigan and NBER
Itay Saporta-Eksten, Tel Aviv University

4:00 pm

Machine Learning Methods for Solving and Estimating Heterogeneous Agent Models with Aggregate Shocks

Jesús Fernández-Villaverde, University of Pennsylvania and NBER
Pablo A. Guerrón-Quintana, Boston College

4:25 pm

Gradient-Based Structural Estimation

Victor Duarte, University of Illinois Urbana-Champaign

4:50 pm

Adjourn