Big Data and High-Performance Computing for Financial Economics
Organized by Toni Whited and Mao Ye
Supported by the National Science Foundation
July 13, 2019
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA

Friday, July 12

7:00 pm

Dinner at Bambara Restaurant (across the street from the Royal Sonesta Hotel)
25 Edwin H. Land Blvd.
Cambridge, MA

Saturday, July 13

FORMAT: Each presenter has 20 minutes; 10 minutes for general discussion.

8:00 am

Coffee and Pastries

8:30 am

Bill Gropp, Director and Chief Scientist, National Center for Supercomputing Applications

Experts from Extreme Science and Engineering Discovery Environment
Introduction to high-performance computing resources

9:30 am

S. P. Kothari, Chief Economist, SEC
Policy Challenges and Research Opportunities in the Era of Big Data

10:30 am

Break

11:00 am

Machine Learning for Dynamic Incentive Problems

Philipp Renner, University of Lancaster
Simon Scheidegger, University of Lausanne

11:30 am

An Econometric View of Algorithmic Subsampling (slides)

Serena Ng, Columbia University and NBER
Simon Lee, Columbia University

12:00 pm

Lunch - Somerset Room

1:00 pm

The Daily Trading of Mutual Funds

Stephen Boyd, Stanford University
Veronika K. Pool, Vanderbilt University
Noah Stoffman, Indiana University
Scott E. Yonker, Cornell University

1:30 pm

Trading Algorithms

Tyler Beason, Virginia Polytechnic Institute and State University
Sunil Wahal, Arizona State University

2:00 pm

Dynamic Trade Informativeness

Bart Zhou Yueshen, SMU LKCSB
Jinyuan Zhang, University of California, Los Angeles

2:30 pm

Break

2:45 pm

Twitter Bots, Corporations, and Financial Markets.

Juhani T. Linnainmaa, Dartmouth College and NBER
Alessandro Previtero, Indiana University and NBER
Wei Wang, The Chinese University of Hong Kong, Shenzhen (CUHK–SZ)

3:15 pm

A Textual-Factor Approach to Measuring Corporate Governance

William Cong, Cornell University and NBER
Nadya Malenko, Boston College and NBER

3:45 pm

Search in Real Estate Markets: Research Proposal

Arpit Gupta, New York University
Theresa Kuchler, New York University and NBER
Venky Venkateswaran, New York University and NBER

4:15 pm

Adjourn