Big Data and High-Performance Computing for Financial Economics
Organized by Toni Whited and Mao Ye
Supported by the National Science Foundation
July 16, 2022
Cambridge, MA and Zoom
Friday, July 15
6:30 pm
Dinner at Royal Sonesta Hotel
Saturday, July 16
8:30 am
Continental Breakfast
Retail Trading
9:00 am

Payment for Order Flow and Asset Choice

Thomas Ernst, University of Maryland, College Park
Chester S. Spatt, Carnegie Mellon University and NBER

Discussant:
Neil Pearson, University of Illinois Urbana-Champaign
9:45 am

Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect

Cheng Luo, Farallon Capital Management
Enrichetta Ravina, Northwestern University
Marco C. Sammon, Harvard University
Luis M. Viceira, Harvard University and NBER

Discussant:
Michaela Pagel, Washington University in St. Louis and NBER
10:30 am
Break
Statistical Learning in Asset Pricing
10:50 am

The Statistical Limit of Arbitrage

Rui Da, University of Chicago
Stefan Nagel, University of Chicago and NBER
Dacheng Xiu, University of Chicago and NBER

Discussant:
Andreas Neuhierl, Washington University in St. Louis
11:35 am

Machine-Learning the Skill of Mutual Fund Managers (slides)

Ron Kaniel, University of Rochester
Zihan Lin, Stanford University
Markus Pelger, Stanford University and NBER
Stijn Van Nieuwerburgh, Columbia University and NBER

Discussant:
Alberto G. Rossi, Georgetown University
12:20 pm
Lunch - Charles Room
Alternative Data in Corporate Finance
1:20 pm

Invisible Primes: Fintech Lending with Alternative Data

Marco Di Maggio, Imperial College London
Dimuthu Ratnadiwakara, Federal Reserve Bank of Richmond
Don Carmicheal, Upstart

Discussant:
Manju Puri, Duke University and NBER
2:05 pm

Intellectual Property Protection Lost and Competition: An Examination Using Machine Learning

Utku A. Acikalin, TOBB University of Economics and Technology
Tolga Caskurlu, University of Amsterdam
Gerard Hoberg, University of Southern California
Gordon M. Phillips, Dartmouth College and NBER

Discussant:
Alexander Ljungqvist, Stockholm School of Economics
2:50 pm
Break
High-Performance Computing
3:10 pm

Programming FPGAs for Economics: An Introduction to Electrical Engineering Economics

Bhagath Cheela, University of Pennsylvania
André DeHon, University of Pennsylvania
Jesús Fernández-Villaverde, University of Pennsylvania and NBER
Alessandro Peri, University of Colorado Boulder

Discussant:
Victor Duarte, University of Illinois Urbana-Champaign
3:55 pm

The Dark Side of the Cloud

Ran Chang, Shanghai Jiao Tong University
Zhi Da, University of Notre Dame

Discussant:
Christina Zhu, University of Pennsylvania
4:40 pm
Adjourn