Big Data and High-Performance Computing for Financial Economics
Organized by Toni Whited and Mao Ye
Supported by the National Science Foundation
July 13, 2024
Royal Sonesta Hotel, Cambridge, MA and Zoom
Format: 20 minutes for the presenter; 15 minutes for the discussant; 10 minutes Q&A.
Saturday, July 13
8:00 am
Coffee and Pastries
8:29 am
Textual Data and Narrative Economics
8:30 am

Emotions and Subjective Crash Beliefs

William N. Goetzmann, Yale University and NBER
Dasol Kim, U.S. Department of the Treasury
Robert J. Shiller, Yale University and NBER

Discussant:
Ian Martin, London School of Economics and Political Science (LSE)
9:15 am

Narrative Attention Pricing

Hojoon Lee, Boston College
Xiaoxia Lou, University of Washington
Gideon Ozik, EDHEC Business School
Ronnie Sadka, Boston College

Discussant:
Leland Bybee, University of Chicago
10:00 am
Break
10:14 am
AI and Trading
10:15 am

What Does Best Execution Look Like? (slides)

Thomas Ernst, University of Maryland, College Park
Andrey Malenko, Boston College
Chester S. Spatt, Carnegie Mellon University and NBER
Jian Sun, Singapore Management University

Discussant:
Christopher Schwarz, University of California at Irvine
11:00 am

Finfluencers

Ali Kakhbod, University of California, Berkeley
Seyed Mohammad Kazempour, Louisiana State University
Dmitry Livdan, University of California, Berkeley
Norman Schurhoff, University of Lausanne

Discussant:
Chukwuma Dim, The George Washington University
11:45 am

Rationality and Disposition Effect in Algorithmic Trading (slides)

Karolis Liaudinskas, Norges Bank

Discussant:
Lawrence J. Jin, Cornell University and NBER
12:30 pm
Lunch
1:29 pm
Big Data and Corporate Finance
1:30 pm

Partisan Corporate Speech (slides)

Elisabeth Kempf, Harvard University and NBER
William M. Cassidy, Washington University in St Louis

Discussant:
J. Anthony Cookson, University of Colorado Boulder
2:15 pm

Moving Targets

Lauren Cohen, Harvard University and NBER
Quoc H. Nguyen, DePaul University

Discussant:
Tim Loughran, University of Notre Dame
3:00 pm
Break
3:14 pm
Big Data and Generative Models
3:15 pm

Visual Information and AI Divide: Evidence from Corporate Executive Presentations

Sean Cao, University of Maryland, College Park
Yichen Cheng, Georgia State University
Meng Wang, University of South Florida
Yusen Xia, Georgia State University
Baozhong Yang, Georgia State University

Discussant:
Song Ma, Yale University and NBER
4:00 pm

Lookahead Bias in Pretrained Language Models

Suproteem K. Sarkar, University of Chicago
Keyon Vafa, Harvard University

Discussant:
Paul Glasserman, Columbia University
4:45 pm
Adjourn