Big Data and Securities Markets
Itay Goldstein, Chester S. Spatt, and Mao Ye, Organizers
December 10, 2021
on Zoom.us
| Friday, December 10 | ||||
| 10:25 am | Welcome | |||
| 10:30 am |
Theis I. Jensen, Yale University Bryan T. Kelly, Yale University and NBER Semyon Malamud, Swiss Finance Institute Lasse H. Pedersen, Copenhagen Business School Machine Learning about Optimal Portfolios
|
|||
| 11:15 am |
Lin William Cong, Cornell University and NBER Ke Tang, Tsinghua University Jingyuan Wang, Beihang University Yang Zhang, Beihang University AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI
|
|||
| 12:00 pm | Break | |||
| 12:30 pm |
Terrence Hendershott, University of California at Berkeley Dan Li, Federal Reserve Board Dmitry Livdan, University of California, Berkeley Norman Schurhoff, University of Lausanne Kumar Venkataraman, Southern Methodist University Quote Competition in Corporate Bonds
|
|||
| 1:15 pm |
Robert P. Bartlett III, Stanford University Justin McCrary, Columbia University and NBER Maureen O'Hara, Cornell University The Market Inside the Market: Odd-lot Quotes
|
|||
| 2:00 pm | Break | |||
| 2:30 pm |
Bradford Lynch, University of Chicago Booth Daniel J. Taylor, University of Pennsylvania The Information Content of Corporate Websites
|
|||
| 3:15 pm |
Suzie Noh, Stanford University Eric C. So, Massachusetts Institute of Technology Christina Zhu, University of Pennsylvania Financial Reporting and Consumer Behavior
|
|||
| 4:00 pm |
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 Valuing Financial Data
|
|||
| 4:45 pm | Adjourn | |||