Big Data and Securities Markets

Itay Goldstein, Chester S. Spatt, and Mao Ye, Organizers

December 10, 2021

on Zoom.us

Conference Code of Conduct

Friday, December 10
10:25 am
Welcome
10:30 am
Theis I. Jensen, Copenhagen Business School
Bryan T. Kelly, Yale University and NBER
Semyon Malamud, Swiss Finance Institute
Lasse H. Pedersen, Copenhagen Business School

Machine Learning about Optimal Portfolios
Discussant: Jules H. van Binsbergen, University of Pennsylvania and NBER
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
Discussant: Agostino Capponi, Columbia University
12:00 pm
Break
12:30 pm
Terrence Hendershott, University of California at Berkeley
Dan Li, Federal Reserve Board
Dmitry Livdan, University of California at Berkeley
Norman Schurhoff, University of Lausanne
Kumar Venkataraman, Southern Methodist University

Quote Competition in Corporate Bonds
Discussant: Edie Hotchkiss, Boston College
1:15 pm
Robert P. Bartlett III, University of California at Berkeley
Justin McCrary, Columbia University and NBER
Maureen O'Hara, Cornell University

The Market Inside the Market: Odd-lot Quotes (slides)
Discussant: Robert Battalio, University of Notre Dame
2:00 pm
Break
2:30 pm
Bradford Lynch, University of Pennsylvania
Daniel J. Taylor, University of Pennsylvania

The Information Content of Corporate Websites (slides)
Discussant: Christian Leuz, University of Chicago and NBER
3:15 pm
Suzie Noh, Stanford University
Eric C. So, Massachusetts Institute of Technology
Christina Zhu, University of Pennsylvania

Financial Reporting and Consumer Behavior
Discussant: Simona Abis, Columbia University
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
Discussant: Vincent Glode, University of Pennsylvania
4:45 pm
Adjourn