Big Data and High-Performance Computing for Financial Economics
Toni Whited and Mao Ye, Organizers
July 14, 2018
Supported by National Center for Supercomputing Applications
Parkview Room
Royal Sonesta Hotel
| Saturday, July 14 | ||
| 8:00 am | Continental Breakfast | |
| 8:30 am |
Toni Whited, University of Michigan and NBER HPC for Structural Estimation |
|
| 9:00 am |
Mao Ye, University of Illinois at Urbana-Champaign and NBER Big Data in Finance |
|
| 10:00 am | Break | |
| 10:30 am |
Extreme Science and Engineering Discovery Environment (XSEDE) High-Performance Computing for Financial Economists |
|
| 12:00 pm | Lunch - Riverfront Room | |
| 1:00 pm |
Simona Abis, University of Colorado Boulder Anton Lines, Copenhagen Business School Ask EDGAR: Insights into Asset Management from Big Data and Natural Language Processing |
|
| 1:25 pm |
Tarun Chordia, Emory University Amit Goyal, University of Lausanne Alessio Saretto, University of Texas at Dallas Anomalies and Multiple Hypothesis Testing: Evidence from Two Million Trading Strategies |
|
| 1:50 pm |
Wei Jiang, Emory University and NBER Tao Li, University of Florida Yuehua Tang, University of Florida Who is Afraid of Passive Funds? |
|
| 2:15 pm |
Eric Ghysels, University of North Carolina at Chapel Hill Giang Nguyen, Pennsylvania State University Bitcoin Price Discovery |
|
| 2:40 pm | Break | |
| 3:10 pm |
Kerry Back, Rice University Kevin Crotty, Rice University Tao Li, City University of Hong Kong Private Information Distributions in Securities Markets |
|
| 3:35 pm |
Stephen J. Terry, University of Michigan and NBER Itay Saporta-Eksten, Tel Aviv University Short-Term Shocks & Long-Term Investment |
|
| 4:00 pm |
Jesús Fernández-Villaverde, University of Pennsylvania and NBER Pablo A. Guerrón-Quintana, Boston College Machine Learning Methods for Solving and Estimating Heterogeneous Agent Models with Aggregate Shocks |
|
| 4:25 pm |
Victor Duarte, University of Illinois at Urbana-Champaign Gradient-Based Structural Estimation |
|
| 4:50 pm | Adjourn | |