Big Data and High-Performance Computing for Financial Economics

Toni Whited and Mao Ye, Organizers

July 14, 2018

Parkview Room

Royal Sonesta Hotel

Conference Code of Conduct

Summer Institute 2018 master schedule

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, Columbia University Ask EDGAR: Insights into Asset Management from Big Data and Natural Language Processing (slides)
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 (slides)
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 (slides)
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