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

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 (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