Big Data and High-Performance Computing for Financial Economics

Toni Whited and Mao Ye, Organizers

July 13, 2019

Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA

Conference Code of Conduct

Friday, July 12
7:00 pm
Dinner at Bambara Restaurant (across the street from the Royal Sonesta Hotel)
25 Edwin H. Land Blvd.
Cambridge, MA
Saturday, July 13
FORMAT: Each presenter has 20 minutes; 10 minutes for general discussion.
8:00 am
Coffee and Pastries
8:30 am
Bill Gropp, Director and Chief Scientist, National Center for Supercomputing Applications
Experts from Extreme Science and Engineering Discovery Environment
Introduction to high-performance computing resources
9:30 am
S. P. Kothari, Chief Economist, SEC
Policy Challenges and Research Opportunities in the Era of Big Data
10:30 am
11:00 am
Parkview Room
Philipp Renner, University of Lancaster
Simon Scheidegger, University of Lausanne

Machine Learning for Dynamic Incentive Problems
11:30 am
Parkview Room
Serena Ng, Columbia University and NBER
Simon Lee, Columbia University

An Econometric View of Algorithmic Subsampling (slides)
12:00 pm
Lunch - Somerset Room
1:00 pm
Parkview Room
Stephen Boyd, Stanford University
Veronika K. Pool, Vanderbilt University
Noah Stoffman, Indiana University
Scott E. Yonker, Cornell University

The Daily Trading of Mutual Funds
1:30 pm
Parkview Room
Tyler Beason, Virginia Tech
Sunil Wahal, Arizona State University

Trading Algorithms
2:00 pm
Parkview Room
Bart Zhou Yueshen, INSEAD
Jinyuan Zhang, University of California at Los Angeles

Dynamic Trade Informativeness
2:30 pm
2:45 pm
Parkview Room
Juhani T. Linnainmaa, Dartmouth College and NBER
Alessandro Previtero, Indiana University and NBER
Wei Wang, Indiana University

Twitter Bots, Corporations, and Financial Markets.
3:15 pm
Parkview Room
William Cong, Cornell University and NBER
Nadya Malenko, University of Michigan

A Textual-Factor Approach to Measuring Corporate Governance
3:45 pm
Parkview Room
Arpit Gupta, New York University
Theresa Kuchler, New York University and NBER
Venky Venkateswaran, New York University and NBER

Search in Real Estate Markets: Research Proposal
4:15 pm