Big Data and High-Performance Computing for Financial Economics

Toni Whited and Mao Ye, Organizers

July 16-17, 2021

Format: 20 minutes for presenter; 15 minutes for the discussant; and 10 minutes of Q&A

Conference Code of Conduct

Friday, July 16
10:55 am
Welcome
11:00 am
Laurent E. Calvet, EDHEC Business School
John Y. Campbell, Harvard University and NBER
Francisco Gomes, London Business School
Paolo Sodini, Stockholm School of Economics

The Cross-Section of Household Preferences (slides)
Discussant: Johannes Stroebel, New York University and NBER
11:45 am
Victor Duarte, University of Illinois at Urbana-Champaign
Julia Fonseca, University of Illinois at Urbana-Champaign
Aaron S. Goodman, Massachusetts Institute of Technology
Jonathan A. Parker, Massachusetts Institute of Technology and NBER

Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle
Discussant: Alexander Michaelides, Imperial College London
12:30 pm
Break
1:00 pm
Terrence Hendershott, University of California at Berkeley
Dmitry Livdan, University of California at Berkeley
Norman Schurhoff, University of Lausanne

Do We Need Traditional Dealers in OTC Markets?
Discussant: Bruno Biais, HEC Paris
1:45 pm
Matteo Aquilina, Financial Stability Board
Eric Budish, University of Chicago and NBER
Peter O'Neill, Financial Conduct Authority

Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates
Discussant: Albert Menkveld, VU University Amsterdam
2:30 pm
Break
3:00 pm
Chris Florakis, University of Liverpool
Christodoulos Louca, Cyprus University of Technology
Roni Michaely, University of Hong Kong
Michael Weber, University of Chicago and NBER

Cybersecurity Risk
Discussant: Scott R. Baker, Northwestern University and NBER
3:45 pm
Marco Grotteria, London Business School
Roberto Gomez Cram, London Business School

Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak
Discussant: Jesse M. Shapiro, Harvard University and NBER
4:30 pm
Adjourn
Saturday, July 17
11:00 am
Danqi Hu, Northwestern University
Charles M. Jones, Columbia University
Xiaoyan Zhang, Tsinghua University

When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models
Discussant: Karl Diether, Brigham Young University
11:45 am
Vincent Bogousslavsky, Boston College
Vyacheslav Fos, Boston College
Dmitriy Muravyev, Michigan State University

Informed Trading Intensity
Discussant: Tarun Chordia, Emory University
12:30 pm
Break
1:00 pm
Markus K. Brunnermeier, Princeton University and NBER
Rohit Lamba, Pennsylvania State University
Carlos Segura-Rodriguez, Banco Central de Costa Rica

Inverse Selection
Discussant: Hanming Fang, University of Pennsylvania and NBER
1:45 pm
Alejandro Lopez-Lira, University of Florida
Nikolai Roussanov, University of Pennsylvania and NBER

Do Common Factors Really Explain the Cross-Section of Stock Returns? (slides)
Discussant: Stefano Giglio, Yale University and NBER
2:30 pm
Break
Four Research Proposals
3:00 pm
Sophia Zhengzi Li, Rutgers University
Yushan Tang, Rutgers University

Forecasting Realized Covariance via Big Data and Machine Learning
3:25 pm
Paolo Pasquariello, University of Michigan
Mirela Sandulescu, University of Michigan

Speculation and Liquidity in Stock and Bond Markets
3:50 pm
Nicolas Christin, Carnegie Mellon University
Bryan Routledge, Carnegie Mellon University
Kyle Soska, Carnegie Mellon University
Ariel Zetlin-Jones, Carnegie Mellon University

Using Big Data to Understand Cryptocurrency Derivatives Markets and Regulation
4:15 pm
Toomas Laarits, New York University
Jeffrey Wurgler, New York University and NBER

Analyzing Clickstream Data: The Information Set of Online Investors (slides)
4:40 pm
Adjourn