Big Data and High-Performance Computing for Financial Economics
Toni Whited and Mao Ye, Organizers
July 16-17, 2021
Supported by National Science Foundation
Format: 20 minutes for presenter; 15 minutes for the discussant; and 10 minutes of Q&A
| 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
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| 11:45 am |
Victor Duarte, University of Illinois at Urbana-Champaign Julia Fonseca, University of Illinois at Urbana-Champaign Aaron S. Goodman, Vanguard Jonathan A. Parker, Massachusetts Institute of Technology and NBER Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle
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| 12:30 pm | Break | |||
| 1:00 pm |
Terrence Hendershott, University of California at Berkeley Dmitry Livdan, University of California, Berkeley Norman Schurhoff, University of Lausanne Do We Need Traditional Dealers in OTC Markets?
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| 1:45 pm |
Matteo Aquilina, Bank for International Settlements 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
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| 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
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| 3:45 pm |
Marco Grotteria, London Business School Roberto Gomez Cram, New York University Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak
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| 4:30 pm | Adjourn | |||
| Saturday, July 17 | ||||
| 11:00 am |
Danqi Hu, Peking 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
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| 11:45 am |
Vincent Bogousslavsky, Boston College Vyacheslav Fos, Boston College and NBER Dmitriy Muravyev, University of Illinois Urbana-Champaign Informed Trading Intensity
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| 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
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| 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?
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| 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 |
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| 3:25 pm |
Paolo Pasquariello, University of Michigan Mirela Sandulescu, University of North Carolina, Chapel Hill Speculation and Liquidity in Stock and Bond Markets |
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| 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 |
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| 4:15 pm |
Toomas Laarits, New York University Jeffrey Wurgler, New York University and NBER Analyzing Clickstream Data: The Information Set of Online Investors |
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| 4:40 pm | Adjourn | |||