Big Data and High-Performance Computing for Financial Economics
Toni Whited and Mao Ye, Organizers
July 16, 2022
Supported by National Science Foundation
Parkview Room
Cambridge, MA and Zoom
| Friday, July 15 | ||||
| 6:30 pm | Dinner at Royal Sonesta Hotel | |||
| Saturday, July 16 | ||||
| 8:30 am | Continental Breakfast | |||
| Retail Trading | ||||
| 9:00 am |
Thomas Ernst, University of Maryland Chester S. Spatt, Carnegie Mellon University and NBER Payment for Order Flow and Asset Choice
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| 9:45 am |
Cheng Luo, Farallon Capital Management Enrichetta Ravina, Federal Reserve Bank of Chicago Marco C. Sammon, Harvard University Luis M. Viceira, Harvard University and NBER Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect
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| 10:30 am | Break | |||
| Statistical Learning in Asset Pricing | ||||
| 10:50 am |
Rui Da, University of Chicago Stefan Nagel, University of Chicago and NBER Dacheng Xiu, and NBER The Statistical Limit of Arbitrage
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| 11:35 am |
Ron Kaniel, University of Rochester Zihan Lin, Stanford University Markus Pelger, Stanford University and NBER Stijn Van Nieuwerburgh, Columbia University and NBER Machine-Learning the Skill of Mutual Fund Managers
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| 12:20 pm | Lunch - Charles Room | |||
| Alternative Data in Corporate Finance | ||||
| 1:20 pm |
Marco Di Maggio, Imperial College Business School Dimuthu Ratnadiwakara, Louisiana State University Don Carmicheal, Upstart Invisible Primes: Fintech Lending with Alternative Data
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| 2:05 pm |
Utku A. Acikalin, TOBB University of Economics and Technology Tolga Caskurlu, University of Amsterdam Gerard Hoberg, University of Southern California Gordon M. Phillips, Dartmouth College and NBER Intellectual Property Protection Lost and Competition: An Examination Using Machine Learning
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| 2:50 pm | Break | |||
| High-Performance Computing | ||||
| 3:10 pm |
Bhagath Cheela, University of Pennsylvania André DeHon, University of Pennsylvania Jesús Fernández-Villaverde, University of Pennsylvania and NBER Alessandro Peri, University of Colorado Boulder Programming FPGAs for Economics: An Introduction to Electrical Engineering Economics
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| 3:55 pm |
Ran Chang, Shanghai Jiao Tong University Zhi Da, University of Notre Dame The Dark Side of the Cloud
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| 4:40 pm | Adjourn | |||