Event schedule

October 6 (Thursday)

Opening
EN
  • Wolfgang Karl Härdle Humboldt-Universität zu Berlin

  • Jozef Barunik Academy of Sciences and Charles University

  • Milos Kopa Charles University

Quantinar - the p2p knowledge platform
EN
  • Wolfgang Karl Härdle Humboldt-Universität zu Berlin

Crypto-backed P2P Lending
EN
  • Francis Liu Humboldt-Universität zu Berlin

代 DAI the Digital Art Index
EN
  • Min-Bin Lin Humboldt-Universität zu Berlin

Shapley Values - A nonparametric perspective
EN
  • Ratmir Miftachov Humboldt-Universität zu Berlin

Coffee Break
Modelling news-based uncertainty and its impact on the volatility feedback effect
EN
  • Cathy Yi-Hsuan Chen Adam Smith Business School, University of Glasgow

Currency Network Risk
EN
  • Jozef Barunik Academy of Sciences and Charles University

Do Monetary Policy Shocks Impact the Network Structure of the Financial Markets?
EN
  • Petre Caraiani Institute for Economic Forecasting at Romanian Academy

Buy on rumor, sell on news: the effect of news arrivals and investor sentiment on the distribution of abnormal returns
EN
  • Rui Ren Humboldt-Universität zu Berlin

Lunch Break
Stochastic dominance constrained portfolio optimization with distortion risk measures
EN
  • Milos Kopa Charles University

Risk of loss reserving
EN
  • Tomáš Cipra Charles University

Alternative approach to portfolio efficieny using DEA models with diversification
EN
  • Martin Branda Charles University

Measure of stochastic non-dominance
EN
  • Jana Junova Charles University

Coffee Break
GAN Models overview
EN
  • Denis Belomestny Duisburg-Essen University

Adaptive Factor Modeling
EN
  • Matthias Fengler University of St. Gallen

On the statistical theory of deep learning
EN
  • Sophie Langer Technische Universität Darmstadt

Coffee Break
Structural Deep Learning in Conditional Asset Pricing
EN
  • Jianqing Fan Princeton

Optional Activities
Dinner

http://www.restauracemincovna.cz

October 7 (Friday)

Evolution of Hybrid Models Combining Exponential Smoothing and Recurrent Neural Networks for Forecasting Time Series with Complex Seasonality
EN
  • Grzegorz Dudek Czestochowa University of Technology

Simulation and Optimization Models to Assess Sovereign Debt Sustainability
EN
  • Andrea Consiglio Università di Palermo

Selected Results on Statistical Depth
EN
  • Petra Laketa Charles University

Geometry of halfspace depth
EN
  • Stano Nagy Charles University

Coffee Break
The relationship between stablecoin transfers and the returns and trading volume of Bitcoin
EN
  • Lennart Ante Blockchain Research Lab

Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective
EN
  • Yifu Wang Humboldt-Universität zu Berlin

ETF construction on CRIX
EN
  • Konstantin Häusler Humboldt-Universität zu Berlin

Network portfolio with high-dimensionality
EN
  • Zijin Wang Humboldt-Universität zu Berlin

Crypto-Portfolio Optimization with Stochastic Dominance
EN
  • Karel Kozmik Charles University

Lunch Break
Time Varying Persistence ofEconomic Time Series
EN
  • Lukas Vacha Academy of Sciences and Charles University

Numeraire Invariance of the Logarithmic Utility: Price as a Likelihood Ratio of State Price Densities, Risk as a Density Discrepancy, Return as the Relative Entropy, Optimality of Static Portfolios, Bayesian Markets
EN
  • Jan Vecer Charles University

Does non-linear factorization help building a better portfolio?
EN
  • Bruno Spilak Humboldt-Universität zu Berlin

Digging into SGX Reports with Machine Learning
EN
  • Xinwen Ni Humboldt-Universität zu Berlin

Coffee Break
Quantile maximizing portfolio selection
EN
  • Martin Hronec Academy of Sciences and Charles University

Common Idiosyncratic Quantile Risk
EN
  • Matej Nevrla Academy of Sciences and Charles University

Learning Probability Distributions of Economic Variables
EN
  • Lubos Hanus Academy of Sciences and Charles University

Regime-Switching Reinforcement Learning for Portfolio
EN
  • Ilyas Agakishiev Humboldt-Universität zu Berlin

Deep Reinforcement Learning and Portfolio Selection
EN
  • Lenka Nechvatalova Academy of Sciences and Charles University

Robo-advising under rare disasters: inferring an investor's risk aversion
EN
  • Jiawen Liang The University of Glasgow

Closing
EN
  • Wolfgang Karl Härdle Humboldt-Universität zu Berlin

  • Jozef Barunik Academy of Sciences and Charles University

  • Milos Kopa Charles University