- Date
- Friday 10 Nov 2023, 09:00 - Saturday 11 Nov 2023, 18:00
- Type
- Conference
- Location
- Campus Woudestein
On 10 and 11 November 2023 Erasmus University Rotterdam will host the Financial Econometrics meets Machine Learning (FinEML) conference in Rotterdam. The Conference is organised jointly with University of Geneva, and Università della Svizzera italiana.
Speakers
Confirmed speakers are Svetlana Bryzgalova (London Business School), Jianqing Fan (Princeton University), Patrick Gagliardini (Università della Svizzera italiana) and Fabio Trojani (University of Geneva).
Programme
| When | What | Where | |
|---|---|---|---|
| 09:00‑09:30 | Registration with coffee and snacks | ||
| 09:30‑09:35 | Welcome | ||
| 09:35‑09:35 | Keynote 1: Fabio Trojani | Theil CT-6 | |
| 10:35‑11:00 | Coffee and snacks | ||
| 11:00‑12:30 | Parallel sessions: | ||
| Session 1: Portfolio-learning | Theil C1-1 | ||
| a. Maximilian Göbel: Maximally machine-learnable portfolios b. Andre Santos: Let the machines speak. A comparison of variable selection methods for portfolio choice problems c. Rainer Alexander Schüssler: Ensembles of portfolio rules | |||
| Session 2: Factor models and dimension reduction 1 | Theil C1-2 | ||
| a. Mehmet Caner: Deep learning with nonlinear factor models b. Chuanping Sun: Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach c. Daniele Bianchi: Dynamic variable selection in high-dimensional predictive | |||
| 12:30‑14:00 | Lunch and Poster Session | ||
a. Sven Lehmann: Local predictability in high dimensions | |||
| 14:00‑15:30 | Parallel sessions: | ||
| Session 3: Macroeconomic and financial forecasting | Theil C1-1 | ||
| a.Nour Meddahi: Non-linear time series models and machine learning b.Ekaterina Kazak: Bagged forecast combination for tail risk measures c. Giovanni Ballarin: Reservoir computing for macroeconomic forecasting with mixed | |||
| Session 4: Text data and beliefs | Theil C1-2 | ||
| a. Deniz Erdemlioglu: Mind your language: Market responses to central bank speeches b. Christian Breitung: Global business networks language model. c. Sofonias Korsaye. Investor beliefs and market frictions | |||
| 15:30‑15:45 | Coffee and snacks | ||
| 15:45‑16:45 | Parallel sessions | ||
| Session 5: Investing | Theil C1-1 | ||
| a. Daniel Batista da Silva: Semivolatility managed portfolios b. Haoran Wu: When Bayes-Stein meets machine learning: A generalized approach for portfolio optimization | |||
| 15:45‑16:45 | Session 6: Options 1 | Theil C1-2 | |
| a. Mo Wang: Option mispricing and alpha portfolios b. Evgenii Vladimirov: Autoencoder option pricing models | |||
| 16:45‑17:00 | Break | ||
| 17:00-18:00 | Keynote 2: Patrick Gagliardini | Theil CT-6 | |
19:00 | Dinner Location: De Machinist, Willem Buytewechstraat 45, 3024 BK Rotterdam | ||
| When | What | Where | |
|---|---|---|---|
| 09:15‑09:30 | Coffee and snacks | ||
| 09:30‑10:30 | Keynote 3: Jianqing Fan | ||
| 10:30‑11:00 | Coffee and snacks | Q building, Q-Lounge | |
| 11:00‑12:30 | Parallel Sessions: | ||
| Session 7: Asset pricing: Sparsity | Q building, Room ‘Rotterdam' | ||
| a. Olivier Scaillet: Sparse spanning portfolios and under-diversification with second-order stochastic dominance b. Jiangshan Yang: Time-varying factor selection: A sparse fused GMM approach c. Jad Beyhum: Tuning-free testing of factor regression against factor-augmented sparse alternatives | |||
| Session 8: Factor models and dimension reduction 2 | Q building, Room ‘Delft’ | ||
| a. Hao Ma: Conditional latent factor models via Econometrics-based neural networks b. Daniele Massacci: Modelling large dimensional datasets with Markov switching factor models c. Rohan Sen: Fast empirical scenarios | |||
| 12:30‑14:00 | Lunch | ||
| 14:00‑15:30 | Parallel Sessions: | ||
| Session 9: Estimation and missing data | Q building, Room ‘Rotterdam’ | ||
| a. Frank Kleibergen: Identification-robust inference for risk premia in short panels b. Dobrislav Dobrev: A randomized missing data approach to robust filtering and forecasting c. Benjamin Holcblat: Generalized ESP estimators | |||
| Session 10: Forecasting uncertainty | Q building, Room ‘Delft’ | ||
| a. Alla Petukhina: Multivariate probabilistic forecasting of electricity prices with trading applications b. Rohit Allena: Confident risk premiums and investments using machine learning uncertainties c. Karin Klieber: From reactive to proactive volatility modeling with hemisphere neural networks | |||
| 15:30‑15:45 | Coffee and snacks | ||
| 15:45‑16:45 | Parallel Sessions: | ||
| Session 11: Networks | Q building, Room ‘Rotterdam’ | ||
| a. Simon Trimborn: The wolves of Wallstreetbets. b. Chao Zhang: Graph neural networks for forecasting multivariate realized volatility with spillover effects | |||
| Session 12: Options 2 | Q building, Room ‘Delft’ | ||
| a. Maria Grith: Neural tangent kernel in implied volatility forecasting: A nonlinear functional autoregression approach b. Niels Marijnen: Characteristic function-based factor modelling of affine jump diffusions using options | |||
| 16:45‑17:00 | Break | ||
| 17:00‑18:00 | Keynote 4: Svetlana Bryzgalova | Q building, Q-Lounge | |
| 18:00‑19:30 | Reception | ||
Route and directions
RET is the independent public transport company that serves the southern part of the Randstad conurbation. With the trams or subway of the RET, you can travel to the campus.
From Rotterdam Central Station
- Tram 7, direction Woudestein, stop at ‘Erasmus Universiteit'.
- Tram 21 or 24, direction De Esch. Stop at 'Woudestein'.
- Subway, direction Slinge. Transfer at Beurs, to subway in the direction of Binnenhof, Nesselande or De Terp. Get off the subway at station Kralingse Zoom. This subway is within walking distance (10 minutes) of the campus.
The Woudestein campus is situated near the A16 and easily accessible by car.
- On the A16, from both directions, take exit 25 (Centrum).
- Follow the signs 'Centrum'.
- Turn right at the traffic lights (Burgemeester Oudlaan).
- You will find the Woudestein campus on the right-hand side.
More information
Hotel recommendations
Hotel Emma is located in the heart of Rotterdam. Everything is ''around the corner'' and easy to walk to. But if you want to use public transfer that's no problem.
The tram and subway stop in front of the hotel. You can reach Erasmus University within 20 minutes by subway.
Put down your bags and unwind at Novotel Rotterdam Brainpark, a 4-star business and family-friendly hotel located at business park Brainpark.
Novotel is easy to reach by car and public transport. The Erasmus University can be found opposite of the hotel.
City Hub Rotterdam is located on the unapologetic Witte de Withstraat – in Rotterdam's most vibrant, diverse,and culturally rich neighbourhood. Home to some of the city's most popular restaurants, bars, and art venues. You'll be spoilt for choice for an action-packed stay.
The subway is around the corner. You can reach Erasmus University within 20 minutes by subway.
Stay overnight in the vibrant heart of Rotterdam at Bilderberg Parkhotel Rotterdam. The hotel boasts a prime location within walking distance of the Museumpark and the countless bars and restaurants on the Witte de Withstraat.
Central Station is only a short stroll away. With the subway across the street, you can reach the Erasmus University within 20 minutes.
Registration
The registration fee for this conference is 250 Euro. If you wish to attend the conference, please register below. After you click on 'Submit' you will be redirected to a payment page to finalise your registration.
Please note that your registration will not be completed until your payment has been received.
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