Erasmus School of Economics
Erasmus School of Economics

FinEML Conference 2025

Financial Econometrics Meets Machine Learning
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We are pleased to announce the 3rd edition of the FinEML (Financial Econometrics Meets Machine Learning) Conference to be held on 23 and 24 October 2025 at Erasmus University Rotterdam, Netherlands. The conference is organised jointly by the Erasmus University Rotterdam, the University of Geneva, and Università della Svizzera Italiana.

Date
Thursday 23 Oct 2025, 09:00 - Friday 24 Oct 2025, 18:00
Type
Conference
Location
Campus Woudestein
Location

Erasmus University Rotterdam

Ticket information

250 EURO conference fee

Registration Add to calendar

Topics

Submissions on the following topics are welcome:

  • Asset Pricing: Novel econometric and machine learning approaches for asset pricing, including risk factor discovery, portfolio optimization, and advanced modeling of the stochastic discount factor.
  • Big Data: Factor models and sparse methods tailored to large-scale, high-dimensional financial data.
  • Forecasting: Novel forecasting techniques covering time series analysis, predictive modeling, and risk assessment in dynamic financial markets.
  • Macro Finance: Econometrics and machine learning methods for macro-financial analyses, encompassing yield curve forecasting, text-based insights from central bank communications, projection models, and nowcasting techniques.
  • Option Pricing: Data-driven advances in implied volatility forecasting, option return predictability, tail risk estimation, and extracting forward-looking investor beliefs.
  • Theoretical Machine Learning: Focusing on learning theory, optimisation techniques, complexity analysis, and statistical guarantees that underpin machine learning algorithms with applications in finance.

Speakers

Confirmed keynote speakers are: Patrick Gagliardini (USI), Andrea Vedolin (Boston University) and Maryam Farboodi (MIT). 

Moreover, FinEML will host one of the invited lectures by the Society for Financial Econometrics (SoFiE). This year, the invited lecturer is Yacine Ait-Sahalia (Princeton University).

The Invited Lecture Series was launched in 2024 in Montreal, with Robert Engle and Lars Peter Hansen delivering the inaugural lectures.

Programme

WhenWhatWhere
08:30‑09:00Registration with coffee 
09:00-09:05 WelcomeCT-1
09:05-10:05Keynote 1: Patrick Gagliardini: Extracting Statistical Factors when Betas are Time VaryingCT-1
10:05-10:30 Coffee Break 
10:30-11:45Parallel Sessions 
 

Session 1: Portfolio Choice:

  • Fabio Trojani: A comprehensive machine learning framework for dynamic portfolio choice with transaction costs
  • Paolo Guasoni: Evaluating and Mitigating Transaction Costs with Recurrent Neural Networks
  • Andre B.M. Souza: How to Bet on Winners (and Losers)
C1-3
 

Session 2: Macro-Finance:

  • Sicco Kooiker: Self-driving neural networks for yield curve modelling
  • Lukas Vacha: The Dynamic Persistence of Economic Shocks
  • Jens Kvaerner: How and Why Has the Term Structure of Equity Risk Premia Changed Over 150 Years?
C1-4
11:45-13:20Lunch and Poster Session: 
 
  • Ali Moin Aaron: Global News Networks and Return Predictability
  • Stefan Popa: One global yield curve model to rule them all
  • Matteo Valle: Environmental regulation risk and asset prices
  • Dennis Umlandt: Common Factors in Currency Characteristics
  • Oliver Budras: Conformal Prediction Premium: Estimating Uncertainty in Machine-Learning Return Predictions
  • Simon Trimborn: The geographic origins of blockchain transactions
  • Hélèn Mathurin: Pricing of green regulatory and technological risks
  • Lukáš Janásek: Gradient-based reinforcement learning for dynamic quantile models
  • Diana Komis: Portfolio optimization using Minimum Spanning Tree combined with Adaptive Graph Convolutional Recurrent Networks
  • Jiaxun Liu: Macroeconomic Factors in Bond Risk Premia: Quantile Machine Learning and Factor Analysis
  • Luuk de Wit: Clustering-Based Estimation of Score-Driven Models for Extremes
 
13:20-14:35Parallel Sessions 
 

Session 3: Forecasting:

  • Elliot Beck: Forecasting Inflation With the Hedged Random Forest
  • Eghbal Rahimikia: Re(Visiting) Large Language Models in Finance
  • Rehim Kilic: Virtue or Vice? Complexity and Exchange Rate Predictability
C1-3
 

Session 4: SDF:

  • Hao Ma: Transaction Cost-Aware Stochastic Discount Factors
  • Emanuele Luzzi: Learning the Pricing Kernel via Nonparametric Option Portfolios
  • Stefan Voigt: Uncertainty everywhere: integrating conceptual uncertainty in the stochastic discount factor
C1-4
14:35-15:00 Coffee Break 
15:00-16:40Plenary Session:CT-1
 
  • Paul Schneider: Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
  • Damir Filipovic:Kernel Density Machines
  • Elvezio Ronchetti: A 30 Year Journey On the Paths of Steepest Ascent
  • Olivier Scaillet: Green Silence: Double machine learning carbon emissions under sample selection bias
 
16:40-17:10Coffee Break 
17:10-18:10Keynote 2: Maryam Farboodi: Do Markets Believe in Transformative AI?CT-1
19:00-21:00Conference Dinner 

WhenWhatWhere
08:30‑09:00Coffee and snacks 
09:00‑10:00SoFiE Invited Lecture: Yacine Ait-Sahalia: So Many Jumps, So Little NewsCT-1
10:00‑10:30Coffee Break 
10:30‑12:10Parallel Sessions 
 

Session 5: Option Pricing

  • Onno Kleen: Equity option prices and firm characteristics
  • Carsten Chong: Do Equity and Options Markets Agree about Volatility
  • Maria Grith: Oblique Forests with Local Linear Leaves for Equity Option Implied Volatility Forecasting
  • Tobias Sichert: Betting on Stocks with Options?
C2-1
 

Session 6: Big Data

  • Wei Miao: High-dimensional censored MIDAS logistic regression for corporate survival forecasting
  • Enzo D'Innocenzo: Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference
  • Jihyun Kim: Heavy Factor Models
  • Daniele Massacci: Estimation and Inference in Large Dimensional Threshold Factor Models with Weaker Loadings
C2-2
12:10‑13:40Lunch 
13:40‑14:55Parallel Sessions 
 

Session 7: Asset Pricing 1

  • Daniele Bianchi: Weak Signals, Small Bets: A Portfolio Perspective on Firm Characteristics
  • Cisil Sarisoy: Testing Model-Based Contributions in Misspecified Asset Pricing Models
  • Attila Sarkany: Tailoring the Portfolio Choice: Time to Move Beyond the Average
C2-1
 

Session 8 : Volatility

  • Alev Atak: High-Frequency Behavioral Signals of Volatility: Financial Literacy and Tone Divergence
  • Serge Nyawa: A Multi-dimensional Perspective in Connecting Threshold Models and Trees’ Regressions for Covolatility Matrix Forecasting
  • Pedro Valls Pereira: Forecasting Intraday Volatility and Densities using Deep Learning
C2-2
14:55‑15:20Coffee Break 
15:20‑17:00Parallel Sessions 
 

Session 9: Theoretical ML

  • Christos Revelas: When do Random Forests work?
  • Mehmet Сaner: A general class of model-free dense precision matrix estimators
  • Philippe Goulet Coulombe: Dual Interpretation of Machine Learning Forecasts
  • Ruixun Zhang: Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
C2-1
 

Session 10: Asset Pricing 2

  • Shuhua Xiao: Schrödinger's Sparsity in the Cross-Section of Stock Returns
  • Dennis Umlandt: Time-Varying Factor Risk Premia: A GMM-Based Filtering Approach
  • Junye Li Dynamic: Currency Mispricing and Arbitrage Profits
  • Daniel Buncic: Simplified: A Closer Look at the Virtue of Complexity in Return Prediction
C2-2
17:00‑17:30Coffee Break 
17:30‑18:30Keynote 4: Andrea Vedolin: Expectations and Asset PricesCT-1
18:30‑20:00 Reception drinks at Erasmus Paviljoen  

Download the programme

SoFiE Invited Lecture Series

FinEML will host an Invited Lecture Series from The Society for Financial Econometrics. The invited lecturer will be Yacine Ait-Sahalia.

Poster Session

During the workshop, there will be a poster session open to PhD students and junior researchers. Please indicate your willingness to present a poster during the submission process.

Important Dates

  • Submission deadline: 20 June 2025
  • Registration deadline: 12 September 2025
  • Workshop date: 23 and 24 October 2025

Registration

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Sponsors

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Local Organising committee

  • Mariia Artemova
  • Gustavo Freire
  • Maria Grith
  • Onno Kleen
  • Rasmus Lönn
  • Alberto Quaini
  • Anastasija Tetereva
  • Evgenii Vladimirov

Programme committee 

Caio AlmeidaPrinceton University
Mariia ArtemovaErasmus University Rotterdam
Jozef BarunikCharles University in Prague
Christian BrownlessUniversitat Pompeu Fabra
Andrea BucciUniversity of Macerata
Mehmet CanerNorth Carolina State University
Marcelo FernandesFGV Sao Paulo
Gustavo FreireErasmus University Rotterdam
Maria GrithErasmus University Rotterdam
Ekaterina KazakUniversity of Manchester
Onno KleenErasmus University Rotterdam
Sébastien LaurentAix Marseille
Rasmus LönnErasmus University Rotterdam
Daniele MassacciKing's College London
Marcelo MedeirosUIUC
Alberto QuainiErasmus University Rotterdam
Mirco RubinEDHEC Business School
André Portela SantosCUNEF Madrid
Cisil SarisoyFRB
Olivier ScailletUniversity of Geneva
Paul SchneiderUniversità della Svizzera Italiana
Anastasija TeterevaErasmus University Rotterdam
Simon TrimbornUniversity of Amsterdam
Fabio TrojaniUniversity of Geneva
Evgenii VladimirovErasmus University Rotterdam

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