New Challenges for Big Data in Economics and Finance Conference

November 11 - 12, 2016, The Fields Institute

Location: Fields Institute, Room 230

Description

The topic of the conference concerns the new datasets becoming available in Economics and Finance, and the modelling and statistical techniques to treat these data. Typical examples are scanned data on household expenditures available for millions of customers, in real time and for a large number of goods, the individual preferences Net data set type, or the continuous geolocation of drivers by GPS used to store the risk of accidents for car insurance. These data were not available before. They require new structural economic models, but also new structural tools for analyzing the large datasets ("big data" framework).

Abstract Submission Link:

Abstract Submission for Invited Speakers

Schedule

Friday, November 11th, 2016
09:00 to 09:40	Introduction to Machine Learning, Application to Hawkes Processes Stéphane Gaïffas, CMAP - Ecole polytechnique
09:40 to 10:20	High-dimensional Bayesian inference using quasi-likelihoods Yves Atchade, University of Michigan
10:20 to 10:50	Coffee Break
10:50 to 11:30	Forecasting economic activity in data-rich environment Dalibor Stevanovic, Université du Québec à Montréal (UQÀM)
11:30 to 12:10	Double IV Estimation of Factor Model with Application to Big Data Christian Gourieroux, University of Toronto
12:10 to 13:20	Lunch Break, simultaneously with a Poster Session
13:20 to 14:00	Approximate Likelihoods Nancy Reid, University of Toronto
14:00 to 14:40	Statistical Inference on Manifolds Ivana Komunjer, University of California at San Diego
14:40 to 15:20	What Do Measures of Real-time Corporate Sales Tell us About Earnings Surprises and Post-Announcement Returns? Ronnie Sadka, Boston College
15:20 to 16:00	Liquidity Risk and Investor Behavior: Issues, Data and Models Serge Darolles, Université Paris-Dauphine
16:00 to 16:20	Coffee Break
16:20 to 17:20	Panel with professionals Gaelle Le Fol, Université Paris - Dauphine, Axel Pierron, Opimas , Hicham Hajhamou, AQR Capital Management

Saturday, November 12th, 2016
09:00 to 09:45	Program Evaluation and Causal Inference with High-Dimensional Data Ivan Fernandez-Val, Boston University
09:45 to 10:30	The Risk of Machine Learning Alberto Abadie, Massachusetts Institute of Technology
10:30 to 12:00	Coffee Break
11:00 to 11:45	Dynamic Functional Principal Component Analysis: Optimal Dimension Reduction for Functional Time Series Marc Hallin, Université Libre de Bruxelles
11:45 to 12:30	Validating Market Risk Factors and Forecasting Bond Risk Premia using Innovated Factor Models Jianqing Fan, Princeton University

Invited Speakers

Name	Affiliation
Alberto Abadie	Massachusetts Institute of Technology
Yves Atchade	University of Michigan
Serge Darolles	Université Paris-Dauphine
Jianqing Fan	Princeton University
Ivan Fernandez-Val	Boston University
Stéphane Gaïffas	CMAP - Ecole polytechnique
Christian Gourieroux	University of Toronto
Hicham Hajhamou	AQR Capital Management
Marc Hallin	Université Libre de Bruxelles
Ivana Komunjer	University of California at San Diego
Gaelle Le Fol	Université Paris - Dauphine
Sanjog Misra	University of Chicago
Axel Pierron	Opimas
Nancy Reid	University of Toronto
Ronnie Sadka	Boston College

Registered Participants

Name	Affiliation
Alberto Abadie	Massachusetts Institute of Technology
Joseph Adams	University of Toronto
Victor Aguirregabiria	University of Toronto
Nathalie Akakpo	UPMC/UdeM
Alexandra Alvares	University of Toronto
Diego Amaya	Wilfrid Laurier University
Shafquat Arefeen	Ontario Securities Commission
Yves Atchade	University of Michigan
Abhishek Bajpai	Shri Ramswaroop Memorial University
Maygol Bandehali	York University
Louis Belisle	University of Toronto
Saksham Bhatnagar	University of Waterloo
Clemonell Lord Baronat Bilayi-Biakana	University of Ottawa
Devyani Biswal	University of Ottawa
Sarbani Biswas	Royal Bank of Canada
Bill Bobey	CPPIB
Jonathan Briggs	CPPIB
Bernard Brooks	Rochester Institute of Technology
Martin Burda	University of Toronto
Rolando Campusano	University of Toronto
Jinghua Cao	Scotiabank
Lichen Chen	University of Waterloo
Yingchi Chen	University of Toronto
Stephanie Choi	University of Toronto
JoonHwan Cho	University of Toronto
Youssouph Cissokho	University of Ottawa
Aurelia Crant	Wayne State University
Shaun Cumby	Enfield Capital
oana damian	Ontario Teachers' Pension Plan
Anthony Damtsis	Ontario Securities Commission
Serge Darolles	Université Paris-Dauphine
Remi Daviet	University of Toronto
Antoine Djogbenou	Queen's University
Prosper Dovonon	Concordia University
Julian Dyer	University of Toronto
Ivan Fernandez-Val	Boston University
Alexandra Florescu	Signature Global Asset Management
Sebastien Forte	Royal Bank of Canada
Stephane Gaiffas	Ecole Polytechnique
Silvia Goncalves	Western University
Gabriela Gonzalez Martinez	York University
Christian Gourieroux	University of Toronto
Jiaying Gu	University of Toronto
Danqiao Guo	University of Waterloo
Hicham Hajhamou	AQR Capital Management
Marc Hallin	Université Libre de Bruxelles
Ramin Hamedi	University of Toronto
Sahar Hamedi zaviehgard	University of Toronto
Bing Han	University of Toronto
Ian Herzog	University of Toronto
Matthew Hong	University of Toronto
Bill Huang	University of Toronto
Sophia Hua	University of Toronto
Sayed Hussain	University of Toronto
Faisal Ibrahim	University of Toronto
Luciano Ieraci	Institute of Health Policy Management and Evaluation
Daniel Indacochea	University of Toronto
Sebastian Jaimungal	University of Toronto
Yoontae Jeon	University of Toronto
Jennifer Jordache
Hany Kashani	Toronto General Hospital
Niloofar Ketabi	Degroote School of Business
Akram Khaleghei	Queen's University
Ivana Komunjer	University of California at San Diego
Mustafa Koroglu	University of Guelph
Neeraj Kumar	Shri Ramswaroop Memorial University INDIA
Sanjeev Kumar	Dr. B.R. Ambedkar University, Agra
Oksana Kutova	National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Intitute"
Gabriel-Jose Labrousse	University of Toronto
Chi-Guhn Lee	University of Toronto
Gaelle Le Fol	Université Paris - Dauphine
Gang Li	Finance Department
Paul Lim	University of Toronto
Sebastian Li	University of Toronto
Aurora Liu	York University
Grace Liu	University of Toronto
Jia Liu	TD
Peng Liu	University of Toronto
Daniel Lumanauw	University of Waterloo
Yihan(Thomas) Luo	University of Toronto
Xin Man	McMaster University
Mathieu Marcoux	University of Toronto
Aude Ines Mbonda Tiekwe	Stellenbosch University
Angelo Melino	University of Toronto
Catherine Michaud Leclerc	University of Toronto
Boriana Miloucheva	University of Toronto
Alin Morariu	University of Toronto
Lealand Morin	Capital One
Jonathan Mostovoy	University of Toronto
Kamyar Moud	Columbia University
Ismael Mourifie	University of Toronto
Shaun Olson	Ontario Securities Commission
Tom Parker	University of Waterloo
Valentin Patilea	Ensai
Liudmyla Pavlenko	National technical university of Ukraine KPI
Chengwei Qin	McMaster University
Melanie Que	Toronto Metropolitan University
Javad Rastegari Koopaei	Western University
Peang Ratana	Pannasastra University of Cambodia
Nancy Reid	University of Toronto
Oleksandr Romanko	University of Toronto
Thomas Russell	University of Toronto
Nikolay Ryabkov
Ronnie Sadka	Boston College
Christoph Schiller	University of Toronto
Torsten Scholak	Unata
Matthew Scicluna	Equitable Life of Canada
Alessandro Selvitella	McMaster University
Suhail Shergill	Scotiabank
Affan Shoukat	York University
Carolina Simoes Gomes	University of Toronto
Dhruv Sinha	University of Toronto
Dong Song	EDHEC business school
Matt Sourisseau	University of Toronto
Eduardo Souza-Rodrigues	University of Toronto
Dalibor Stevanovic	Université du Québec à Montréal (UQÀM)
William Stewart	RBC Wealth Management
Razvan Sufana	York University
Minjee Sun	University of Toronto
Anton Svendrovski	Toronto Metropolitan University
Ken Tam	University of Toronto
Stephen Tanny	University of Toronto
Anne-sophie THIERY	LCL
Yihui Tian	University of Toronto
Shawn Unger	University of Toronto
Anthony Vaz	Great West Life
Stanislav Volgushev	University of Toronto
Justin Wan	University of Waterloo
Yuanyuan Wan	University of Toronto
Naomi Lynne Wolfson	TD
Bill Woloschuk	Scotiabank
Tom Wu	Illinois Institute of Technology
Yani Wu	Ontario Securities Commission
Farhan Yahya	University of Toronto
Fenghao Yang	York University
Jun Yang	University of Toronto
Shuai Yang	University of Toronto
Jiada Ye	University of Toronto
Bo Zhang	Arts and Science
Thomas Zhang	University of Toronto
Clarice Zhao	University of Toronto
Farshid Zoghalchi	University of Toronto
Adnan Zuberi	The Fields Institute