Erasmus School of Economics
Erasmus School of Economics

FinEML Conference 2024 at USI Lugano

Financial Econometrics Meets Machine Learning
University USI Lugano

We invite you to the second edition of the Financial Econometrics Meets Machine Learning (FinEML) conference. After the successful first edition in Rotterdam, the second edition will be held at Università della Svizzera Italiana (Lugano). 

Date
Friday 1 Nov 2024, 09:00 - Saturday 2 Nov 2024, 18:00
Type
Conference
Location

University of Lugano

Registration Add to calendar

The FinEML conference is a cooperation between the Econometric Institute at Erasmus University Rotterdam, Università della Svizzera Italiana, University of Geneva, and the Swiss Finance Institute.

Keynote Speakers

Confirmed keynote speakers are: 

  • Federico Bandi (Johns Hopkins University)
  • Yingying Li (Hong Kong University of Science and Technology)
  • Andrew Patton (Duke University)
  • Simon Scheidegger (HEC Lausanne).

Location

University of Lugano (Location in Google Maps: Buffi 13, CH-6900 Lugano)

Programme

TimeEventLocation
08:45-09:15Registration 
09:15-10:15Keynote 1 (chair: Patrick Gagliardini)
Federico Bandi: Signature-based Continuous-time Econometrics		Auditorium - Main Building
10:15-10:45Coffee and snacksCafeteria
10:45-12:15Parallel sessions: 
 

Session 1: Asset Pricing (chair: Alberto Quaini)

  • Demand-based Expected Returns
    Alessandro Crescini (with Fabio Trojani, Andrea Vedolin)
  • Believe it or Not: the Role of Investor Beliefs for Private Equity Valuation
    Benjamin Holcblat (with Aleksandr Ermakov)
  • The Statistical Limit of Arbitrage
    Rui Da (with Stefan Nagel, Dacheng Xiu)
Auditorium - Main Building
 

Session 2: Networks (chair: Maria Grith)

  • Influential Assets in Large-scale Vector Autoregressive Models
    Simon Trimborn (with Kexin Zhang)
  • Spectral Networks for Time Series. 
    Maria Grith (with Petre Caraiani)
  • Distributions of Stock Returns Around the Globe in the Era of Big Data and Learning
    Jozef Barunik (with Martin Hronec, Ondrej Tobek)
A11 - Red Building
12:15-13:45Lunch + poster sessionCafeteria
13:45-14:45Keynote 2 (chair: Alberto Quaini)
Yingying Li: Learning the Stochastic Discount Factor 		Auditorium - Main Building
14:45-15:15Coffee and snacksCafeteria
15:15-16:45Parallel sessions: 
 

Session 3: Trees (chair: Anastasija Tetereva)

  • Market-driven Forecast Combination Trees
    Anastasija Tetereva (with Ekaterina Kazak)
  • The Hedged Random Forest
    Michael Wolf (with Elliot Beck, Damian Kozbur)
  • Mosaics of Predictability
    Jingyu He (with Lin William Cong, Guanhao Feng, Yuanzhi Wang)
Auditorium - Main Building
 

Session 4: Forecasting (chair: Onno Kleen)

  • Cluster Natural Gradient Boosting for Cross-sectional Distribution Forecasting of Volatility
    Onno Kleen (with Hidde Baron)
  • Geometric Deep Learning for Realised Covariance Matrix Forecasting
    Michele Palma (with Andrea Bucci, Chao Zhang)
  • SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-vol-Informed Graph Attention Networks
    Giacomo Toscano (with Alessio Brini)
A11 - Red Building
16:45-17:15Coffee and snacksCafeteria
17:15-18:45Parallel sessions: 
 

Session 5: Portfolios (chair: Mehmet Caner)

  • Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints
    Mehmet Caner (with Michael Fan, Yingying Li)
  • Credit Ratings: Heterogeneous Effect on Capital Structure
    Helmut Wasserbacher (with Martin Spindler)
  • It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
    Daniele Bianchi (with Andrea Tamoni, Alexandre Rubesam)
Auditorium - Main Building
 

Session 6: Inference (chair: Maria Grith)

  • Inference for Regression With Variables Generated from Unstructured Data
    Timothy Christensen (with Laura Battaglia, Stephen Hansen, Szymon Sacher)
  • Post-double Autometrics as an Alternative to Post-double-lasso
    Sébastien Laurent (with Emmanuel Flachaire, Sullivan Hué, Ulrich Aiounou)
  • Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
    Xiaohan Xue
(A11 - Red Building)
19:30Dinner
(Location in Google Maps: Viale Castagnola 22, CH-6900 Lugano)		Seegarten Hotel 

TimeEvent DetailsLocation
09:30-10:30Keynote 3 (chair: Anastasija Tetereva)
Andrew Patton: Intraday Variation in Systematic Risks and Information Flows		Auditorium - Main Building
10:30-11:00Coffee and snacksCafetaria
11:00-12:30Parallel sessions 
 

Session 7: Asset pricing II (chair: Anastasija Tetereva)

  • Hansen-Jagannathan Distance With Many Assets
    Marine Carrasco (with Cheikh Nokho)
  • Testing the Conditional CAPM Using Cross-sectional Regressions: a Multi-task Learning Approach 
    Jantje Sanksen (with Joachim Grammig, Constantin Hanenberg, Christian Schlag)
  • Achievable Asset Pricing Trees
    Cil Bemelmans (with Rasmus Lonn, Anastasija Tetereva)
Auditorium - Main Building
 

Session 8: Text Analysis (chair: Onno Kleen)

  • LongFinBERT: a Language Model for Very Long Financial Documents
    Tri Minh Phan (with Erik-Jan Senn)
  • Monetary Policy in the Media Spotlight: Sentiments, Signals, and Economic Impact  - CANCELLED
    Firmin Ayivodji (with Etienne Briand, Kevin Moran, Dalibor Stevanovic)
  • A Greenwashing Index
    Helene Mathurin (with Elise Gourier)
A11 - Red Building
12:30-14:00Lunch + poster sessionCafeteria
14:00-15:00Keynote 4 (chair: Fabio Trojani)
Simon Scheidegger: Gaussian Process Regression in Finance: From Dynamic Incentive Models to Portfolio Optimisation		Auditorium - Main Building
15:00-15:30Coffee and snacks (cafeteria)Cafeteria
15:30-17:00Parallel sessions 
 

Session 9: Factor Models (chair: Loriano Mancini)

  • Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels
    Alain Philippe Fortin (with Olivier Scaillet, Patrick Gagliardini)
  • Linear Factor Models and the Estimation of Expected Returns
    Cisil Sarisoy (with Peter de Goeij, Bas Werker)
  • Asymmetric Risks: Alphas or Betas?
    Matej Nevrla
Auditorium - Main Building
 

Session 10: Option (chair: Paul Schneider)

  • What Can You Really Tell From Option Prices?
    Yannick Dillschneider (with Oleg Bondarenko, Paul Schneider, Fabio Trojani)
  • Expected Return, Realised Return, and Machine Learning
    Julio Crego (with Jens Soerlie Kvaerner, Marc Stam)
  • Pricing Options Using Anchored Deep Learning
    Jefferson Duarte
A11 - Red Building
17:00-17:30CoffeeCafeteria
17:30-19:00Parallel sessions 
 

Session 11: Regime Switching (chair: Erik Kole)

  • Machine Learning and the Yield Curve: Tree-based Macroeconomic Regime Switching
    Siyu Bie (with Francis X. Diebold, Jingyu He, Junye Li)
  • High-dimensional Dynamic Factor Models with Markov-switching
    Erik Kole (with Christian Brownlees)
  • State-dependent Comovement Between Factor Models
    Daniele Massacci (with Mirco Rubin, Dario Ruzzi)
Auditorium - Main Building
 

Session 12: Big Data (chair: Julie Schnaitmann)

  • Asymptotics for Penalised QMLEs of Time Series Regressions
    Julie Schnaitmann (with Christian Francq, Sebastien Laurent)
  • Expected Shortfall Lasso
    Sander Barendse
  • Blockchain Characteristics and Systematic Risk: a Neural Network-based Factor Model for Cryptocurrencies
    Alla Petukhina (with Lucas Valentin Umann, Wolfgang Karl Hardle)
A11 - Red Building
   
 

Posters

  • Currency network risk 
    Mykola Babiak (with Jozef Barunik)
  • New rank-based Tests and Estimators for Common Dynamic Factors 
    Mirco Rubin (with Federico Carlini, Pierluigi Vallarino)
  • Functional Estimation of Option Pricing Models
    Evgenii Vladimirov (with Yannick Dillschneider)
  • A Framework For Real-time Modeling and Forecasting of Unbalanced Implied Volatility Surfaces 
    Jeroen Rambouts (with Arnaud Dufays, Kris Jacobs)
  • New Randomised Approaches to Testing Asset Pricing Restrictions 
    Pierluigi Vallarino (with Daniele Massacci, Lucio Sarno, Lorenzo Trapani)
  • Sector Structure in Digital Asset Returns
    Mao Yufeng Mao (with Runefng Yang, Massimiliano Caporin)
  • Solving Dynamic Portfolio and Consumption Problems by Going Forward in Time
    Paulo Rodrigues (with Yixuan Ma, Peter Schotman)
  • Nowcasting Economic Activity Using Transaction Payments Data
    Simon Beyeler (with Laura Felber)
  • Crypto Premium, Higher-order Moments and Tail Risk
    Paolo Santucci de Magistris (with Nicola Borri)
 

Download the FinEML 2024 programme (pdf)

Arrive at Lugano

  • From Malpensa Terminal 1
    Direct train to Lugano (every hour), Trenord S50 (www.trenord.it/en)
  • From Zurich Flughafen
    Direct train to Zurich HB (every 5 minutes) then direct train to Lugano (every 30 minutes) either Eurocity or Intercity 2. (www.sbb.ch/en)

Special issue

Selected papers from this year's conference may be considered for a special issue on Financial Econometrics and Machine Learning of the Journal of Financial Econometrics.

Paper submission

The paper submission for the conference is closed.

Registration

The registration for the conference is closed.

Important Dates

  • Submission deadline: 05-09-2024 (closed)
  • Notification of acceptance: 15-09-2024
  • Registration deadline: 25-09-2024 (closed)
  • Conference date: 01-11-2024 – 02-11-2024 

Hotels

We organised special rates (all in CHF) at selected hotels in Lugano:

  • Hotel City Lugano: Single room 150, double room 220 (link to hotel)
  • Hotel Zurigo: Single room 135, double room 200 (link to hotel)
  • Hotel Seegarten: Single room 145 or 190 (with lake view), double room 260 or 320 (with lake view) (link to hotel)
  • Hotel Ceresio: Single room 70, double room 100 (only for a limited number of rooms) (link to hotel)

Please contact the hotels via phone 

Please contact the hotels via phone or email to claim the special rate mentioning the promo code FinEML24.

Poster Session

During the conference, 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.

Organising committee

  • Patrick Gagliardini (Università della Svizzera Italiana (Lugano), SFI)
  • Maria Grith (Erasmus University Rotterdam, TI)
  • Onno Kleen (Erasmus University Rotterdam, TI)
  • Loriano Mancini (Università della Svizzera Italiana (Lugano), SFI)
  • Alberto Quaini (Erasmus University Rotterdam, TI)
  • Olivier Scaillet (University of Geneva, SFI)
  • Paul Schneider (Università della Svizzera Italiana (Lugano), SFI)
  • Anastasija Tetereva (Erasmus University Rotterdam, TI)
  • Fabio Trojani (University of Geneva, SFI)

Programme committee

  • Caio Almeida (Princeton University)
  • Gustavo Freire (Erasmus University Rotterdam)
  • Maria Grith (Erasmus University Rotterdam)
  • Ekaterina Kazak (University of Manchester)
  • Onno Kleen (Erasmus University Rotterdam)
  • Erik Kole (Erasmus University Rotterdam)
  • Rasmus Lönn (Erasmus University Rotterdam)
  • Loriano Mancini (Università della Svizzera Italiana (Lugano))
  • Anne Opschoor (Vrije Universiteit Amsterdam)
  • Alberto Quaini (Erasmus University Rotterdam)
  • André Portela Santos (CUNEF Madrid)
  • Rosnel Sessinou (Erasmus University) 
  • Paul Schneider (Università della Svizzera Italiana (Lugano))
  • Anastasija Tetereva (Erasmus University Rotterdam, TI)
  • Simon Trimborn (University of Amsterdam)
  • Fabio Trojani (University of Geneva)
  • Mehmet Caner (North Carolina State University)

Contact

Feel free to reach out to us via fineml@ese.eur.nl
Please direct your specific questions regarding the registration process or Lugano to finEML24@usi.ch

Sponsors

Logo Swiss Finance Institute Image - Logo Econometric Institute Image - Logo Society for Financial Econometrics

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