May 21st
09:00–12:00
Eduardo Mendes
FGV EAESP
Minicourse: ML in Finance
12:00–14:00
Lunch
14:00–14:45
Federico Bandi
Johns Hopkins University
Noisy financial machine learning
14:45–15:30
Bjorn Eraker
University of Wisconsin–Madison
Estimating rough volatility models
15:30–16:00
Coffee break
16:00–16:45
Eduardo Horta
UFRGS
Set risk measures
16:45–17:30
Paul Schneider
Swiss Finance Institute
Convex validation of kernel ridge regression
17:30–18:15
Valentina Corradi
NYU Abu Dhabi
Simultaneous inference on systemic risk rankings
May 22nd
10:00–10:45
Walter Distaso
AIDA & Imperial College London
Testing for additionality of a strategy or asset: A marginal approach
10:45–11:30
Fernando Chague
FGV EESP
Accidental market makers
11:30–12:15
Roberto Renò
ESSEC Business School
The bright side of circuit breakers
12:15–14:00
Lunch
14:00–14:45
Flavio Ziegelmann
UFRGS
Mixed-frequency semiparametric functional GARCH
14:45–15:30
Luis Alvarez
University of São Paulo
Quantile mixture models: Theory and applications
15:30–16:00
Coffee break
16:00–16:45
Giuseppe Cavaliere
University of Bologna
TBA
16:45–17:30
Michael Wolf
University of Zurich
Inference-based performance evaluation using the Sortino ratio