Program
Thursday, 22nd
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09:55-10:00: Christian Brownlees and André B.M. Souza
Welcome
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10:00-10:40:
Zhaonan Qu (Columbia University)
Handling Sparse Non-negative Data in Finance
with Agostino Capponi -
10:40-11:20:
Marcelo C. Medeiros (University of Illinois at Urbana-Champaign)
Cost-aware Portfolios in a Large Universe of Assets
with Qingliang Fan, Hanming Yang, and Songshan Yang - 11:20-11:50: Coffee Break
-
11:50-12:30:
Caio Almeida (Princeton University)
0DTE Asset Pricing
with Gustavo Freire and Rodrigo Hizmeri -
12:30-13:10:
Roberto Renò (ESSEC Business School)
TBC
- 13:10-14:20: Lunch
-
14:20-15:00:
Valentina Corradi (University of Surrey and NYU Abu Dhabi)
Sparsity Tests for High-Dimensional Linear Regression Models in Time Series
with Jack Fosten and Daniel Gutknecht -
15:00-15:40:
Federico M. Bandi (Johns Hopkins University)
TBC
- 15:40-16:10: Coffee Break
-
16:10-16:50:
Daniele Bianchi (Queen Mary University of London)
Rethinking Sparsity: Parametric Portfolios and Firm Characteristics
with Pedro Venturi -
16:50-17:30:
Katerina Petrova (NY Fed)
TBC
- 20:00 @ Restaurant El Tribut: Conference Dinner
Friday, 23rd
-
10:00-10:40:
Maria Grith (Erasmus School of Economics)
Common Factors in Large Panels of Equity Options
-
10:40-11:20:
Mika Meitz (University of Helsinki)
TBC
- 11:20-11:50: Coffee Break
-
11:50-12:30:
Dante Amengual (CEMFI)
TBC
-
12:30-13:10:
Michael Wolf (University of Zurich and ADIA Lab)
Forecasting Inflation With the Hedged Random Forest
with Elliot Beck - 13:10-14:20: Lunch
-
14:20-15:00:
Nour Meddahi (Toulouse School of Economics)
TBC
-
15:00-15:40:
Marcelo Fernandes (Sao Paulo School of Economics, FGV)
TBC
- 15:40-16:10 Coffee Break
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16:10-16:50:
Rehim Kilic (Fed Board)
TBC
Venue and Logistics
Conference Venue
The conference will be held at the Mercè Rodoreda Auditorium, Universitat Pompeu Fabra, Ciutadella Campus
Mercè Rodoreda Building (the one highlighted in red in the picture below), Room 23.S05
Conference Dinner
The conference dinner is at El Tribut at 20:00, on Thursday 22nd.
Balcó Gastronòmic del Port Olímpic