2021 SoFiE Machine Learning in Finance and Economics Conference TODAY

Starts in a few hours!  Program looks great. Hard to script a better day.    

Registration and program at :

https://kenaninstitute.unc.edu/rethinc/index.php/event/virtual-event-rethinc-labs-2021-sofie-machine-learning-virtual-conference/

2021 SoFiE Machine Learning Virtual Conference 

Eric Ghysels, UNC Chapel Hill 
Bryan Kelly, Yale University
Dacheng Xiu, University of Chicago

March 5, 2021 

10:00 AM: Introduction 

Session 1: Chair Eric Ghysels 

10:10 – 10:55 Mispricing and uncertainty in international markets, Mirela Sandulescu and Paul Schneider 

Discussant: Rohit Allena 

11:00 – 11:45 A penalized two-pass regression to predict stock returns with time-varying risk premia, Gaetan Bakalli, Stephane Guerrier and Olivier Scaillet 

Discussant: Paolo Zaffaroni 

Session 2: Chair Bryan Kelly 

1:00 – 1:45 The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data, Yucheng Yang, Yue Pang, Guanhua Huang and Weinan E 

Discussant: Phillipe Goulet Coulombe 

1:50 – 2:35 On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates, Francis X. Diebold, Minchul Shin, Boyuan Zhang

Discussant: Allan Timmermann 

Session 3: Chair Dacheng Xiu 

2:45 – 3:30 High-Frequency Expectations from Asset Prices: A Machine Learning Approach, Aditya Chaudhry and Sangmin S. Oh 

Discussant: Jonathan Wright 

3:35 – 4:20 High-Dimensional Granger Causality Tests with an Application to VIX and News, Andrii Babii, Eric Ghysels and Jonas Striaukas 

Discussant: Markus Pelger 

4:20 – 4:30 Conclusion