COVID-19: The latest information about COVID-19. See coronavirus.miami.edu. ×

Winter Research Conference on Machine Learning and Business

Conference Program

Welcome and Opening Remarks - Dean John Quelch Friday 2/12 8:40AM ET

 

Session 1: Cryptocurrency Friday 2/12 9:00AM ET
Chairperson: Evgeny Lyandres, Tel Aviv University

Do Cryptocurrencies Have Fundamental Values

Yukun Liu, University of Rochester

Jinfei Sheng, University of California, Irvine

Wanyi Wang, University of California, Irvine

Competition and Product Quality: Fake Trading on Crypto Exchanges

Dan Amiram, Tel Aviv University

Evgeny Lyandres, Tel Aviv University

Daniel Rabetti, Tel Aviv University

Peer Co-Movement in Crypto Markets

Gustavo Schwenkler, Santa Clara University

Hannan Zheng, Boston University

Presenter: Jinfei Sheng, University of California, Irvine Presenter: Evgeny Lyandres, Tel Aviv University Presenter: Gustavo Schwenkler, Santa Clara University
Discussant: Evgeny Lyandres, Tel Aviv University Discussant: Gustavo Schwenkler, Santa Clara University Discussant: Jinfei Sheng, University of California, Irvine

 

Break Friday 2/12 10:30AM ET

 

Session 2: Empirical Asset Pricing A  Friday 2/12 10:45AM ET
Chairperson: Markus Pelger, Stanford University

The Cyber Risk Premium

Hao Jiang, Michigan State University

Naveen Khanna, Michigan State University

Qian Yang, Michigan State University

Deep Learning in Asset Pricing

Luyang Chen, Stanford University

Markus Pelger, Stanford University

Jason Zhu, Stanford University

Asset Pricing with Realistic Crises Dynamics

Goutham Gopalakrishna, EPFL

Presenter: Qian Yang, Michigan State University Presenter: Markus Pelger, Stanford University Presenter: Goutham Gopalakrishna, EPFL
Discussant: Markus Pelger, Stanford University Discussant: Goutham Gopalakrishna, EPFL Discussant: Qian Yang, Michigan State University

 

Lunch Break Friday 2/12 12:15PM ET

  

Keynote Address Friday 2/12 1:00PM ET

Deep Reinforcement Learning & Nowcasting's Fatal Flaw

Presenter: Alexander Fleiss, Rebellion Research

 

Panel Session, AI in Finance Friday 2/12 2:00PM ET

Presenters:

Douglas Hamilton, NASDAQ Machine Intelligence Lab

Peng Cheng, JPMorgan Global Research

Sameer Gupta, Point72

 

Break Friday 2/12 3:30PM ET

 

Session 3: Methodological Innovations A  Friday 2/12 3:45PM ET
Chairperson: Andriy Shkilko, Wilfrid Laurier University

Assessing Human Information Processing in Lending Decisions: A Machine Learning Approach

Miao Liu, University of Chicago

Real-time Price Discovery via Verbal Communication:
Method and Application to Fedspeak

Roberto Gomez-Cram, London Business School

Marco Grotteria, London Business School

The Conduits of Price Discovery: A Machine Learning Approach

Amy Kwan, University of Sydney

Richard Philip, University of Sydney

Andriy Shkilko, Wilfrid Laurier University

Presenter: Miao Liu, University of Chicago Presenter: Roberto Gomez-Cram, London Business School Presenter: Andriy Shkilko, Wilfrid Laurier University
Discussant: Andriy Shkilko, Wilfrid Laurier University Discussant: Miao Liu, University of Chicago Discussant: Roberto Gomez-Cram, London Business School

 

Break Friday 2/12 5:15PM ET

 

Session 4: Methodological Innovations B Friday 2/12 5:30PM ET
Chairperson: Diego Garcia, University of Colorado Boulder

You Only Look Once: Real Time Volatility Regime Detection with Intraday Realized Features

Peng Cheng, J.P.Morgan

Marko Kolanovic, J.P.Morgan

The Colour of Finance Words

Diego Garcia, University of Colorado Boulder

Xiaowen Hu, University of Colorado Boulder

Maximilian Rohrer, Norwegian School of Economics

 

AlphaPortfolio: Single-Step Construction through Reinforcement Learning and Economically Interpretable AI

Lin William Cong, Cornell University

Ke Tang, Tsinghua University

Jingyuan Wang, Beihang University

Yang Zhang, Beihang University

The Serial Dependence of the Commodity Futures Returns: A Machine Learning Approach

Yufeng Han, University of North Carolina at Charlotte

Lingfei Kong, University of North Carolina at Charlotte

Presenter: Peng Cheng, J.P.Morgan

Presenter: Diego Garcia, University of Colorado Boulder Presenter: Lin William Cong, Cornell University Presenter: Lingfei Kong, University of North Carolina at Charlotte

 

Session 5: Corporate Governance Saturday 2/13 9:00AM ET
Chairperson: Baozhong Yang, Georgia State University

How to Talk When a Machine is Listening: Corporate Disclosure in the Age of AI

Sean Cao, Georgia State University

Wei Jiang, Columbia University

Baozhong Yang, Georgia State University

Alan Zhang, Georgia State University

The Impact of Tightly Contested Governance Proposals on Firms' Narrative Disclosures: Evidence from a Regression-Discontinuity Design

Abhishek Ganguly, University of Oklahoma

Arup Ganguly, University of Mississippi

Lin Ge, University of Mississippi

Chad Zutter, University of Pittsburgh

Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning

Mehran Azimi, University of Alabama

Anup Agrawal, University of Alabama

Presenter: Baozhong Yang, Georgia State University Presenter: Arup Ganguly, University of Mississippi Presenter: Mehran Azimi, University of Alabama
Discussant: Arup Ganguly, University of Mississippi Discussant: Mehran Azimi, University of Alabama Discussant: Baozhong Yang, Georgia State University

 

Break Saturday 2/13 10:30AM ET

 

Session 6: Corporate Finance Saturday 2/13 10:45AM ET
Chairperson: Oliver Binz, INSEAD

Fundamental Analysis via Machine Learning

Kai Cao, HKUST

Haifeng You, HKUST

What Can Analysts Learn from Artificial Intelligence about Fundamental Analysis?

Oliver Binz, INSEAD

Katherine Schipper, Duke University

Kevin Standridge, Duke University

Bankruptcy Prediction of Privately Held SMEs Using Feature Selection Methods

Florentina Paraschiv, NUST

Markus Schmid, University of St. Gallen

Ranik Raaen Wahlstrom, NUST

Presenter: Haifeng You, HKUST Presenter: Oliver Binz, INSEAD Presenter: Ranik Raaen Wahlstrom, NUST
Discussant: Ranik Raaen Wahlstrom, NUST Discussant: Haifeng You, HKUST Discussant: Oliver Binz, INSEAD

 

Lunch Break Saturday 2/13 12:15PM ET

  

Keynote Address Saturday 2/13 1:00PM ET

Large-scale Network Inference

Presenter: Yingying Fan, University of Southern California

 

Session 7 Saturday 2/13 2:00PM ET
Chairperson: Yongtao Guan, University of Miami

Efficient Batch Policy Learning in Markov Decision Processes

Zhengling Qi, The George Washington University

Semi-parametric learning of structured temporal point processes

Ganggang Xu, University of Miami

Additional speaker: Yan Yu, University of Cincinatti

 

Break Saturday 2/13 3:30PM ET

 

Session 8: Institutions and Analysts Saturday 2/13 3:45PM ET
Chairperson: Jillian Grennan, Duke University

Uncovering Mutual Fund Skill with Machine Learning

Alan Zhang, Georgia State University

 

Artificial Intelligence and High-Skilled Work: Evidence from Analysts

Jillian Grennan, Duke University

Roni Michaely, University of Geneva 

Aggregating Artificially Intelligent Earnings Forecasts

Vidhi Chhaochharia, University of Miami

Alok Kumar, University of Miami

Swathi Murali, University of Miami

Ville Rantala, University of Miami

Presenter: Alan Zhang, Georgia State University Presenter: Jillian Grennan, Duke University Presenter: Ville Rantala, University of Miami
Discussant: Ville Rantala, University of Miami Discussant: Alan Zhang, Georgia State University Discussant: Jillian Grennan, Duke University

 

Break Saturday 2/13 5:15PM ET

 

Session 9: Empirical Asset Pricing B Saturday 2/13 5:30PM ET
Chairperson: Paul Borochin, University of Miami

Machine Learning Classification Methods and Portfolio Allocation: An Examination of Market Efficiency

Yang Bai, University of Missouri

Kuntara Pukthuanthong, University of Missouri

 

Charting By Machines

Scott Murray, Georgia State University

Houping Xiao, Georgia State University

Yusen Xia, Georgia State University

 

Uncovering Sparsity and Heterogeneity in Firm-level Return Predictability Using Machine Learning

Theodoros Evgeniou, INSEAD

Ahmed Guecioueur, INSEAD

Rodolfo Prieto, INSEAD

Presenter: Yang Bai, University of Missouri Presenter: Scott Murray, Georgia State University Presenter: Ahmed Guecioueur, INSEAD
Discussant: Ahmed Guecioueur, INSEAD Discussant: Yang Bai, University of Missouri Discussant: Scott Murray, Georgia State University

 

Back to top