Winter Research Conference on Machine Learning and Business
Conference Program
Session 1: Cryptocurrency Friday 2/12 9:00AM ET |
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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 Friday 2/12 10:30AM ET |
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Session 2: Empirical Asset Pricing A Friday 2/12 10:45AM ET |
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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 |
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Keynote Address: Alexander Fleiss, Rebellion Research Friday 2/12 1:00PM ET |
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Panel Session, AI in Finance Friday 2/12 2:00PM ET |
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Break Friday 2/12 3:30PM ET |
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Session 3: Methodological Innovations A Friday 2/12 3:45PM ET |
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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: 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 |
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Session 4: Methodological Innovations B Friday 2/12 5:30PM ET |
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Chairperson: Diego Garcia, University of Colorado Boulder | |||
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
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The Colour of Finance Words Diego Garcia, University of Colorado Boulder Xiaowen Hu, University of Colorado Boulder Maximilian Rohrer, Norwegian School of Economics
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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 |
You Only Look Once: Real Time Volatility Regime Detection with Intraday Realized Features Peng Cheng, J.P.Morgan Marko Kolanovic, J.P.Morgan
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Presenter: Lingfei Kong, University of North Carolina at Charlotte | Presenter: Diego Garcia, University of Colorado Boulder | Presenter: Lin William Cong, Cornell University | Presenter: Peng Cheng, J.P.Morgan |
Session 5: Corporate Governance Saturday 2/13 9:00AM ET |
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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 |
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Session 6: Corporate Finance Saturday 2/13 10:45AM ET |
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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 |
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Keynote Address: Yingying Fan, University of Southern California Saturday 2/13 1:00PM ET |
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Session 7 Saturday 2/13 2:00PM ET |
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Chairperson: Yongtao Guan, University of Miami | ||
Speakers: Zhengling Qi, The George Washington University |
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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
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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
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Charting By Machines Scott Murray, Georgia State University Houping Xiao, Georgia State University Yusen Xia, Georgia State University
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Modeling Heterogeneity in Firm-level Return Predictability with 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 |