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AFTLab PhD Student Research Workshop

Event Details:

Friday, December 1, 2023
1:00pm - 6:00pm PST

Location

473 Via Ortega
Y2E2 101
Stanford, CA 94305
United States

Sustainable finance

1:00pm-1:25pm Aldís Elfarsdóttir: Is transparency the new green?

1:25pm-1:50pm Enrica Archetti: Do sustainability information predict returns? A Machine Learning Approach

Break (15min)

Factor modeling

2:05pm-2:30pm Junting Duan: Causal inference for large dimensional non-stationary panels with two-way endogenous treatment

2:30pm-2:55pm Rose Wang: Bridging the Yield Gap

Break (15min)

Market equilibrium and derivative pricing

3:10pm-3:35pm Yang Fan: Do Algorithmic Traders Lead to Market Instability? A Multi-Agent Reinforcement Learning Approach

3:35pm-4:00pm Sven Lerner and Xueye Ping: Spanning the Option Surface

Break (20min)

Robust estimation

4:20pm-4:45pm Erica Zhang: Bicausal Wasserstein Distance-based Empirical Martingale Projection

4:45pm-5:10pm Lukas Fiechtner: Robust Stochastic Control in Continuous Time Factor Models

5:10pm-5:35pm Greg Zanotti: Automatic Outlier Rectification via Optimal Transport

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