July 6-9, 2021, Online and Onsite in Shanghai, China

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Machine Learning in Finance

Time:Wednesday, July 7, 2021 8:00 - 9:45Location:Stream 5Session Chair:Dacheng Xiu, University of Chicago Zoom:

Is There A Replication Crisis In Finance?

Theis Ingerslev Jensen; Copenhagen Business School

Bryan Kelly; Yale University

Lasse Pedersen; New York University, AQR and CEPR

  Presenter: Bryan Kelly, Yale University

  Discussant:  Andrew Chen, Federal Reserve Board

Deep Learning Mutual Fund Disclosure: Risk Sentiment, Risk Taking, and Performance

Sean Cao; Georgia State University

Baozhong Yang; Georgia State University

Alan Zhang; Georgia State University

  Presenter: Alan Zhang, Georgia State University

  Discussant: Asaf Manela, Washington University in St. Louis

Deep Structural Estimation: With an Application to Option Pricing

Hui Chen; Massachusetts Institute of Technology

Antoine Didisheim; Swiss Finance Institute

Simon Scheidegger; University of Lausanne

  Presenter: Hui Chen, Massachusetts Institute of Technology

  Discussant: Mathieu Fournier, HEC Montréal

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Yang Liu; Tsinghua University

Guofu Zhou; Washington University in St. Louis

Yingzi Zhu; Tsinghua University

  Presenter: Yang Liu, Tsinghua University

  Discussant: Will Cong, Cornell University

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