UF Research Conference on Machine Learning in Finance Agenda

All times are US Eastern Time. Presentations are limited to 20 minutes, and discussions are limited to 10 minutes. Printable conference agenda PDF.

8:45-9:15 am – Brief Introductions and Welcome:
- Introductions: Andy Naranjo, Chairman, Eugene F. Brigham Finance, Insurance & Real Estate Department
- Welcome: Saby Mitra, Dean, Warrington College of Business, University of Florida
- Program Organizer: Paul Borochin, Visiting Scholar, Eugene F. Brigham Finance, Insurance & Real Estate Department

Session 1: Corporate-related Topics; Chair: Nitish Kumar, University of Florida

9:15-9:45 am – Show Me the Amenity: Are Higher-Paying Firms Better All Around?
Jason Sockin, University of Pennsylvania
Discussant: Baolian Wang, University of Florida
9:45-10:15 am – Can Open Banking Substitute Credit Bureaus?
Kumar Rishabh, University of Basel, Switzerland
Discussant: Gustavo Cortes, University of Florida
10:15-10:45 am – Deep Learning for Determinants of Default
Arka Prava Bandyopadhyay, University of Colorado Boulder
Discussant: Kumar Rishabh, University of Basel, Switzerland
10:45-11:15 am – Uncovering Financial Constraints
Daniel Weagley, Georgia Institute of Technology; Matthew Linn, University of Massachusetts Amherst
Discussant: Jason Sockin, University of Pennsylvania

Session 2: Disclosure-related Topics; Chair: Tao Li, University of Florida

11:15-11:45 am – The Fast and the Circuitous: Semantic Progression as a Type of Disclosure Complexity
Jiawen Yan, Cornell University; Nicholas Guest, Cornell University
Discussant: Wendi Du, Georgia Institute of Technology
11:45-noon – Break
Noon-1:00 pm – Keynote: Kay Giesecke
Professor of Management Science & Engineering at Stanford University as well as Founder, Executive Chairman, and Chief Scientist of Infima Technologies (a capital markets technology company building transformative prediction systems for fixed-income market participants)
1:00-1:15 pm – Break

Session 2 Continued: Disclosure-related Topics; Chair: Tao Li, University of Florida

1:15-1:45 pm – Do Managers Walk the Talk on Environmental and Social Issues?
Wendi Du, Georgia Institute of Technology; Sudheer Chava, Georgia Institute of Technology; Baridhi Malakar, Georgia Institute of Technology
Discussant: Jiawen Yan, Cornell University
1:45-2:15 pm – Measuring Firm-Level Inflation Exposure: A Deep Learning Approach
Linghang Zeng, Babson College; Sudheer Chava, Georgia Institute of Technology; Wendi Du, Georgia Institute of Technology; Agam Shah, Georgia Institute of Technology
Discussant: Da Li, University of Wisconsin Madison
2:15-2:45 pm – Benchmarking Private Equity Performance When Fund Cash Flows are Missing
Da Li, University of Wisconsin Madison; Timothy J. Riddiough, University of Wisconsin Madison
Discussant: Linghang Zeng, Babson College
2:45-3:00 pm – Break
3:00-4:00 pm – Keynote: Alex Fleiss
Co-Founder, Chairman, and CIO of Rebellion Research (a global machine learning think tank, artificial intelligence financial advisor & hedge fund)
4:00-4:15 pm – Break

Session 3: Gender-related Topics; Chair: Sheila Jiang, University of Florida

4:15-4:45 pm – Female Equity Analysts and Corporate Environmental and Social Performance
Chelsea Yang, University of British Columbia; Kai Li, University of British Columbia; Feng Mai, Stevens Institute of Technology; Gabriel Wong, Cardiff University; and Tengfei Zhang, University of Cambridge
Discussant: Kate Suslava, Bucknell University
4:45-5:15 pm – Benefits of Having a Female CFO
Kate Suslava, Bucknell University; Julia Klevak, PGIM Quantitative Solutions; Joshua Livnat, NYU and PGIM Quantitative Solutions
Discussant: Douglas Xu, University of Florida

Session 4: Analysts-related Topics; Chair: Sehoon Kim, University of Florida

9:15-9:45 am – From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses
Junbo Wang, Louisiana State University; Sean Cao, Georgia State University; Wei Jiang, Columbia University; Baozhong Yang, Georgia State University
Discussant: Alan Zhang, Florida International University
9:45-10:15 am – Artificially Intelligent Forecasts, Analyst Sentiment, and Market Behavior
Alan Zhang, Florida International University; Vidhi Chhaochharia, University of Miami; Alok Kumar, University of Miami; Ville Rantala, University of Miami
Discussant: Junbo Wang, Louisiana State University

Session 5: Asset Pricing-related Topics; Chair: Yuehua Tang, University of Florida

10:15-10:45 am – Alpha Go Everywhere: Machine Learning and International Stock Returns
Darwin Choi, CUHK Business School; Wenxi Jiang, CUHK Business School; Chao Zhang, University of Oxford
Discussant: Arka Prava Bandyopadhyay, University of Colorado Boulder
10:45-11:15 am – Asset Pricing with Panel Tree under Global Split Criteria
Guanhao Feng, City University of Hong Kong; Lin William Cong, Cornell University; Jingyu He, City University of Hong Kong; Xin He, City University of Hong Kong
Discussant: Sophia Zhengzi Li, Rutgers University
11:15-11:45 am – Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha
Javier Gil-Bazo, Universitat Pompeu Fabra; Victor DeMiguel, London Business School; Francisco J. Nogales, Universidad Carlos III de Madrid; Andre A. P. Santos, University of Edinburgh Business School and Universidade Federal de Santa Catarina
Discussant: Zhen Qi, University of Manitoba
11:45-noon – Break
Noon-1:00 pm – Industry Insights and Perspectives: Michael Kotarinos
Chief Technology Officer at Oxyml, where he oversees the firm’s intellectual property pipeline and the design of new and innovative algorithms. Oxyml develops sophisticated artificial intelligence solutions for financial institutions across the globe.
1:00-1:15 pm – Break

Session 6: Part 2 of Asset Pricing-related Topics; Chair: Yanbin Wu, University of Florida

1:15-1:45 pm – The Virtue of Complexity in Return Prediction
Semyon Malamud, Swiss Finance Institute and AQR Capital Management; Bryan Kelly, Yale University and AQR Capital Management; Kangying Zhou, Yale University
Discussant: Matthew Linn, University of Massachusetts Amherst
1:45-2:15 pm – Automated Risk Forecasting
Sophia Zhengzi Li, Rutgers University; Yushan Tang, Rutgers University
Discussant: Jingyu He, City University of Hong Kong
2:15-2:45 pm – AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI
Lin William Cong, Cornell University; Ke Tang, Tsinghua University; Jingyuan Wang, Beihang University; Yang Zhang, Beihang University
Discussant: Alejandro Lopez, University of Florida
2:45-3:00 pm – Break
3:00-3:30 pm – International Corporate Bond Market: Uncovering Risks Using Machine Learning
Zhen Qi, University of Manitoba; Delong Li, University of Guelph; Lei Lu; University of Manitoba; Guofu Zhou, Washington University in St. Louis
Discussant: Javier Gil-Bazo, Universitat Pompeu Fabra
3:30-4:00 pm – Does Overnight News Explain Overnight Returns?
Paul Glasserman, Columbia University; Kriste Krstovski, Columbia University; Harry Mamaysky, Columbia University; Paul Laliberte, Columbia University
Discussant: Farid Aitsahlia, University of Florida