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.

Day 1: September 10, 2022

• 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

Day 2: September 11, 2022

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