Archives for LFIN

Farah Mugrabi (UCLouvain) will give a presentation on Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets Abstract: This paper aims to identify and date contagion by accounting for possibly distinct structural breaks among the...

Nestor Parolya, Delft University will give a presentation on Two is better than one: Regularized shrinkage of large minimum variance portfolios Abstract: In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two...

Nabil Bouamara will give a presentation on Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications Abstract: We introduce a simple tool to control for false discoveries and identify individual signals when there are many tests, the test...

Paolo Giudici, University of Pavia will give a presentation on SAFE Artificial Intelligence in Finance Abstract: Financial technologies, boosted by the availability of machine learning models, are expanding in all areas of finance: from payments (peer to peer lending) to asset...