Nije dostupno na hrvatskom jeziku.
Workshop on using big data for forecasting and statistics.
In cooperation with the International Institute of Forecasters (11th International Institute of Forecasters workshop)
Conference dates: Monday, 7 and Tuesday, 8 April 2014
Meeting room: Eurotower – conference room CIV (2nd floor)
Venue: European Central Bank, Frankfurt am Main
Workshop Agenda
| 8 a.m. | Registration and coffee |
| 8.45 a.m. | Welcome address Aurel Schubert, European Central Bank |
| 9 a.m. | Keynote speech Google tools for data Hal Varian, Chief Economist at Google and an emeritus professor of the University of California, Berkeley Presentation |
| Session 1 Big Data: new sources and opportunities for central banking purposes Chair: Per Nymand-Andersen, European Central Bank |
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| 10 a.m. | Can information demand help to predict stock market liquidity? Google it! Amel Aouadi, Université d’Auvergne Paper Presentation |
| 10.20 a.m. | Social media and consumer confidence Piet Daas, Centraal Bureau voor de Statistiek (Statistics Netherlands) Paper Presentation |
| 10.40 a.m. | A short-run analysis of exchange rates and international trade José Anson, Universal Postal Union (UPU) Paper Presentation |
| Discussant: Menno Middeldorp, Bank of England Presentation | |
| 11.30 a.m. | Coffee break |
| Session 2 Big data: a quality framework for big data Chair: Ioannis Ganoulis, European Central Bank |
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| 12 p.m. | How to Measure the Quality of Financial Tweets Paola Cerchiello, Università degli Studi di Pavia Paper Presentation |
| 12.20 p.m. | Small steps towards Big Data - Some initiatives by the Australian Bureau of Statistics Ric Clarke, Australian Bureau of Statistics Paper Presentation |
| Discussant: Niels Ploug, Danmarks Statistik (Statistics Denmark) Presentation 1 Presentation 2 | |
| 1 p.m. | Lunch and Poster Session 1 |
| Session 3 Methods for big data Chair: Gianni Amisano, European Central Bank |
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| 2.30 p.m. | Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility Massimiliano Marcellino, Università Commerciale Luigi Bocconi Paper Presentation |
| 2.50 p.m. | Mining Big Data Using Parsimonious Factor and Shrinkage Methods Hyun Hak Kim, Bank of Korea Paper Presentation |
| Discussant: Marek Jarocinski, European Central Bank Presentation | |
| 3.30 p.m. | Coffee break |
| Session 4 Nowcasting the macroeconomy using big data Chair: Diego Rodriguez Palenzuela, European Central Bank |
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| 4 p.m. | Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases John Galbraith, McGill University Paper Presentation |
| 4.20 p.m. | Macroeconomic Nowcasting Using Google Probabilities Luca Onorante, Central Bank of Ireland Paper Presentation |
| Discussant: Marco Lombardi, Bank for International Settlements (BIS) Presentation | |
| 7 p.m. | Dinner Dinner Speech: Peter Praet, Member of the Executive Board of the European Central Bank |
Poster Session 1: Big Data - new sources and new methods
- Can Facebook predict stock market activity?Yigitcan Karabulut, Goethe-Universität
- Detecting Mortgage Delinquencies with Google TrendsNikolaos Askitas, Institut zur Zukunft der Arbeit (IZA)
- Netconomics: novel forecasting techniques from the combination of big data, network science and economics
Novel Forecasting Techniques from the Combination of Big Data, Network Science and EconomicsAndreas Joseph, City University of Hong Kong - Measuring Changing market expectations of bank resolution regimes using credit default swaps and news flow dataMenno Middeldorp, Bank of England
- Forecasting with Many Predictors: Allowing for Non-linearityDick Van Dijk, Erasmus Universiteit Rotterdam
| 8.45 a.m. | Invited lecture The Billion Prices Project: research and inflation measurement applications Alberto Cavallo, MIT Sloan School of Management Presentation |
| Session 5 Catching animal spirits Chair: Michael Steen, European Central Bank |
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| 9.45 a.m. | Belgian Economic Policy Uncertainty Index: Improvement through text mining Ellen Tobback, Universiteit Antwerpen Paper Presentation |
| 10.05 a.m. | News and narratives in financial systems: exploiting big data for systemic risk assessment Rickard Nyman, University College London Presentation |
| Discussant: Johan Bollen, Indiana University Presentation | |
| 10.45 a.m. | Coffee break |
| Session 6 Financial markets' sentiment Chair: Manfred Kremer, European Central Bank |
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| 11.15 a.m. | Quantifying the effects of online bullishness on international financial markets Huina Mao, Indiana University Paper Presentation |
| 11.35 a.m. | Investor Attention and FX Market Volatility Qingwei Wang, Bangor Business School Paper Presentation |
| Discussant: Peter Reinhard Hansen, European University Institute Presentation | |
| 12.15 p.m. | Lunch and Poster Session 2 |
| Session 7 Network modelling for big data Chair: Juri Marcucci, Banca d'Italia |
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| 1.45 p.m. | NETS: Network Estimation for Time Series Christian Brownlees, Universitat Pompeu Fabra Paper Presentation |
| 2.05 p.m. | Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability Andreea Minca, Cornell University Paper Presentation |
| Discussant: Galo Nuno, European Central Bank Presentation | |
| 2.45 p.m. | Panel discussion Big data initiatives - challenges and opportunities for central bankers
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| 4.30 p.m. | End of workshop |
Poster Session 2: Text mining
- Preprocessing method of internet search data for prediction improvement: application to the Chinese stock marketQingyu Yuan, Graduate University of Chinese Academy of Sciences
- Differences in opinion make a market. Web-based inference of stock prices and volumes for a subset of systemically important banksMichela Nardo, European Commission
- Big Data and Economic Forecasting: A Top-Down Approach Using Directed Algorithmic Text AnalysisPaul Ormerod, University College London