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295 * ! Wed, 8/5/2020, 10:00 AM - 11:50 AM Virtual
Machine Learning in Finance — Invited Papers
JBES-Journal of Business & Economic Statistics
Organizer(s): Jianqing Fan, Princeton University
Chair(s): Jianqing Fan, Princeton University
10:05 AM Toward Explainable AI: Significance Tests for Neural Networks
Kay Giesecke, Stanford University; Enguerrand Horel, Stanford University
10:35 AM Market Efficiency in the Age of Big Data
Stefan Nagel, University of Chicago; Ian Martin, London School of Economics
10:55 AM Predicting Returns with Text Data
Tracy Ke, Harvard University; Bryan Kelly, Yale University and AQR Capital Management; Dacheng Xiu, University of Chicago Booth School of Business
11:20 AM Principal Portfolios
Bryan Kelly, Yale University and AQR Capital Management; Lasse Pedersen, Copenhagen Business School; Semyon Malamud, EPFL
11:45 AM Floor Discussion