São Paulo School of Advanced Science on High Dimensional Modelling

The event, which will be held at the Center for Quantitative Studies in Economics and Finance (CEQEF) of Fundação Getulio Vargas's São Paulo School of Economics (FGV EESP), will address key challenges related to forecasting in high-dimensional models, asset allocation using machine learning techniques, climate econometrics, cryptofinance, and the necessary tools to tackle these issues.

Lecture Topics include: “Sluggish News Reactions: A Combinatorial Approach for Synchronizing Stock Jumps,” “Sparse Spanning Portfolios and Under-Diversification with Second-Order Stochastic Dominance,” “The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series,” “Tree-Based Bayesian Treatment Effect Analysis,” “Forecasting Realized Volatility: Does Anything Beat Linear Models?” and “Risk Budgeting Portfolio from Simulations.”

Between 30 and 40 students worldwide will be selected based on an assessment considering the applicant’s research area, academic history, CV, research projects, recommendation letter, and poster to be presented. The primary target audience includes undergraduate, master’s, doctoral, and postdoctoral students.

Additionally, between 30 and 40 early-career doctors or researchers, both Brazilian and international, will be selected based on an evaluation of their CVs and the article to be presented in poster format.

Participation in the advanced school is by invitation, requiring interested candidates to complete an application form, submit requested documents for review by the selection committee, and provide personal data and academic and research activities.

Travel and related expenses will be covered by FAPESP. All selected participants must present a poster of their ongoing research project.

  • Institution

    Escola de Economia de São Paulo da Fundação Getúlio Vargas (FGV EESP)

  • Field of Knowledge

    Economics

  • Academic Director

    Pedro Luiz Valls Pereira

  • Grant Number

    2024/06769-9

  • Date

    2025-04-21 to 2025-04-30

  • Registration Deadline

    2024-10-30 to 2025-01-17

  • Site

    https://sites.google.com/view/spsahdm/home

  • City

    São Paulo

  • Keywords

    machine learning, cryptofinance, high-dimensional modeling, economics