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'We Are Well in Line with the data science trends in Finance'

On October 25-26, the International College of Economics and Finance (ICEF) and the Laboratory of Financial Economics (LFE) hosted the Eighth International Moscow Finance Conference at HSE University. This year’s programme included researchers from the University of California, Los Angeles; University of California, Berkeley; University of Warwick; University of Lausanne; Imperial College and the London School of Economics.

'We Are Well in Line with the data science trends in Finance'

The annual event attracts researchers from both Russian and international universities, thereby giving students the opportunity to gain a broad perspective on current research in the field of finance worldwide.

The conference is organized by the International Laboratory of Financial Economics (LFE). HSE News Service spoke with Laboratory Head Vladimir Sokolov about the laboratory, how the conference helps it attract international faculty members, what the current trends are in economic research, and how the theory and empirics could be bridged in a more effective way.

– Tell us about the LFE and how the idea of the conference emerged.

The LFE was founded in 2010 and we held our first conference in 2011. The lab was designed as an international financial studies centre for high-profile researchers. Over the years we’ve hosted scholars from many different universities, which has earned the LFE and the ICEF a reputation as a new ‘hot spot’ in financial research. And we have positioned ourselves as an interesting team to cooperate with.

The official name of LFE is rather complex, the International Laboratory of Financial Economics Studies and Research (MNUL), but it accurately reflects the lines of our activity. It is ‘international’ because the lab has an international partner and founder, The London School of Economics; ‘research’ suggests continuous research work; and ‘studies’ indicates that the research work is being contributed by students. Projects and areas of focus are determined by LFE members themselves based on their research interests. Once an area is chosen by a member, he or she sets up a dedicated working group. There are many students at ICEF who would like to benefit from our lab and the interaction it offers with leading researchers as a way to pursue academic careers. They contribute to ICEF professors’ working groups as research assistants.

– Is there anything else students can benefit from while doing research at the laboratory?

Our approach is a win-win for everybody. While professors get assistance in their research work, students gain experience with collaborative work and in-depth research. As for the conference, it functions as a venue for ICEF professors to meet and work with outside professors. Along with that, there is a finance workshop we conduct every May to engage a wider academic community.

In the conference lobby and corridors, a lot of networking happens between guests and students. The invited guests advise students on what PhD programmes to choose, how to prepare, and whether a certain professor or programme might be a good match for their interests. Incidentally, the conference has played a big role in shaping the destinies of students in western universities as well.

Students welcome invitations to attend our activities. The conference provides them the opportunity to learn about current research trends and what it is like to work in the professional academic field. Our online platforms introduce students to basic methodology, economic concepts, research intuition, argumentation modelling, logic, and other aspects of research and critical thinking that are essential to one’s research career. In the conference lobby and corridors, a lot of networking happens between guests and students. The invited guests advise students on what PhD programmes to choose, how to prepare, and whether a certain professor or programme might be a good match for their interests. Incidentally, the conference has played a big role in shaping the destinies of students in western universities as well. 

– In what way?

Our visiting professors may recommend our community of young academics to some of their PhD students as a place they can start their career. To give you one example, Prof. Pierre Collin-Dufresne, one of our speakers, was the supervisor of Sylvain Carré, who recently joined the ICEF faculty as an assistant professor shortly after completing his PhD studies at the École polytechnique fédérale de Lausanne last year. People learn about us from the researchers who have visited us at different times. Some of them are prepared to leave Switzerland to take up teaching in Moscow and continue their research in a place that is completely new to them.

Have there been any changes to the format of the conference over the past eight years?

There has been some streamlining, but no changes. The conference now operates with approximately ten presentations and discussions and also includes a keynote speaker, who is normally a high-profile academic. This year’s keynote speaker was Prof. Mikhail Chernov from the University of California, Los Angeles. He delivered an interesting presentation on how sovereign credit risks are being evaluated by investors in the USA, the country with the highest credit rating.

Also, as there has been greater interest in the Conference from HSE’s departments other than the ICEF, the conference now enjoys a wider range of topics, as well as livelier discussions. This year, participants from the ICEF were joined by three discussants of the Faculty of Economics and the Center for Institutional Studies, Maria Semenova, Madina Karamysheva, and Dmitry Malakhov. They prepared excellent discussions for some of the leading researchers from the top universities The level of intellectual discourse at the conference is very high - we can proudly refer to ourselves as being not merely a source of new publications but a source of weighty arguments for experts to consider and take back with them to the ICEF in order to pursue new areas of inquiry.

A real asset to the reputation of the conference is our international colleagues – LFE Research Coordinator Christian Julliard of LSE, who contributed to this year's conference, and visiting researchers whose home universities partner with HSE in collaborative projects. One of them is Dmitry Livdan of the University of California, Berkeley, who co-authored one of this year’s presentations and served as a discussant.

Dmitry Livdan

How do you determine the main focus of the Conference from year to year?

The organizing committee, which consists of ICEF Professor and LFE Research Advisor Alexei Boulatov, LSE Professor and LFE Research Coordinator Christian Julliard, and myself, decides on the focus of the Conference well in advance. Then, the core sections that pertain to corporate finance and financial asset pricing are balanced with equal numbers of empirical and theoretical research papers. There is, however, an increasing tendency for research teams to do multidisciplinary research. But, overall, the Conference is rather general and covers a wide range of current issues in Finance to discuss and debate on.

– What are the current trends in economic research?

Finance is a field with well-established lines of research. Nevertheless, following the recent increase in computing capacity and data size there has emerged a new line in statistical analysis that, according to some, has evolved into a full-fledged science.

I mean data science. The data science has been one of the hottest trends in the research agenda of many academics. For example, an interesting work has been presented at the Conference by Anastassia Fedyk who is a professor at the University of California, Berkeley. She processed half a billion observations drawn from LinkedIn profiles to explore, with the help of machine learning techniques, how workforce skills influence corporate profitability, expenditures and overall performance. Her research is a perfect illustration of how big data and machine learning can be used in conventional corporate finance research.

2.5 quadrillion

is the total number of regressions Prof. Christian Julliard has processed using machine learning techniques while preparing his conference presentation.

In addition, Professor Julliard presented a paper in which he uses Bayesian statistical models to analyze return on equity. After processing vast amounts of data, Professor Julliard made a series of conclusions as to how and where certain combinations of factors are likely to influence total stock return. So, we’ve been well in line with the data science trends in finance.

– Did you ever think of giving the conference a more academic slant by involving students and making it more open with panel discussions?

Panel discussions are normally held by conferences that are large and involve practitioners. They are a format intended for working out solutions to a vital issues through a collaborative effort using expert opinion. My colleagues and I have been to conferences that had panel discussion to involve decision-makers and members of the business community in dealing with socially significant issues such as household debt. For this kind of conference, panel discussions seem to be a perfect format. But, why not? We might consider it as a way of expanding the Moscow Finance Conference in the future.

Conference booklet

Interview: Sonya Spielberg

Photos: Pavel Ososov