The Summer Freestyle Workshop is organized around five tracks: Macroeconomics, Finance, Machine Learning, Software Engineering, and Data Management. The workshop combines applied research methods, frontier topics, and hands-on implementation exercises. Meetings are organized as 1.5-hour master classes. Each class is accompanied by a problem set designed to code, estimate a model, prepare a quick report, or complete a related applied exercise.
The workshop follows a survival-based structure. Submission of completed problem sets is required for invitation to the next master class. The final assignment will be a research or project proposal. The most successful and motivated candidates will be offered the opportunity to join ongoing research or software engineering projects. Good luck.
| Time | Class | Instructor & topic |
|---|---|---|
| August 24, Monday | ||
| 19:00 | Macro-1 | Nadezhda Yurchenko VAR, SVAR, BVAR Basics of vector autoregressions, identification of shocks, basic packages in R/Matlab, impulse responses, and counterfactuals. Mastering the BEAR package in Matlab. Short-term neutral interest rate exercise. |
| 20:30 | Fin-1 | Anna Ivanova Extracting market-based expectations Term structure models for yield curves. Risk-premia problem. Assessing systemic errors in market-based expectations. Testing out-of-sample forecast corrections. |
| August 25, Tuesday | ||
| 19:00 | SE-1 | Pavel Shakhmin and Elizaveta Levshina Web application development (social network, KRUG) All stages of web app development from scratch. Required hard skills and packages. Overall description of the project and performance demonstration. Coding details. Basic functions, solutions for back-end and front-end, and practical tips. |
| 20:30 | ML-1 | Michael Ivanov Gentle introduction to ML High-level ideas behind ML and different fields in ML. Brief evolution of ML models. Overview of the main model families. Model selection, training and validation. Econometric models represented in ML terminology. |
| August 26, Wednesday | ||
| 19:00 | Macro-2 | Anna Pustovalova MS-VAR, TVP-VAR Mastering basic packages in R/Matlab for Markov-switching and time-varying parameter vector autoregressions. Issues and potential solutions. |
| 20:30 | DM-1 | George Borisenko API Broad understanding of API and examples. Data access. Hidden API. OpenAI API. |
| August 29, Saturday | ||
| 12:30 | Fin-2 | Ivan Salkov Extracting risk premia in commodities futures Futures risk-premia problem. Hamilton-Wu approach to risk-premia extraction. Oil futures application. Assessing systemic errors in market-based expectations for commodity prices. |
| 14:30 | DM-2 | Ilya Zaitsev Data scraping with BeautifulSoup HTML web page structure. Mastering the BeautifulSoup library, with practical tips. |
| August 30, Sunday | ||
| 10:00 | SE-2 | Anastasia Golubkova Mobile application development (social network, KRUG) All stages of mobile app development from scratch. Required hard skills and packages. Overall description of the project and performance demonstration. Coding details. Basic functions, solutions for back-end and front-end, and practical tips. |
| 12:30 | ML-2 | Andrei Afonin Reinforcement learning The main ingredients of modern learning systems: priors, data, feedback, exploration, and reinforcement. How reinforcement turns feedback into specialized behavior, and what trade-offs this creates. Design principles behind modern learning systems. |
| August 31, Monday | ||
| 19:00 | Macro-3 | Christina Zhilyaeva DSGE New Keynesian DSGE model: derivations. Full information estimation methods: Bayesian approach. Metropolis-Hastings algorithm. Matlab+Dynare implementation. |
| 20:30 | Fin-3 | Kalimzhan Beiseuov Time-varying overreaction in commodities futures market Time-varying overreaction across commodities. Introduction to trading strategies performance assessment. |
| September 1, Tuesday | ||
| 19:00 | SE-3 | Maria Bondarenko Web application development (financial and economic analysis platform, SVOD) All stages of web app development from scratch. Required hard skills and packages. Overall description of the project and performance demonstration. Coding details. Basic functions, solutions for back-end and front-end, and practical tips. |
| 20:30 | ML-3 | Sergei Khatuntsev ML application for commodities prices forecasting Brief overview of data structure and model used. Infrastructure development and computing power usage. Out-of-sample testing and validation. Forecasting performance metrics. Avenues for future work. Kaggle competition announcement. |
| September 2, Wednesday | ||
| 20:30 | DM-3 | Anna Ivanova Data scraping with Selenium and Playwright Issues with basic data scraping methods. Dynamic web pages. Mastering Selenium and Playwright libraries, with practical tips. |
| September 5, Saturday | ||
| 11:00 | Macro-4 | Timur Magzhanov Research frontiers in Macroeconomics Behavioral biases in macroeconomics. Solving the impossible: when DSGE models hide truth behind complexity. How Taylor expansions matter for optimal central bank policy. |
| 12:30 | Fin-4 | Timur Magzhanov Research frontiers in Finance Behavioral biases in finance. Asset pricing under non-rational beliefs. Machine learning and LLMs for asset pricing. Bank-runs modelling and LLMs for banking research. |
| 14:30 | DM-4 | Timur Magzhanov Research frontiers for data scraping applications Examples of applied research projects involving automated data collection. |
| September 6, Sunday | ||
| 11:00 | SE-4 | Anna Ivanova Web application development (platform for experimental studies, forecasting.to) All stages of web app development from scratch. Required hard skills and packages. Overall description of the project and performance demonstration. Coding details. Basic functions, solutions for back-end and front-end, and practical tips. Experimental results coverage. |
| 12:30 | ML-4 | Timur Magzhanov Research frontiers for ML applications ML applications for high-frequency trading research. Voice recognition and multidimensional trading signals processing. Reinforcement learning in economics and finance. LLMs in economics and finance. |
The workshop is survival-based. Submission of the completed problem set for a class is required for invitation to the next master class. No exceptions, no extensions, no negotiations. The final assignment is a research or project proposal. Good luck.