2018 DMC - Academic Programme

DAY ONE

THU 9.00        REGISTRATION, COFFEE/TEA           WA224

  

SESSION 1

THU 9.30-11.00

ChairpersonBart Frijns, Auckland University of Technology
  
PresenterJoakim Westerholm, University of Sydney Business School
PaperContrarians or Momentum Chasers? Individual Investors' Behaviour when Trading ETFs
DiscussantEhud I. Ronn, University of Texas at Austin
  
PresenterSonali Jain, Indian Institute of Management, Ahmedabad
PaperInformed Trading around Earnings Announcement- Spot, Futures or Options?
DiscussantJoakim Westerholm, University of Sydney Business School
  
PresenterEhud I. Ronn, University of Texas at Austin
PaperUsing Equity and Index Options to Obtain Forward-Looking Measures of Beta and Idiosyncratic Variance
DiscussantSonali Jain, Indian Institute of Management, Ahmedabad
  
 

THU 11.00             COFFEE/TEA BREAK

  

SESSION 2

THU 11.30-13.00

ChairpersonBob Webb, University of Virginia
  
PresenterMarc Bohmann, University of Technology Sydney
PaperPrice discovery in commodity derivatives: Speculation or hedging?
DiscussantMichael Garcia, University of Wollongong
  
PresenterFeng Jiao, University of Lethbridge
PaperThe Impact of the US Stock Market Opens on Price Discovery of Government Bond Futures
DiscussantMarc Bohmann, University of Technology Sydney
  
PresenterMichael Garcia, University of Wollongong
PaperThe Impact of HFT on Liquidity and Price Discovery: Evidence from Interest Rate Derivatives
DiscussantFeng Jiao, University of Lethbridge
  
 

THU 13.00             LUNCH BREAK

  

SESSION 3

THU 14.00-16.00

ChairpersonAdrian Fernandez-Perez, Auckland University of Technology
  
PresenterIlnara Gafiatulina, Auckland University of Technology
PaperProperties and the Predictive Power of Implied Volatility in Dairy Market
DiscussantXiaopeng Wei, University of Canterbury
  
PresenterJared De Lisle, Utah State University
PaperVariation in Option Implied Volatility Spread and Future Stock Returns
DiscussantIlnara Gafiatulina, Auckland University of Technology
  
PresenterKun Huang, Hanken School of Economics
PaperVanna Volga and Smile-consistent Implied Volatility Surface of Equity Index Option
DiscussantJared De Lisle, Utah State University
  
PresenterXiaopeng Wei, University of Canterbury
PaperDid fear gauge die, or was it just on vacation? Analysis of low VIX puzzle and its potential explanations
DiscussantKun Huang, Hanken School of Economics
  
 

THU 16.00             COFFEE/TEA BREAK

  

KEYNOTE

THU 16.30 – 17.30

 BOB WEBB, UNIVERSITY OF VIRGINIA
 Trading and Privately Generated Information
Abstract: Traders have attempted to obtain an advantage or edge over other market participants as long as there have been markets.  The advent of electronic trading coupled with technological advances in communications, computation, analysis, and the availability of tracking data and satellite imagery have created new ways of generating private information to exploit in commodity and financial markets.  This presentation discusses some examples of privately generated information and assesses some of the implications for policy and academic research.
  
 

THU 19.00 – 21.30

 SKY TOWER DINNER
  

DAY TWO

FRI 9.00-16.30               COFFEE/TEA                              WA224

  

SESSION 1

FRI 9.00-11.00

ChairpersonAlireza Tourani-Rad, Auckland University of Technology
  
PresenterLudger Overbeck, University of Giessen, Germany
PaperRegime Switching Rough Heston Model
DiscussantJose Da Fonseca, Auckland University of Technology
  
PresenterZheyao (Terry) Pan, Macquarie University
PaperA General Equilibrium Approach to Pricing Volatility Risk
DiscussantLudger Overbeck, University of Giessen, Germany
  
PresenterSebastian Gehricke, University of Otago
PaperThe implied volatility smirk in the VXX options market
DiscussantZheyao (Terry) Pan, Macquarie University
  
PresenterJose Da Fonseca, Auckland University of Technology
PaperVolatility of volatility is (also) rough
DiscussantSebastian Gehricke, University of Otago
  
 

FRI 11.00             COFFEE/TEA BREAK

  

SESSION 2

FRI 11.30-13.00

ChairpersonJoakim Westerholm, University of Sydney Business School
  
PresenterXinfeng Ruan, Auckland University of Technology
PaperCross Section of Option Returns and Volatility-of-Volatility
DiscussantOgnjen Kovacevic, Macquarie Graduate School of Management
  
PresenterLynn Riggs, US CFTC
PaperSwap Trading after Dodd-Frank: Evidence from Index CDS
DiscussantXinfeng Ruan, Auckland University of Technology
  
PresenterOgnjen Kovacevic, Macquarie Graduate School of Management
PaperDepth and spreads in futures markets: relationship with executions, submissions, and cancellations
DiscussantLynn Riggs, US CFTC
  
 

FRI 13.00             LUNCH BREAK

  

SESSION 3

FRI 14.00-16.00

ChairpersonJose Da Fonseca, Auckland University of Technology
  
PresenterDi Mo, RMIT
PaperCommodity Futures Speculation in China
DiscussantAdrian Fernandez-Perez, Auckland University of Technology
  
PresenterRo (Victor) Cho, Massey University
PaperSystematic Market Efficiency and Excess Speculation Activity in Commodity Futures Markets: Too Much of a Good Thing?
DiscussantDi Mo, RMIT
  
PresenterMarcin Czupryna, Cracow University of Economics
PaperOn pricing the unconventional prepaid forward contracts: the case of en premieur fine wines
DiscussantRo (Victor) Cho, Massey University
  
PresenterAdrian Fernandez-Perez, Auckland University of Technology
PaperHedging Pressure and Returns in Futures: Evidence Across Asset Classes
DiscussantMarcin Czupryna, Cracow University of Economics
  
 

FRI 16.00 – 16.30

 AWARDS + CLOSING