Academic Programme

Full Programme for the 2014 Conference on High Frequency Data and Derivative Markets.

List of Papers:

Automated Liquidity Provision
Austin Gerig (University of Oxford, United Kingdom)
David Michayluk (University of Technology Sydney, Australia)

Discussant: Lars Nordén (Stockholm Business School, Sweden)

Exchange Traded Barrier Options and Volume-Synchronized Probability of Informed Trading: Evidence from Hong Kong
William Cheung (University of Macau, Macau)
Adrian Lei (University of Macau, Macau)

Discussant: Chi-Feng Tzeng (National Tsing Hua University, Taiwan)

VIX and Skew Indices for SPX and VIX Options
Zhiguang Wang (South Dakota State University, US)
Robert T. Daigler (Florida International University, US)

Discussant: Bart Frijns (Auckland University of Technology, New Zealand)

Contemporaneous Spillover Effects between the US and the UK
Marinela Finta (Auckland University of Technology, New Zealand)
Bart Frijns (Auckland University of Technology, New Zealand)
Alireza Tourani-Rad (Auckland University of Technology, New Zealand)

Discussant: Rohni Grover (Indira Gandhi Institute of Development Research, India)

The Imprecision of Volatility Indexes
Rohni Grover (Indira Gandhi Institute of Development Research, India)
Ajay Shah (National Institute of Public Finance and Policy, India)

Discussant: Alireza Tourani-Rad (Auckland University of Technology, New Zealand)

On the Intraday Relation between the VIX and its Futures
Bart Frijns (Auckland University of Technology, New Zealand)
Alireza Tourani-Rad (Auckland University of Technology, New Zealand)
Robert Webb (University of Virginia, US)

Discussant: Jukka Sihvonen (University of Vaasa, Finland)

Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market
Sang Baum Kang (Illinois Institute of Technology, US)
Xuhui Pan (Tulane University, US)

Discussant: Adrian Fernandez-Perez (Auckland University of Technology, New Zealand)

Commodity Risk Factors and Intertemporal Asset Pricing
Joëlle Miffre (EDHEC Business School, Nice, France)
Ana-Maria Fuertes (City University London, United Kingdom)
Adrian Fernandez-Perez (Auckland University of Technology, New Zealand)

Discussant: John Crosby (Glasgow University, United Kingdom)

Two Order Books are Better than One? Trading At Settlement (TAS) in VIX Futures
Bujar Huskaj (Lund University, Sweden)
Lars Nordén (Stockholm Business School, Sweden)
Discussant: Angelo Aspris (University of Sydney, Australia)

Time and Pro-rata Matching: Evidence of a change in LIFFE STIR Futures
Angelo Aspris (University of Sydney, Australia)
Sean Foley (University of Sydney, Australia)
Peter O’Neill (University of New South Wales, Australia)
Drew Harris (University of New South Wales, Australia)

Discussant: Thanos Verousis (University of Bath, United Kingdom)

The Impact of a Premium Based Tick Size on Equity Option Liquidity
Thanos Verousis (University of Bath, United Kingdom)
Owain ap Gwilym (Bangor University, United Kingdom)
Nikolaos Voukelatos (University of Kent, United Kingdom)

Discussant: David Michayluk (University of Technology Sydney, Australia)

Information about price and volatility jumps inferred from option prices
Stephen Taylor (Lancaster University, United Kingdom)
Chi-Feng Tzeng (National Tsing Hua University, Taiwan)
Martin Widdicks (University of Illinois at Urbana-Champaing, US)

Discussant: Ihsan Badshah (Auckland University of Technology, New Zealand)

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
José Da Fonseca (Auckland University of Technology, New Zealand)
Katja Ignatieva (University of New South Wales, Australia)
Jonathan Ziveyi (University of New South Wales, Australia)

Discussant: Sang Baum Kang (Illinois Institute of Technology, US)

High Frequency Trading and Market Volatility: Is there a Fundamental Association?
Joakim Westerholm (University of Sydney, Australia)

Discussant: Adrian Lei (University of Macau, Macau)

Enhancing central bank communication: The case of the Federal Reserve’s first two-stage monetary policy announcement
Jukka Sihvonen (University of Vaasa, Finland)

Discussant: Marinela Finta (Auckland University of Technology, New Zealand)

No Good Deals - No Bad Models
Nina Boyarchenko (Federal Reserve Bank of New York, US)
Mario Cerrato (University of Glasgow, United Kingdom)
John Crosby (Glasgow University, United Kingdom)
Stewart Hodges (City University London, United Kingdom)

Discussant: José Da Fonseca (Auckland University of Technology, New Zealand)

Asymmetries of the Intraday Return-Volatility Relation
Ihsan Badshah (Auckland University of Technology, New Zealand)
Bart Frijns (Auckland University of Technology, New Zealand)
Johan Knif (Hanken School of Economics, Finland)
Alireza Tourani-Rad (Auckland University of Technology, New Zealand)

Discussant: Robert Daigler (Florida International University, US)

How does the Crude Oil Market Impound Inventory News Information? A Closer look at High-frequency Prices and Trading Activities
Hong Luo (Illinois Institute of Technology, US)
Sang Baum Kang (Illinois Institute of Technology, US)

Discussant: Ivan Indriawan (Auckland University of Technology, New Zealand)

Depth Characteristics for the Electronic Futures Limit Order Book
Alexandre Aidov (University of Houston-Victoria, US)
Robert Daigler (Florida International University, US)

Discussant: Joakim Westerholm (University of Sydney, Australia)