2018 Derivative Markets Conference
The Auckland Centre for Financial Research at the Faculty of Business, Economics and Law, Auckland University of Technology will be hosting a two-day conference that focuses on derivative markets. We invite academics and professionals to submit papers that model/explain features of derivative markets and products.
DATES and VENUE
9th - 10th August 2018, WA224, 55 Wellesley St E, Auckland, New Zealand
SPECIAL ISSUE
The Journal of Futures Markets has dedicated a special issue to selected papers presented at the conference.
KEYNOTE SPEAKER:
Prof. Robert I. Webb, University of Virginia, US
BEST PAPER AWARDS:
Best Paper Award NZD 1,500
PAPER SUBMISSION:
Please submit paper in PDF format. The deadline for paper submission: 20 May 2018
Authors will be informed of the outcome of their submission by June 15 2018.
MEETING ORGANIZERS:
Adrian Fernandez-Perez
Research Fellow, ACFR
Bart Frijns
Professor of Finance, AUT University
Director of the ACFR
Alireza Tourani-Rad
Professor of Finance, AUT University
Deputy Dean of Faculty
Robert I. Webb
Professor of Finance, University of Virginia, US
DAY ONE | THU 9.00 REGISTRATION, COFFEE/TEA WA224 |
SESSION 1 | THU 9.30-11.00 |
| Chairperson | Bart Frijns, Auckland University of Technology |
| Presenter | Joakim Westerholm, University of Sydney Business School |
| Paper | Contrarians or Momentum Chasers? Individual Investors' Behaviour when Trading ETFs |
| Discussant | Ehud I. Ronn, University of Texas at Austin |
| Presenter | Sonali Jain, Indian Institute of Management, Ahmedabad |
| Paper | Informed Trading around Earnings Announcement- Spot, Futures or Options? |
| Discussant | Joakim Westerholm, University of Sydney Business School |
| Presenter | Ehud I. Ronn, University of Texas at Austin |
| Paper | Using Equity and Index Options to Obtain Forward-Looking Measures of Beta and Idiosyncratic Variance |
| Discussant | Sonali Jain, Indian Institute of Management, Ahmedabad |
THU 11.00 COFFEE/TEA BREAK | |
SESSION 2 | THU 11.30-13.00 |
| Chairperson | Bob Webb, University of Virginia |
| Presenter | Marc Bohmann, University of Technology Sydney |
| Paper | Price discovery in commodity derivatives: Speculation or hedging? |
| Discussant | Michael Garcia, University of Wollongong |
| Presenter | Feng Jiao, University of Lethbridge |
| Paper | The Impact of the US Stock Market Opens on Price Discovery of Government Bond Futures |
| Discussant | Marc Bohmann, University of Technology Sydney |
| Presenter | Michael Garcia, University of Wollongong |
| Paper | The Impact of HFT on Liquidity and Price Discovery: Evidence from Interest Rate Derivatives |
| Discussant | Feng Jiao, University of Lethbridge |
THU 13.00 LUNCH BREAK | |
SESSION 3 | THU 14.00-16.00 |
| Chairperson | Adrian Fernandez-Perez, Auckland University of Technology |
| Presenter | Ilnara Gafiatulina, Auckland University of Technology |
| Paper | Properties and the Predictive Power of Implied Volatility in Dairy Market |
| Discussant | Xiaopeng Wei, University of Canterbury |
| Presenter | Jared De Lisle, Utah State University |
| Paper | Variation in Option Implied Volatility Spread and Future Stock Returns |
| Discussant | Ilnara Gafiatulina, Auckland University of Technology |
| Presenter | Kun Huang, Hanken School of Economics |
| Paper | Vanna Volga and Smile-consistent Implied Volatility Surface of Equity Index Option |
| Discussant | Jared De Lisle, Utah State University |
| Presenter | Xiaopeng Wei, University of Canterbury |
| Paper | Did fear gauge die, or was it just on vacation? Analysis of low VIX puzzle and its potential explanations |
| Discussant | Kun 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 |
| Chairperson | Alireza Tourani-Rad, Auckland University of Technology |
| Presenter | Ludger Overbeck, University of Giessen, Germany |
| Paper | Regime Switching Rough Heston Model |
| Discussant | Jose Da Fonseca, Auckland University of Technology |
| Presenter | Zheyao (Terry) Pan, Macquarie University |
| Paper | A General Equilibrium Approach to Pricing Volatility Risk |
| Discussant | Ludger Overbeck, University of Giessen, Germany |
| Presenter | Sebastian Gehricke, University of Otago |
| Paper | The implied volatility smirk in the VXX options market |
| Discussant | Zheyao (Terry) Pan, Macquarie University |
| Presenter | Jose Da Fonseca, Auckland University of Technology |
| Paper | Volatility of volatility is (also) rough |
| Discussant | Sebastian Gehricke, University of Otago |
FRI 11.00 COFFEE/TEA BREAK | |
SESSION 2 | FRI 11.30-13.00 |
| Chairperson | Joakim Westerholm, University of Sydney Business School |
| Presenter | Xinfeng Ruan, Auckland University of Technology |
| Paper | Cross Section of Option Returns and Volatility-of-Volatility |
| Discussant | Ognjen Kovacevic, Macquarie Graduate School of Management |
| Presenter | Lynn Riggs, US CFTC |
| Paper | Swap Trading after Dodd-Frank: Evidence from Index CDS |
| Discussant | Xinfeng Ruan, Auckland University of Technology |
| Presenter | Ognjen Kovacevic, Macquarie Graduate School of Management |
| Paper | Depth and spreads in futures markets: relationship with executions, submissions, and cancellations |
| Discussant | Lynn Riggs, US CFTC |
FRI 13.00 LUNCH BREAK | |
SESSION 3 | FRI 14.00-16.00 |
| Chairperson | Jose Da Fonseca, Auckland University of Technology |
| Presenter | Di Mo, RMIT |
| Paper | Commodity Futures Speculation in China |
| Discussant | Adrian Fernandez-Perez, Auckland University of Technology |
| Presenter | Ro (Victor) Cho, Massey University |
| Paper | Systematic Market Efficiency and Excess Speculation Activity in Commodity Futures Markets: Too Much of a Good Thing? |
| Discussant | Di Mo, RMIT |
| Presenter | Marcin Czupryna, Cracow University of Economics |
| Paper | On pricing the unconventional prepaid forward contracts: the case of en premieur fine wines |
| Discussant | Ro (Victor) Cho, Massey University |
| Presenter | Adrian Fernandez-Perez, Auckland University of Technology |
| Paper | Hedging Pressure and Returns in Futures: Evidence Across Asset Classes |
| Discussant | Marcin Czupryna, Cracow University of Economics |
FRI 16.00 – 16.30 | |
| AWARDS + CLOSING |