DMC 2021 PROGRAMME

DAY ONE

THURSDAY 9TH SEPTEMBER

NZST 08:00 - 13:30

THURSDAY
07:45 - 08:00

WELCOME AND INTRODUCTION

ALIREZA TOURANI-RAD, AUCKLAND UNIVERSITY OF TECHNOLOGY

SESSION LINK

THURSDAY
08:00 - 09:30

SESSION 1A - FUTURES MARKETS

SESSION LINK

CHAIRPERSON

LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX

PRESENTER

LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX

PAPER

THE DYNAMICS OF STORAGE COSTS

DISCUSSANT

KRISTOFFER GLOVER, UNIVERSITY OF TECHNOLOGY SYDNEY

PRESENTER

LOÏC MARÉCHAL, NEUCHÂTEL UNIVERSITY

PAPER

A TALE OF TWO PREMIUMS REVISITED

DISCUSSANT

LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX

PRESENTER

KRISTOFFER GLOVER, UNIVERSITY OF TECHNOLOGY SYDNEY

PAPER

FINANCIALLY CONSTRAINED INDEX FUTURES ARBITRAGE

DISCUSSANT

LOÏC MARÉCHAL, NEUCHÂTEL UNIVERSITY

THURSDAY
08:00 - 09:30

SESSION 1B - ASSET PRICING

SESSION LINK

CHAIRPERSON

ADNAN GAZI, UNIVERSITY OF LIVERPOOL

PRESENTER

XUEWU WANG, QUINNIPIAC UNIVERSITY

PAPER

IMPLIED VOLATILITY SPREAD AND STOCK MISPRICING

DISCUSSANT

ADNAN GAZI, UNIVERSITY OF LIVERPOOL

PRESENTER

JOREN KOËTER, TILBURG UNIVERSITY

PAPER

VARIANCE DISCOUNT RATES: WHAT DRIVES PREFERENCES OVER VARIANCE RISK?

DISCUSSANT

XUEWU WANG, QUINNIPIAC UNIVERSITY

PRESENTER

ADNAN GAZI, UNIVERSITY OF LIVERPOOL

PAPER

TAKING MONEY OFF THE TABLE: SUBOPTIMAL EARLY EXERCISES, RISKY ARBITRAGE, AND AMERICAN PUT RETURNS

DISCUSSANT

JOREN KOËTER, TILBURG UNIVERSITY

THURSDAY
09:30 - 10:00

BREAK

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THURSDAY
10:00 - 11:30

SESSION 2A - COMMODITY MARKETS

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CHAIRPERSON

ADRIAN FERNANDEZ-PEREZ, AUCKLAND UNIVERSITY OF TECHNOLOGY

PRESENTER

DAN PIRJOL, STEVENS INSTITUTE OF TECHNOLOGY

PAPER

ON THE TERM STRUCTURE OF MONTHLY CALENDAR SWAP VOLATILITY AND SKEW IN THE CRUDE OIL FUTURES MARKET

DISCUSSANT

DIFANG HUANG, MONASH UNIVERSITY

PRESENTER

MD. MOSTAFA KAMAL, NORTHWESTERN POLYTECHNICAL UNIVERSITY

PAPER

INTERCONNECTEDNESS OF THE GLOBAL COMMODITIES FUTURES MARKETS: COVID-19 PANDEMIC VS. THE GLOBAL FINANCIAL CRISIS

DISCUSSANT

ROBERT LOVELAND, CALIFORNIA STATE UNIVERSITY

PRESENTER

YUHAN HU, THE CHINESE UNIVERSITY OF HONG KONG

PAPER

AN INTEGRATION OF SIRD-MODEL AND CRUDE OIL PRICING UNDER COVID-19

DISCUSSANT

ALEXANDER KUROV, WEST VIRGINIA UNIVERSITY

THURSDAY
10:00 - 11:30

SESSION 2B - FINANCIAL MARKETS

SESSION LINK

CHAIRPERSON

FERENC HORVATH, CITY UNIVERSITY OF HONG KONG

PRESENTER

STEVEN UTKE, UNIVERSITY OF CONNECTICUT

PAPER

MARK-TO-MARKET (OR WEALTH) TAXATION IN THE U.S.: EVIDENCE FROM OPTIONS

DISCUSSANT

LJUBICA GEORGIEVSKA, UCLA ANDERSON SCHOOL OF MANAGEMENT

PRESENTER

FERENC HORVATH, CITY UNIVERSITY OF HONG KONG

PAPER

ARBITRAGE-BASED RECOVERY

DISCUSSANT

STEVEN UTKE, UNIVERSITY OF CONNECTICUT

PRESENTER

LJUBICA GEORGIEVSKA, UCLA ANDERSON SCHOOL OF MANAGEMENT

PAPER

COLLATERAL-ADJUSTED CIP ARBITRAGES

DISCUSSANT

FERENC HORVATH, CITY UNIVERSITY OF HONG KONG

THURSDAY
11:30 - 12:00

BREAK

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THURSDAY
12:00 - 13:30

SESSION 3A - FORECASTING

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CHAIRPERSON

ROBERT I. WEBB, UNIVERSITY OF VIRGINIA

PRESENTER

YEGUANG CHI, UNIVERSITY OF AUCKLAND

PAPER

VOLATILITY MODELS FOR AND APPLICATIONS IN CHINA'S SSE50 OPTIONS MARKET

DISCUSSANT

YUNQI WANG, SOUTHERN UNIVERSITY OF SCIENCE AND TECHNOLOGY

PRESENTER

ANDREA V. SEO, UNAFFILIATED, AVIJVERBERG@GMAIL.COM

PAPER

FACTORS, FILTERS, AND CROSS-SECTIONAL DEPENDENCE: THE CURRENCY IMPLIED VOLATILITY SURFACE FORECAST REVISITED

DISCUSSANT

YEGUANG CHI, UNIVERSITY OF AUCKLAND

PRESENTER

YUNQI WANG, SOUTHERN UNIVERSITY OF SCIENCE AND TECHNOLOGY

PAPER

OUT-OF-SAMPLE EQUITY PREMIUM PREDICTION: THE ROLE OF OPTION-IMPLIED CONSTRAINTS

DISCUSSANT

WIM VIJVERBERG, CITY UNIVERSITY OF NEW YORK GRADUATE CENTER

THURSDAY
12:00 - 13:30

SESSION 3B - DERIVATIVES & OTHERS I

SESSION LINK

CHAIRPERSON

CHARDIN WESE, UNIVERSITY OF LIVERPOOL

PRESENTER

CHARDIN WESE, UNIVERSITY OF LIVERPOOL

PAPER

THE INDEX EFFECT: EVIDENCE FROM THE OPTION MARKET

DISCUSSANT

MARK PADDRIK, OFFICE OF FINANCIAL RESEARCH

PRESENTER

CHEN GU, SHANGHAI BUSINESS SCHOOL

PAPER

THE INFORMATION CONTENT OF THE VIX OPTIONS TRADING VOLUME

DISCUSSANT

CHARDIN WESE, UNIVERSITY OF LIVERPOOL

PRESENTER

MARK PADDRIK, OFFICE OF FINANCIAL RESEARCH

PAPER

INTERMEDIATION NETWORKS AND MARKET LIQUIDITY: EVIDENCE FROM CDS MARKETS

DISCUSSANT

CHEN GU, SHANGHAI BUSINESS SCHOOL

DAY TWO

FRIDAY 10TH SEPTEMBER 2021

NZST 08:00 - 15:15

FRIDAY
08:00 - 09:30

SESSION 1A - DERIVATIVES & OTHERS II

SESSION LINK

CHAIRPERSON

BART FRIJNS, OPEN UNIVERSITEIT

PRESENTER

BART FRIJNS, OPEN UNIVERSITEIT

PAPER

WHO BUYS BITCOIN? THE CULTURAL DETERMINANTS OF BITCOIN ACTIVITY

DISCUSSANT

INJUN HWANG, ULSAN NATIONAL INSTITUTE OF SCIENCE AND TECHNOLOGY

PRESENTER

CHRISTINE DIECKMANN BANGSGAARD, AARHUS UNIVERSITY

PAPER

THE LEAD-LAG RELATIONSHIP BETWEEN VIX FUTURES AND SPX FUTURES

DISCUSSANT

BART FRIJNS, OPEN UNIVERSITEIT

PRESENTER

INJUN HWANG, ULSAN NATIONAL INSTITUTE OF SCIENCE AND TECHNOLOGY

PAPER

A SYSTEMIC CHANGE OF MEASURE FROM CENTRAL CLEARING

DISCUSSANT

CHRISTINE DIECKMANN BANGSGAARD, AARHUS UNIVERSITY

FRIDAY
08:00 - 09:30

SESSION 1B - MARKET MICROSTRUCTURE

SESSION LINK

CHAIRPERSON

ALEX FRINO, UNIVERSITY OF WOLLONGONG

PRESENTER

WILLIAM PROCASKY, TEXAS A&M UNIVERSITY

PAPER

PRICE DISCOVERY AND CROSS-MARKET INFORMATIONAL FLOW IN HIGH-YIELD SYSTEMATIC CDS AND EQUITY MARKETS: OUT-OF-SAMPLE EVIDENCE

DISCUSSANT

ANDREAS CHRISTOPOULOS, YESHIVA UNIVERSITY

PRESENTER

ALEX FRINO, UNIVERSITY OF WOLLONGONG

PAPER

REPORTING DELAYS AND THE INFORMATION CONTENT OF OFF-MARKET TRADES

DISCUSSANT

WILLIAM PROCASKY, TEXAS A&M UNIVERSITY

PRESENTER

ANDREAS CHRISTOPOULOS, YESHIVA UNIVERSITY

PAPER

15 SECONDS TO ALPHA: HIGHER FREQUENCY RISK PRICING FOR COMMERCIAL REAL ESTATE SECURITIES

DISCUSSANT

ALEX FRINO, UNIVERSITY OF WOLLONGONG

FRIDAY
09:30 - 10:00

BREAK

SESSION LINK

FRIDAY
10:00 - 11:30

SESSION 2A - IMPLIED VOLATILITY

SESSION LINK

CHAIRPERSON

CHEN TONG, XIAMEN UNIVERSITY

PRESENTER

ANDERS MERRILD POSSELT, AARHUS UNIVERSITY

PAPER

DYNAMICS IN THE VIX COMPLEX

DISCUSSANT

JINGYU ZHAO, ZHEJIANG UNIVERSITY

PRESENTER

CHEN TONG, XIAMEN UNIVERSITY

PAPER

DO VIX FUTURES CONTRIBUTE TO THE VALUATION OF VIX OPTIONS?

DISCUSSANT

ZEYANG (IVY) ZHOU, UNIVERSITY OF WOLLONGONG

PRESENTER

YAHUA XU, CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS

PAPER

THE INFORMATION CONTENT OF THE DECOMPOSED VVIX AND VSKEW

DISCUSSANT

CHAYAWAT ORNTHANALAI, ROTMAN SCHOOL OF MANAGEMENT

FRIDAY
10:00 - 11:30

SESSION 2B - DISASTER RISK

SESSION LINK

CHAIRPERSON

JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE

PRESENTER

ADRIAN FERNANDEZ-PEREZ, AUCKLAND UNIVERSITY OF TECHNOLOGY

PAPER

ON THE NEGATIVE PRICING OF WTI CRUDE OIL FUTURES

DISCUSSANT

YAN WANG, NYU SHANGHAI

PRESENTER

JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE

PAPER

CLIMATE LINKERS: RATIONALE AND PRICING

DISCUSSANT

ADRIAN FERNANDEZ-PEREZ, AUCKLAND UNIVERSITY OF TECHNOLOGY

PRESENTER

YAN WANG, NYU SHANGHAI

PAPER

MODEL-FREE QUANTILES AND MARKET RETURNS

DISCUSSANT

JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE

FRIDAY
11:30 - 12:00

BREAK

SESSION LINK

FRIDAY
12:00 - 13:00

KEYNOTE: TRADING, TAIL RISK, AND (RE)TAIL RISK

ROBERT I. WEBB, UNIVERSITY OF VIRGINIA

Some of the largest changes in security prices are unrelated to the arrival of fundamental economic information. Rather, they are the result of traders –acting alone or in concert--trying to force prices in the direction that benefits their positions at the expense of other market participants. Recently, retail investors have been both the collective victims of large sudden price moves (such as negative crude oil futures prices in April 2020) and the perceived collective perpetrators of short squeezes in and seemingly irrational prices for, various meme stocks.  Derivative securities have played a key role in many of these sudden price spikes. The implications for speculative markets are assessed.

SESSION LINK

FRIDAY
13:30 - 15:00

SESSION 3A - ANNOUNCEMENTS

SESSION LINK

CHAIRPERSON

ALEXANDER KUROV, WEST VIRGINIA UNIVERSITY

PRESENTER

DIFANG HUANG, MONASH UNIVERSITY

PAPER

MONETARY POLICY SURPRISES AND CORPORATE CREDIT SPREADS

DISCUSSANT

DAN PIRJOL, STEVENS INSTITUTE OF TECHNOLOGY

PRESENTER

ROBERT LOVELAND, CALIFORNIA STATE UNIVERSITY

PAPER

EXPECTING THE UNEXPECTED? TESTS OF INFORMED TRADING USING A REFINED MEASURE OF LIKELIHOOD

DISCUSSANT

MD. MOSTAFA KAMAL, NORTHWESTERN POLYTECHNICAL UNIVERSITY

PRESENTER

ALEXANDER KUROV, WEST VIRGINIA UNIVERSITY

PAPER

WHEN DOES THE FED CARE ABOUT STOCK PRICES?

DISCUSSANT

YUHAN HU, THE CHINESE UNIVERSITY OF HONG KONG

FRIDAY
13:30 - 15:00

SESSION 3B - OPTIONS AND WARRANTS

SESSION LINK

CHAIRPERSON

ALIREZA TOURANI-RAD , AUCKLAND UNIVERSITY OF TECHNOLOGY

PRESENTER

JINGYU ZHAO, ZHEJIANG UNIVERSITY

PAPER

WHY ARE THE PRICES OF EUROPEAN-STYLE DERIVATIVES OVER THE AMERICAN-STYLE DERIVATIVES?

DISCUSSANT

ANDERS MERRILD POSSELT, AARHUS UNIVERSITY

PRESENTER

ZEYANG (IVY) ZHOU, UNIVERSITY OF WOLLONGONG

PAPER

ARE STOCK OPTIONS MORE INFORMED THAN TWITTER? EVIDENCE FROM ASX

DISCUSSANT

CHEN TONG, XIAMEN UNIVERSITY

PRESENTER

CHAYAWAT ORNTHANALAI, ROTMAN SCHOOL OF MANAGEMENT

PAPER

ASYMMETRIES AND THE MARKET FOR PUT OPTIONS

DISCUSSANT

YAHUA XU, CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS

FRIDAY
15:00 - 15:15

CLOSING REMARKS
ALIREZA TOURANI-RAD, AUCKLAND UNIVERSITY OF TECHNOLOGY

SESSION LINK