DMC 2021 PROGRAMME
DAY ONE | THURSDAY 9TH SEPTEMBER | NZST 08:00 - 13:30 |
THURSDAY | WELCOME AND INTRODUCTIONALIREZA TOURANI-RAD, AUCKLAND UNIVERSITY OF TECHNOLOGY | |
THURSDAY | SESSION 1A - FUTURES MARKETS | |
CHAIRPERSON | LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX | |
PRESENTER | LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX | |
PAPER | ||
DISCUSSANT | KRISTOFFER GLOVER, UNIVERSITY OF TECHNOLOGY SYDNEY | |
PRESENTER | LOÏC MARÉCHAL, NEUCHÂTEL UNIVERSITY | |
PAPER | ||
DISCUSSANT | LAZAROS SYMEONIDIS, UNIVERSITY OF ESSEX | |
PRESENTER | KRISTOFFER GLOVER, UNIVERSITY OF TECHNOLOGY SYDNEY | |
PAPER | ||
DISCUSSANT | LOÏC MARÉCHAL, NEUCHÂTEL UNIVERSITY | |
THURSDAY | SESSION 1B - ASSET PRICING | |
CHAIRPERSON | ADNAN GAZI, UNIVERSITY OF LIVERPOOL | |
PRESENTER | XUEWU WANG, QUINNIPIAC UNIVERSITY | |
PAPER | ||
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 | BREAK | |
THURSDAY | SESSION 2A - COMMODITY MARKETS | |
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 | ||
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 | SESSION 2B - FINANCIAL MARKETS | |
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 | ||
DISCUSSANT | FERENC HORVATH, CITY UNIVERSITY OF HONG KONG | |
THURSDAY | BREAK | |
THURSDAY | SESSION 3A - FORECASTING | |
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 | ||
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 | SESSION 3B - DERIVATIVES & OTHERS I | |
CHAIRPERSON | CHARDIN WESE, UNIVERSITY OF LIVERPOOL | |
PRESENTER | CHARDIN WESE, UNIVERSITY OF LIVERPOOL | |
PAPER | ||
DISCUSSANT | MARK PADDRIK, OFFICE OF FINANCIAL RESEARCH | |
PRESENTER | CHEN GU, SHANGHAI BUSINESS SCHOOL | |
PAPER | ||
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 | SESSION 1A - DERIVATIVES & OTHERS II | |
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 | ||
DISCUSSANT | CHRISTINE DIECKMANN BANGSGAARD, AARHUS UNIVERSITY | |
FRIDAY | SESSION 1B - MARKET MICROSTRUCTURE | |
CHAIRPERSON | ALEX FRINO, UNIVERSITY OF WOLLONGONG | |
PRESENTER | WILLIAM PROCASKY, TEXAS A&M UNIVERSITY | |
PAPER | ||
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 | BREAK | |
FRIDAY | SESSION 2A - IMPLIED VOLATILITY | |
CHAIRPERSON | CHEN TONG, XIAMEN UNIVERSITY | |
PRESENTER | ANDERS MERRILD POSSELT, AARHUS UNIVERSITY | |
PAPER | ||
DISCUSSANT | JINGYU ZHAO, ZHEJIANG UNIVERSITY | |
PRESENTER | CHEN TONG, XIAMEN UNIVERSITY | |
PAPER | ||
DISCUSSANT | ZEYANG (IVY) ZHOU, UNIVERSITY OF WOLLONGONG | |
PRESENTER | YAHUA XU, CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS | |
PAPER | ||
DISCUSSANT | CHAYAWAT ORNTHANALAI, ROTMAN SCHOOL OF MANAGEMENT | |
FRIDAY | SESSION 2B - DISASTER RISK | |
CHAIRPERSON | JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE | |
PRESENTER | ADRIAN FERNANDEZ-PEREZ, AUCKLAND UNIVERSITY OF TECHNOLOGY | |
PAPER | ||
DISCUSSANT | YAN WANG, NYU SHANGHAI | |
PRESENTER | JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE | |
PAPER | ||
DISCUSSANT | ADRIAN FERNANDEZ-PEREZ, AUCKLAND UNIVERSITY OF TECHNOLOGY | |
PRESENTER | YAN WANG, NYU SHANGHAI | |
PAPER | ||
DISCUSSANT | JEAN-PAUL RENNE, UNIVERSITY OF LAUSANNE | |
FRIDAY | BREAK | |
FRIDAY | KEYNOTE: TRADING, TAIL RISK, AND (RE)TAIL RISKROBERT 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. | |
FRIDAY | SESSION 3A - ANNOUNCEMENTS | |
CHAIRPERSON | ALEXANDER KUROV, WEST VIRGINIA UNIVERSITY | |
PRESENTER | DIFANG HUANG, MONASH UNIVERSITY | |
PAPER | ||
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 | ||
DISCUSSANT | YUHAN HU, THE CHINESE UNIVERSITY OF HONG KONG | |
FRIDAY | SESSION 3B - OPTIONS AND WARRANTS | |
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 |
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PAPER | ||
DISCUSSANT |
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FRIDAY | CLOSING REMARKS | |