Day 1 – Wednesday, 29^th March 2023

Dean

Parallel Session 1A: Volatility I

Hugo Schyns, Maastricht University

A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility (with Nalan Baştürk and Peter C. Schotman, Maastricht University)

Kefu Liao, Cardiff University

Forecasting volatility using drift burst information (with Kevin P. Evans and Dudley Gilder, Cardiff University)

Ser-Huang Poon, University of Manchester

Realised Volatility Forecasting: Machine Learning via Financial Word Embedding with Eghbal Rahimikia, University of Manchester and Stefan Zohren, University of Oxford)

Parallel Session 1B: Machine Learning

Maurizio Daniele, ETH Zürich

Deep Learning with Non-Linear Factor Models: Adaptability and Avoidance of Curse of Dimensionality (with Mehmet Caner, North Carolina State University)

Xin He, Hunan University

Asset Pricing with Panel Tree under Global Split Criteria (with Lin William Cong, Cornell University, Guanhao Feng and Jingyu He, City University of Hong Kong)

Jantje Sönksen, University of Tübingen

Diverging roads: Theory-based vs. machine learning-implied stock risk premia (with Joachim Grammig, Constantin Hanenberg, University of Tübingen and Christian Schlag, Goethe University Frankfurt)

Real-Time Detection of Local No-Arbitrage Violations

Parallel Session 3A: Jumps

Ping Chen Tsai, National Sun Yat-sen University

State-dependent Intra-day Volatility Pattern and Its Impact on Price Jump Detection – Evidence from International Equity Indices (with Cheoljun EOM, Pusan National University)

Hasan Fallahgoul, Monash University

Why Stock Price Jumps? The Role of Disagreement and News (with Xin Lin, Monash University)

Siliang Wei, University of Manchester

Reddit WallStreetBets Influencers (with Yoichi Otsubo and Ser-Huang Poon, University of Manchester)

Alfonso Silva-Ruiz, University of Manchester

Understanding Forex Crashes (with Aleksey Kolokolov, S. Sarah Zhang, and Olga Kolokolova, University of Manchester)

Parallel Session 3B: Asset Pricing I

Alain-Philippe Fortin, University of Geneva

Deep Learning with Non-Linear Factor Models: Adaptability and Avoidance of Curse of Dimensionality (with Patrick Gagliardini, Università della Svizzera italiana and Olivier Scaillet, University of Geneva)

Jorge Wolfgang Hansen, Aarhus University

Immunization with consistent term structure dynamics (with Daniel Borup and Bent Jesper Christensen, Aarhus University)

Jiri Woschitz, BI Norwegian Business School

Robust difference-in-differences analysis when there is a term structure (with Kjell G. Nyborg, University of Zurich)

Dobrislav Dobrev, Federal Reserve Board 

A Randomized Missing Data Approach to Robust Filtering and Forecasting (with Derek Hansen, Board of Governors of the Federal Reserve System and Pawel Szerszen, University of Michigan)

Drinks Reception

Day 2 – Thursday, 30^th March 2023

Kim Christensen, Aarhus University 

A GMM approach to estimate the roughness of stochastic volatility

Parallel Session 5A: Volatility II

Yifan Li, University of Manchester

Beyond the Candlestick Chart: The Maximal Range-Return Divergence Statistic (with Ingmar Nolte and Sandra Nolte, Lancaster University)

Jean-Marie Dufour, McGill University

Practical estimation methods for high-dimensional multivariate stochastic volatility models Statistic (with Md. Nazmul Ahsan, CIRANO)

Nour Meddahi, Toulouse School of Economics

Random Expected Value Models (with Serge Nyawa, Toulouse Business School and Jules Tinang, University of Groningen)

Siem Jan Koopman, Vrije Universiteit Amsterdam

Stochastic Volatility with Stable Errors: Estimation, Filtering and Forecasting (with Francisco Blasques and Karim Moussa, Vrije Universiteit Amsterdam)

Parallel Session 5B: Asset Pricing II

Georgios Sermpinisc, University of Glasgow

Informative Covariates, False Discoveries and Mutual Fund Performance (with Po-Hsuan Hsua, National Tsing Hua University, Ioannis Kyriakoub, City University of London and Tren Mac, University of Glasgow)

Chuanping Sun, City University of London

The Cross Section of Asset Returns with Correlated Factors

Alfonso Valdesogo, Universitat de les Illes Balears

Hedge Fund Investment: Optimal Portfolios with Regime-Switching (with Andreas Heinen, CY Cergy Paris Université)

Liyuan Cui, City University of Hong Kong

Regularized GMM for Time-Varying Models with Applications to Asset Pricing (with Guanhao Feng and Yongmiao Hong, City University of Hong Kong)

Parallel Session 6A: Time Series

Chair: A.M. Robert Taylor, Support: tbc, Room: LT 1

Clint Howard, University of Technology Sydney

To lead or to lag? Measuring asynchronicity in financial time-series using dynamic time warping (with Talis J. Putnins and Vitali Alexeev, University of Technology Sydney)

Francesco Cordoni, Royal Holloway University of London

Consistent Causal Inference for High Dimensional Time Series (with Alessio Sancetta, Royal Holloway University of London)

Alexander J. McNeil, University of York

Semiparametric forecasting using non-Gaussian ARMA models based on s-vines (with Martin Bladt, University of Copenhagen Alexandra Dias and Jialing Han, University of York)

A.M. Robert Taylor, University of Essex

Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors (with Sam Astill, University of Essex, David I. Harvey and Stephen J. Leybourne, University of Nottingham)

Parallel Session 6B: Asset Pricing III

Tianzong Wang, University of Manchester

Mispricing, Learning, and Price Discovery (with Stuart Hyde and Sungjun Cho, University of Manchester)

Sicong Li, London Business School

Asset-Pricing Factors with Economic Targets (with Svetlana Bryzgalova, Victor DeMiguel, London Business School and Markus Pelger, Stanford University)

Yizhi Song, City University of Hong Kong

Deep Tangency Portfolios (with Guanhao Feng, Yizhi Song, Liang Jiang and Junye Li, Fudan University)

Daniele Bianchi, Queen Mary University of London

Smoothing Volatility Targeting (with Mauro Bernardi and Nicolas Bianco, University of Padova)

Conference Dinner

Coach departs outside LUMS at 17:30

Welcome Drinks 17:45

Conference Dinner 18:30

Coach Depart for LUMS at 22:00

Day 3 – Friday, 31^st March 2023

Neil Shephard, Harvard University

Title:tbc

Parallel Session 8A: Options+

Daniel Rabetti, Tel Aviv University

An Anatomy of Crypto-Enabled Cybercrimes (with Lin William Cong, Cornell University, Campbell R. Harvey, Duke University and Zong-Yu Wu, Fox IT)

Mattia Bevilacqua, University of Liverpool

Uncovering the Incremental Information Content of High-Frequency Options (with Lykourgos Alexiou and Rodrigo Hizmeri, University of Liverpool)

Hamed Ghanbari, University of Lethbridge

Short-Term Market Risks Implied by Weekly Options: Comments and Extensions (with Michal Czerwonko, Nazarbayev University and Stylianos Perrakis, Concordia University)

Ion Lucas Saru, Vrije Universiteit Amsterdam

Who Knows? Information Differences Between Trader Types (with Albert J. Menkveld, Vrije Universiteit Amsterdam)

Parallel Session 8B: Risk

Jordi Llorens-Terrazas, Universitat Pompeu Fabra

An Oracle Inequality for Multivariate Dynamic Quantile Forecasting

Rodrigo Hizmeri, University of Liverpool

Tail risk and asset prices in the short-term (Caio Almeida, Princeton University, Gustavo Freire, Erasmus University Rotterdam and René Garcia, Université de Montréal)

Anne Opschoor, Vrije Universiteit Amsterdam

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables Using the F-Riesz Distribution (with Francisco Blasques, Andre Lucas, Vrije Universiteit Amsterdam and Luca Rossini, University of Milan)

Anne-Florence Allard, University of Bristol

Absolute and Relative Measures of Fragility for Tail Risk Models (with Claudia Chmielowska, Bocconi University, Massimo Guidolin, University of Liverpool and Manuela Pedio, University of Bristol)

Parallel Session 9A: Factors

Rasmus Lönn, Erasmus University Rotterdam

Empirical asset pricing with many assets and short time series (with Peter C. Schotman, Maastricht University)

Mirco Rubin, EDHEC Business School

Time-varying Environmental Alphas, Betas, and Latent Factors in Corporate Bonds (with Emanuele Chini, EDHEC Business School, Dario Ruzzi and Salvatore Cardillo, Bank of Italy)

Raman Uppal, EDHEC Business School

What is Missing in Asset-Pricing Factor Models? (with Massimo Dello Preite, Imperial College London, Paolo Zaffaroni, Imperial College London; Irina Zviadadze, HEC Paris)

Parallel Session 9B: Volatility III

Aleksey Kolokolov, University of Manchester

An unbounded intensity model for point processes (with Kim Christensen, Aarhus University)

Marco Kerkemeier, University of Hagen

New stylized facts of financial exuberance periods (with Robinson Kruse-Becher, University of Hagen and Christoph Wegener, Leuphana University Lüneburg)

Albert J. Menkveld, University of Amsterdam

Non-Standard Errors (with et. al.)

Wednesday, 29th March 2023

Do Stock Price Forecasts Reflect Fundamental Forecasts: A Long-run Perspective (with Pei Kuang, University of Birmingham, Renbin Zhang, Shandong University and Tongbin Zhang, Shanghai University of Finance and Economics)

Szymon Lis, University of Warsaw

Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts (with Marcin Chlebus, University of Warsaw)

Illia Kovalenko, University College Dublin

A Financial Modeling Approach to Industry Exchange-Traded Funds Selection (with Thomas Conlon, John Cotter, University College Dublin and Thierry Post, Nazarbayev University)

Hamid Babaei, HEC Liege

Co-movement dynamics and disruptions of the major stock markets (with Georges Hübner, HEC Liege)

Sana Ejaz, University of Tasmania

Beta Discovery in the US and Canadian Stock Markets (with Vladimir Volkov, University of Tasmania)

Matej Nevrla, Charles University

Common Idiosyncratic Quantile Risk(with Jozef Barunik, Charles University)

Robinson Kruse-Becher, University of Hagen

Improving financial volatility nowcasts (with Yuze Liu, University of Hagen)

Niels Marijnen, University of Amsterdam

Characteristic function-based factor modelling of affine jump diffusions using options

Evgenii Vladimirov, University of Amsterdam

iCOS: Option-Implied COS method

Sicong (Allen) Li, London Business School

Comparing Factor Models with Price-Impact Costs (with Victor DeMiguel, London Business School and Alberto Martin-Utrera, Iowa State University)

Thursday, 30th March 2023

Futures Trading Costs and Market Microstructure Invariance: Identifying Bet Activity (with Ai Jun Hou and Caihong Xu, Stockholm University)

Lukas Salcher, University of Liechtenstein

Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks (with Sebastian Stöckl, University of Liechtenstein)

Dario Palumbo, University Ca’ Foscari of Venice

Dynamic Calibration and Combination of Models Predictions? (with Roberto Casarin, Ca’ Foscari University of Venice and Francesco Ravazzolo, BI Norwegian Business School)

Robert Ślepaczuk, University of Warsaw

Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index (with Katarzyna Kryńska, University of Warsaw)

Damian Zięba, University of Warsaw

Heterogeneity of realized volatility on cryptoasset market

Andrea Zaghini, Banca d’Italia

Unconventional policy measures for unconventional green bonds

Simon Trimborn, University of Amsterdam

Influencer Detection meets Network AutoRegression – Influential Regions in the Bitcoin Blockchain (with Hanqiu Peng and Ying Chen, National University of Singapore)

Muhammad Luqman, Qingdao University

Does asymmetrical association among gold and crude oil prices matter? Quantile dilemma of metal and energy markets (with Amina Bibi, Ocean University of China)

Lazaros Symeonidis, University of Essex

The Dynamics of Storage Costs (with Andrei Stancu, Newcastle University, Chardin Wese Simen, University of Liverpool and Lei Zhao, ESCP Business School)

Chardin Wese Simen, University of Liverpool

The Index Effect: Evidence from the Option Market (with Fabian Hollstein, University Hannover)