{"id":20,"date":"2023-06-22T13:54:28","date_gmt":"2023-06-22T13:54:28","guid":{"rendered":"https:\/\/wp.lancs.ac.uk\/fofi2024\/?page_id=20"},"modified":"2024-11-01T15:12:00","modified_gmt":"2024-11-01T15:12:00","slug":"programme","status":"publish","type":"page","link":"https:\/\/wp.lancs.ac.uk\/fofi2024\/programme\/","title":{"rendered":"Programme"},"content":{"rendered":"\t\t
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Latest Information as of 23rd April 2024.<\/p>

Download PDF Conference Programme<\/a><\/p>

Presentations: 25 minutes followed by 5 minutes general discussion. Speakers and session chairs should meet in the lecture theatre at least 5 minutes before their session.<\/p>
Wednesday, 24 April 2024<\/span><\/strong><\/span><\/td><\/tr><\/thead>
Time<\/strong><\/td>Details<\/strong><\/td>Rooms<\/strong><\/td><\/tr>
10:00 – 11:00 hrs<\/td>Conference Registration<\/strong><\/td>LCC, Lounge<\/td><\/tr>
Session 1 \u2013 Parallel Sessions<\/strong><\/td><\/tr>
11:00 – 13:00 hrs<\/td>Parallel Session 1A \u2013 Factor Investing I
Chair:<\/strong> Kevin Schneider Support:<\/strong> Marco Cinquetti
<\/strong><\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
11:00 – 13:00 hrs<\/td>Parallel Session 1B \u2013 Corporate Bonds
Chair: <\/strong>Joris Blonk Support: <\/strong>Reka Lantos<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
11:00 – 13:00 hrs<\/td>Parallel Session 1C \u2013 Options
Chair: <\/strong>Manuela Pedio Support: <\/strong>Berke Erdis<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
13:00 – 14:00 hrs<\/td>Lunch Break and Poster Session I<\/strong><\/td>LUMS LT2 & 3 Breakout<\/td><\/tr>
14:00 – 14:15 hrs<\/td>Welcome and Logistics<\/strong><\/td>LUMS, LT1<\/td><\/tr>
Session 2 \u2013 Keynote (Plenary)
Chair:<\/strong> Chelsea Yao Support<\/strong>: Marco Cinquetti<\/td>		\u00a0<\/td><\/tr>
14:15 – 15:15 hrs<\/td>Keynote Speech: Marcin Kacperczyk,<\/strong> Imperial College London
“Carbon-Transition Risk”<\/a>“<\/a><\/td>		LUMS LT 1<\/td><\/tr>
15:15 – 15:45 hrs<\/td>Refreshment Break<\/strong><\/td>LCC, Lounge<\/td><\/tr>
Session 3 \u2013 Parallel Sessions<\/strong><\/td><\/tr>
15:45 – 17:45 hrs<\/td>Parallel Session 3A \u2013 Next Gen Quant Investing
Chair: <\/strong>Teng Andrea Support: <\/strong>Berke Erdis<\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
15:45 – 17:15 hrs<\/td>Parallel Session 3B \u2013 Factor Models
Chair:<\/strong> Alberto Quaini\u00a0Support:\u00a0<\/strong>Marco Cinquetti<\/td>		LHH Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
15:45 – 17:45 hrs<\/td>Parallel Session 3C \u2013 Risk
Chair: <\/strong>Christoph Frey Support: <\/strong>Bruno Moreira\u00a0
<\/strong><\/td>		LCC Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>

18:00 hrs<\/p>

18:15 – 20:15 hrs
20:15 hrs<\/p><\/td>

Coach departs promptly from outside the Management School for The Ashton Memorial<\/a>
Drinks Reception and Canapes
Coach departs – drop off City Centre and Campus<\/td>		The Ashton Memorial<\/td><\/tr><\/tbody><\/table>
Thursday, 25th April 2024<\/span><\/strong><\/td><\/tr>
Session 4 \u2013 Keynote (Plenary)
Chair:\u00a0<\/strong> Mykola Babiak Support:\u00a0<\/strong>Berke Erdis<\/td>		\u00a0<\/td><\/tr>
09:00 – 10:00 hrs<\/td>Keynote Speech: Magnus Dahlquist<\/strong>, Stockholm School of Economics
\u201cThe Anatomy of Currency Trading Strategies\u201d<\/em><\/td>		LU, GF LT1<\/td><\/tr>
10:00 – 10:15 hrs<\/td>Refreshment Break<\/strong><\/td>LCC, Lounge<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Session 5 \u2013 Parallel Sessions<\/strong><\/td>\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 5A \u2013 Asset Pricing
Chair:\u00a0<\/strong> Alexandre Corhay\u00a0Support: <\/strong>Alexander Swade<\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 5B \u2013 Factors & Funds
Chair:\u00a0<\/strong>Yuekun Liu\u00a0Support:\u00a0<\/strong>Marco Cinquetti<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 5C \u2013 Currencies
Chair: <\/strong>Aleksey Kolokolov\u00a0Support:\u00a0<\/strong>Reka Lantos<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
12:15 – 13:30 hrs<\/td>Lunch Break and Poster Session II<\/strong><\/td>LCC, Lounge<\/td><\/tr>
Session 6 \u2013 Keynote (Plenary)
Chair:\u00a0<\/strong> Carsten Rother Support:\u00a0<\/strong>Marco Cinquetti<\/td>		\u00a0<\/td><\/tr>
13:30 – 14:30 hrs<\/td>Keynote Speech: Scott Wolle<\/strong>, Invesco
“Mapping the Macro Environment\u201d<\/em><\/td>		LUMS, WP LT17<\/td><\/tr>
14:30 – 14:45 hrs<\/td>Refreshment Break<\/strong><\/td>LCC, Lounge<\/td><\/tr>
14:45 – 16:15 hrs<\/td>Parallel Session 7A \u2013 Climate Risk
Chair: <\/strong>Cheng Xue\u00a0Support:<\/strong> Lewei He<\/td>		LCC, Training Centre 2<\/td><\/tr>
\u00a0<\/td><\/tr>
14:45 – 16:15 hrs<\/td>Parallel Session 7B \u2013 Mispricing
Chair:\u00a0<\/strong>Soohun Kim\u00a0Support:\u00a0<\/strong>Reka Lantos<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
14:45 – 16:15 hrs<\/td>Parallel Session 7C \u2013 Bonds
Chair: <\/strong>Katerina Tsakou Support: <\/strong>Moncef Asmar<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
16:15 – 16:45 hrs<\/td> Refreshment Break\u00a0<\/strong><\/td>LHH, Lounge<\/td><\/tr>
16:45 – 17:45 hrs<\/td> Session 8 \u2013 Parallel Sessions<\/strong><\/td>\u00a0<\/td><\/tr>
16:45 – 17:45 hrs<\/td> Parallel Session 8A \u2013 Hedge Funds and Retail Investors
Chair: <\/strong>Xi Dong\u00a0Support:\u00a0<\/strong>Bruno Moreira<\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
16:45 – 17:45 hrs<\/td>Parallel Session 8B \u2013 Analysts
Chair:\u00a0<\/strong> Gabriel Cabrera\u00a0Support:\u00a0<\/strong>Berke Erdis<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
16:45 – 17:45 hrs<\/td>Parallel Session 8C \u2013 Sustainability
Chair: <\/strong>Raman Uppal Support:\u00a0<\/strong>Lewei He<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
\u00a0Conference Dinner<\/strong><\/span><\/td><\/tr>
18:15 hrs<\/td>A coach departs promptly from outside LUMS for Wyreside Hall <\/a><\/td><\/tr>
18:30 – 19:30 hrs<\/td>Welcome Drinks<\/td><\/tr>
19:30 hrs<\/td>

Conference Dinner<\/p>

Best Paper Awards:
<\/strong><\/p>

  • Invesco Factor Investing Prize<\/li>
  • Robeco Sustainable Investing Prize<\/li>
  • Quoniam Innovation in Data-driven Investing Prize<\/li><\/ul><\/td><\/tr>
22:00 hrs<\/td>Coach Departs \u2013 Drop off outside LUMS and City Centre<\/td><\/tr><\/tbody><\/table>
Friday, 26th April 2024 <\/span><\/strong><\/td><\/tr>
Session 9 – Keynote (Plenary)
Chair:\u00a0<\/strong>Olga Kolokova\u00a0Support: <\/strong>Lewei He<\/td>		\u00a0<\/td><\/tr>
09:00 – 10:00 hrs<\/td>Keynote Speech: Laurens Swinkels<\/strong>, Robeco
\u201cMy Life as a Pracademic: Reflections on Finance in Practice and Academia\u201d<\/em><\/td>		LUMS, WP LT15<\/td><\/tr>
10:00 – 10:15 hrs<\/td>Refreshment Break<\/strong><\/td>LCC, Lounge<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Session 10 \u2013 Parallel Sessions<\/strong><\/td>\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 10A \u2013 Transaction Costs & Corporate Bonds
Chair:\u00a0<\/strong>Victor DeMiguel\u00a0Support:\u00a0<\/strong>Berke Erdis<\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 10B \u2013 Factor Portfolio Construction
Chair:\u00a0<\/strong>Nikolaos Vasilas\u00a0Support:\u00a0<\/strong>Reka Lantos<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
10:15 – 12:15 hrs<\/td>Parallel Session 10C – Forecasting
Chair:\u00a0<\/strong> Franziska Peter\u00a0Support: <\/strong>Shifan Yu<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
12:15 – 13:30 hrs<\/td>Lunch Break and Poster Session III<\/strong><\/td>LCC, Lounge<\/td><\/tr>
13:30 – 15:30 hrs<\/td>Session 11 \u2013 Parallel Sessions<\/strong><\/td>\u00a0<\/td><\/tr>
13:30 – 15:30 hrs<\/td>Parallel Session 11A \u2013 Factor Investing II
Chair: <\/strong>Steffen Windm\u00fcller\u00a0Support: <\/strong>Lewei He<\/td>		LCC, Training Room 2<\/td><\/tr>
\u00a0<\/td><\/tr>
13:30 – 15:00hrs<\/td>Parallel Session 11B \u2013 Portfolio Allocation and Factor Models
Chair: <\/strong>Costas Xiouros\u00a0Support: <\/strong>Reka Lantos<\/td>		LCC, Training Room 3<\/td><\/tr>
\u00a0<\/td><\/tr>
13:30-15:30 hrs<\/td>Parallel Session 11C \u2013 Quality Factors
Chair:\u00a0<\/strong>Jerry Sun\u00a0Support: <\/strong>Moncef Asmar<\/td>		LHH, Dalton Suite<\/td><\/tr>
\u00a0<\/td><\/tr>
15:30 hrs<\/td>End of Conference<\/strong><\/td>\u00a0<\/td><\/tr><\/tbody><\/table>

Room References<\/h2>