Venue : Université Paris - Dauphine, Place du Maréchal de Lattre de Tassigny, Paris.
10 : 30 am
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Registration |
10 : 50 am |
Opening address by A. Chretien (QUANTVALLEY, Aequam) |
11 : 00 – 12 : 30 am |
Investment Strategies Session |
12 : 30 – 2 : 00 pm | Lunch break |
2 : 00 – 3 : 30 pm |
Predatory and Toxic Trading Session - "Do High-Frequency Traders Engage in Predatory Trading?", V. Van Kervel (VU Univ. Amsterdam). Discussant: C.-A. Lehalle (CFM). - "Toxic Arbitrage", T. Foucault (HEC Paris), R. Kozhan and W. Wah Tham. Slides. Discussant: F. Riva (Université Paris-Dauphine & QMI). |
3 : 30 – 5 : 00 pm |
Liquidity and Contagion Session - "Clarifying the Ambiguous Role of High Frequency Trading in Liquidity Provision", S. Darolles, G. Le Fol (Université Paris-Dauphine & QMI), and G. Mero. Discussant: E. Arisoy (Université Paris-Dauphine). - "Contagion in Subprime Mortgage Defaults: a Composite Likelihood Approach", A. Heinen (Cergy Pontoise University), J. B. Kau, D. C. Keenan, M. Lim Kim, and C. Slawson. Slides. Discussant: S. Darolles (Université Paris-Dauphine & QMI). |
5 : 00 – 5 : 30 pm | Coffee break |
5 : 30 – 7 : 00 pm |
Big data and Machine Learning Session - "Daily Market News Sentiment and Stock Prices", D. Allen, M. McAleer and A. Singh (Edith Cowan University). Slides. Discussant: Ruocong Zhang (Exane) - "Do Google Trend Data Contain More Predictability than Price Returns?", D. Challet (Ecole Centrale de Paris) and A. Bel Hadj Ayed. Slides. Discussant: Gulten Mero (Université de Cergy-Pontoise & QMI) |
7 : 30 – 9 : 00 pm |
Panel Session, co-organized by the CFA France and the Master 203 - Financial Markets, (in French) “Could aversion to risk impede long term investing?" , with the participation of : |
9 : 00 pm |
Cocktail |