Program 2014

Venue : Université Paris - Dauphine, Place du Maréchal de Lattre de Tassigny, Paris.

  • From 10:30 a.m. to 7:00 p.m., Room A709, building A
  • From 7:30 p.m. to 9:00 p.m., Amphitéatre 8 - Edgard Faure, Main building

November 25, 2014

10 : 30 am

 

Registration
10 : 50 am

Opening address by A. Chretien (QUANTVALLEY, Aequam)

11 : 00 – 12 : 30 am

Investment Strategies Session
- "Momentum Strategies in Futures Markets and Trend-following Funds", N. Baltas (UBS & Imperial College Business School) and R. Kosowski. Slides.
Discussant: E. Passari (Université Paris-Dauphine).
- "The Booms and Busts of Beta Arbitrage", S. Huang, D. Lou (London School of Economics) and C. Polk. Slides.
Discussant: E. Jurczenko (ESCP Europe & QMI). 

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 :
- P. Blanqué, (Global CIO, Amundi)
- P. Desfossés (CEO, ERAFP)
- F. de Varenne (CEO, SCOR Global Investments)

9 : 00 pm

Cocktail