9th CSDA International Conference on Computational and Financial Econometrics (CFE 2015)

Venue

Statistical signal processing in asset management, session CS18.

S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
R. Molinero, Organizer, Molinero Capital Management

• Using quantitative risk management as a trading tool in a commodities trading company, S. Boutaleb, Invivo Trading
• A speculative volume based covariance model for currency portfolios, G. Bagnarosa, ESC Rennes
• Serial correlation and time-varying liquidity in the hedge fund industry, A. Becam, Université Paris – Dauphine
• Active risk-based investing, E. Jurczenko, Ecole Hotelière de Lausanne, Member of QMI

Econometrics of dynamic portfolios and risk, C0540

J.-M. Zakoian, Chairman and organizer, CREST, Member of the QMI

• Real uncertainty and the zero lower bound, G. Rousselet, NYU Stern School of Business
• Filtered historical simulations for estimating the conditional risk of a dynamic portfolio, C. Francq, CREST and University Lille III
• Deep conditional portfolio sorts, B. Moritz, Ludwig Maximilian University of Munich
• On the empirical saddlepoint approximation with application to asset pricing, B. Holcblat – BI Norwegian Business School
• A speculative volume based covariance model for currency portfolios, G. Bagnarosa, ESC Rennes
• Serial correlation and time-varying liquidity in the hedge fund industry, A. Becam, Université Paris – Dauphine
• Active risk-based investing, E. Jurczenko, Ecole Hotelière de Lausanne, Member of QMI