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  • First Annual China Futures and Derivatives Markets (CDMC)

  • First Annual China Futures and Derivatives Markets (CDMC)

    Table of Contents

    Introduction ................................................................................................................................... 1

    Conference Schedule .................................................................................................................... 1

    Presentation Sessions ................................................................................................................ 4

    Session 1: Trading, quantitative methods and modeling of derivatives .................................. 4

    Session 2: Hedging and risk management; Credit Spreads ..................................................... 4

    Session 3: Trading, portfolio and hedge fund strategies .......................................................... 5

    Session 4: Trading rules, derivative design and trading patterns; modeling; information

    linkages among financial markets; hedge fund strategies ..................................... 5

    Session 5: Market microstructure, liquidity and volatility; modeling ..................................... 6

    Session 6: Credit spreads; policy reform and institutional constraints in Chinese markets .... 6

    Session 7: Information linkages among markets; modeling; trading ...................................... 7

    Session 8: Information linkages; Credit spreads; modeling of derivatives ............................. 7

    Session 9: Modeling of derivatives; risk management ............................................................ 8

    Session10: Hedging and risk management; hedge fund strategies .......................................... 8

    Panel Discussion: Chinese Derivatives Markets ....................................................................... 8

    Keynote Speakers ......................................................................................................................... 9

    Conference Organization .............................................................................................................. 12

    Detailed Information on Paper Presentations ............................................................................... 14

    Introduction of International Business School of Suzhou (IBSS) ................................................ 26

    Maps of Shanghai and Suzhou Regions, Suzhou, IBSS, Hotel .................................................... 27

    CDMC Travel directions ............................................................................................................... 29

  • First Annual China Futures and Derivatives Markets (CDMC)

    1

    Introduction

    The Journal of Futures Markets (JFM), the China Finance Review International (CFRI), the Review of Futures

    Markets (RFM), the International Business School Suzhou (IBSS) and the Research Institute of Quantitative Finance

    (RIQF) of Xian Jiaotong - Liverpool University (XJTLU), the Volatility Institute at New York University Shanghai

    (VINS), and China Financial Futures Exchange (CFFEX) are jointly organizing a conference on derivative securities

    and markets. Academic research on derivative securities and markets will be presented. This conference aims to

    bring academics, financial professionals and policy makers from China and abroad together to discuss current research

    on futures, options and other derivative markets. Papers will be presented in English, and selected papers will be

    published on special/regular issues of the JFM, the CFRI and the RFM. In addition to the paper presentation sessions,

    a panel discussion will be held in the afternoon of May 20, 2016. The panel, consisting of well-regarded academics,

    seasoned practitioners and senior policy makers, will offer in-depth perspectives on Chinas derivatives markets.

    Conference Schedule Registration

    Pre-Conference Registration (May 18, 2016 May 19, 2016)

    Time

    Program

    Venue

    2016.5.18

    13:30-18:30 Registration XJTLU Conference Centre

    2016.5.18

    18:30-20:00 Dinner Buffet XJTLU Conference Centre

    2016.5.19

    08:30-11:30 Registration XJTLU Conference Centre /BA216

  • First Annual China Futures and Derivatives Markets (CDMC)

    2

    Conference Schedule Day One

    Conference Day One (May 19, 2016)

    Time Program Venue

    08:30-11:30 Registration XJTLU Conference Centre/BA216

    08:30-08:35 Qi Deng

    Opening BA216

    08:35-08:50 Xiaogang Zhang

    Welcome Speech BA216

    08:50-09:10 Photo Taking Main entrance to IBSS building

    09:10-09:40

    Hong Yan

    Keynote Speech,

    Shanghai Advanced

    Institute of Finance

    (SAIF), Shanghai

    Jiaotong University

    (SJTU)

    BA216

    9:40-10:10

    Robert I. Webb

    Keynote Speech,

    University of Virginia,

    Editor of Journal of

    Futures Markets

    BA216

    10:10-10:30 Tea Break BA216

    10:30-12:30 Session 1 + 2 BA216/BA104

    12:30-14:00 Luncheon XJTLU Conference Centre

    14:00-15:30 Session 3 + 4 BA216/BA104

    15:30-15:45 Tea Break BA216

    15:45-17:15 Session 5 + 6 BA216/BA104

    17:15-17:30 Break XJTLU Conference Centre

    17:30-20:00 Dinner Banquet XJTLU Conference Centre

  • First Annual China Futures and Derivatives Markets (CDMC)

    3

    Conference Schedule Day Two

    Conference Day Two (May 20, 2016)

    Time Program Venue

    09:00-09:30

    Jianye Wang

    Keynote Speech,

    Volatility Institute at

    NYU Shanghai, Silk

    Road Fund Co., Ltd.

    BA216

    9:30-10:00

    Stephen Figlewski

    Keynote Speech,

    New York University

    Stern School of

    Business

    BA216

    10:00-10:30 Tea Break

    10:30-12:30 Session 7 + 8 BA216/BA104

    12:30-14:00 Luncheon XJTLU Conference Centre

    14:00-15:00 Session 9 + 10 BA216/BA104

    15:00-15:15 Tea Break BA216

    15:15-16:15 Panel Discussion BA216

  • First Annual China Futures and Derivatives Markets (CDMC)

    4

    Presentation Sessions Morning, May 19, 2016

    Session 1: Trading, quantitative methods and modeling of derivatives

    Time: 10:30-12:30, May 19 Venue: BA216 Chair: Michael Chng

    1-1

    10:30-11:00

    Title Exercise Boundary Violations in American-Style Options: The Rule, not the

    Exception

    Speaker Stephen Figlewski, New York University Stern School of Business

    Discussant Michael Chng, Xian Jiaotong - Liverpool University

    1-2

    11:00-11:30

    Title Option Return Predictability

    Speaker Cao Jie, Chinese University of Hong Kong

    Discussant Stephen Figlewski, New York University Stern School of Business

    1-3

    11:30-12:00

    Title Empirical Patterns of Time Value Decay in Options

    Speaker Ryan McKeon, University of San Diego

    Discussant Yiling Zha, School of Social Sciences, University of Dundee, UK

    1-4

    12:00-12:30

    Title Explicit Solutions for Dynamic Portfolio Choice in Jump-Diffusion Models

    with Multiple Risky Assets and State Variables and Their Applications

    Speaker Yi Hong, Xian Jiaotong - Liverpool University

    Discussant Bin Li, Economics and Management School, Wuhan University

    Session 2: Hedging and risk management; Credit Spreads

    Time: 10:30-12:30, May 19 Venue: BA104 Chair: Zhenlong Zheng

    2-1

    10:30-11:00

    Title Stochastic Seasonality in Commodity Prices: The Case of U.S. Natural Gas

    Prices

    Speaker Zhen Zhu, University of Central Oklahoma

    Discussant Yingying Wu, Xian Jiaotong - Liverpool University

    2-2

    11:00-11:30

    Title Corporate Governance and Default Risk in Financial Firms over the Post

    Financial Crisis Period: International Evidence

    Speaker Lorne Switzer, Concordia University

    Discussant Rong Chen, Department of Finance, Xiamen University

    2-3

    11:30-12:00

    Title Dynamic dependence structure between agricultural commodity futures in

    China: a copula approach based on high-frequency data

    Speaker Steven Li, RMIT University

    Discussant Tom Tich, VB-Technical University of Ostrava, Czech Republic

    2-4

    12:00-12:30

    Title AVIX A New VIX based on Stochastic Interest Rates and Adaptive Screening

    Mechanism

    Speaker Zhenlong Zheng, Department of finance, Xiamen University

    Discussant Xiaoquan Liu, University of Nottingham Ningbo

  • First Annual China Futures and Derivatives Markets (CDMC)

    5

    Presentation Sessions Afternoon One, May 19, 2016

    Session 3: Trading, portfolio and hedge fund strategies

    Time: 14:00-15:30, May 19 Venue: BA216 Chair: Ahmet Goncu

    3-1

    14:00-14:30

    Title Order imbalance and futures price in high-frequency trading: China's

    experience

    Speaker Bohan Li, School of Finance, Central University of Finance and

    Economics

    Discussant Juan Tao, IBSS, Xian Jiaotong - Liverpool University

    3-2

    14:30-15:00

    Title Foreign Indexes trading in SGX: An empirical analysis on price discovery

    Speaker Sili Zhou, Singapore Management University

    Discussant Canlin Li, Federal Reserve Board

    3-3

    15:00-15:30

    Title Pairs Trading with Commodity Futures

    Speaker Ahmet Goncu, Xian Jiaotong - Liverpool Univ