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)

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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