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17th FINANCIAL RISKS INTERNATIONAL FORUM "Big Data & Algorithmic Finance"

Monday, 18
17:00 - 17:30: COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER
- “Tackling Carbon Complexity: A Machine Learning Journey into Corporate GHG Emissions Modelling?”
Timothé GUILLAUME-LI, EcoAct.

- “Rediscovering Price Discovery”
Julien LING, Collège de France and Renmin University of China, Delphine Lautier, and Bertrand Villeneuve, Université Paris Dauphine-PSL.

- “Predicting Islamic Bank Stocks Using Twitter Investor Sentiment and Deep Learning Models”
Ayoub RAZOUK, Aymane HARKATI, Sultane Moulay Slimane University, Youness SAOUDI, and Hanaa HACHIMI, Ibn Tofail University.



Tuesday, 19
15:30 - 16:00: COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER
- “Asset Swap Spreads as Business Cycle Assessors: a Markov Switching Dynamic Factor with Time-Varying Variance Extension”
Romain AUMOND, CREST.

- “Higher-Moments Estimation of the Industry Cost of Equity Capital with Errors-in-Variables?”
Marc DESBAN, and Erkin DIYARBAKIRLIOGLU, Université Paris Est Créteil.

- “Factor Risk Budgeting and Beyond”
Adil Rengim CETINGOZ, Université Paris 1 Panthéon-Sorbonne and Amundi Asset Management, and Olivier GUEANT, Université Paris 1 Panthéon-Sorbonne.

- “Answering Clean Tech Questions with Large Language Models”
Lauren STAGNOL, Amina CHERIEF, Zakaria FARAH, Takaya SEKINE, Amundi Institute, Theo LE GUENEDAL, and Sofia SAKOUT, Amundi Technology.

17th FINANCIAL RISKS INTERNATIONAL FORUM "Big Data & Algorithmic Finance"

13:00 - 13:30
REGISTRATION

13:30 - 13:45

Welcome Address - SALLE DES LUSTRES

by Jean-Michel BEACCO, CEO, Institut Louis Bachelier (ILB), and Marie BRIÈRE, Chairwoman of the Scientific Committee, Financial Risks International Forum.

13:45 - 15:00
Plenary Session I - SALLE DES LUSTRES

Chairman: Michel CROUHY, Natixis.

Guest Speaker: Thierry FOUCAULT, Professor of Finance at HEC Paris
“Alternative Data and Asset Management”

ROUNDTABLE I: Applications of Machine Learning and Artificial Intelligence in Banking and Capital Markets – SALLE DES LUSTRES

Chairman: Michel CROUHY, Senior Advisor at Natixis.
Natacha BAUMANN, Head of Data Strategy, Deputy CDO, BNP Paribas Personal Finance.
Loïc BRIENT,Chief Data Scientist – Data & AI at BPCE.
Marie BRIERE, Head of Investor Intelligence at Amundi Investment Institute, Université Paris Dauphine-PSL and ULB.
Christophe PERIGNON, Professor at HEC Paris.

15:00 - 17:00
PARALLEL SESSIONS

Parallel Session 1 - ORDER BOOK - SALLE DES LUSTRES

Chairman: Paul BESSON, Euronext.
- “Spoofing Order Books with Learning Algorithms”
Gabriel GARCIA-ARENAS, Oxford-Man Institute and University of Oxford, Patrick CHANG, and Alvaro CARTEA, University of Oxford.
Discussant: Iryna VERYZHENKO LEBOEUF, Conservatoire National des Arts et Métiers.
- “Uncovering Market Disorder and Liquidity Trends Detection” 
Yadh HAFSI, Etienne CHEVALIER, and Vathana LY VATH, Université Paris-Saclay.
Discussant: Nohade NASRALLAH KASSIS,EM Strasbourg Business School.
- "Detecting Spoofing in High Frequency Trading Using Machine Learning Techniques"
Iryna VERYZHENKO LEBOEUF, Conservatoire National des Arts et Métiers, Nohade NASRALLAH, EM Business School Strasbourg, and Henri GARCIA,
École nationale supérieure des Arts et Métiers.
- “A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes”  
Hamza BODOR,Université Paris 1 Panthéon-Sorbonne, and Laurent CARLIER, BNP Paribas Corporate and Institutional Banking.
Discussant: Gabriel GARCIA-ARENAS, Oxford-Man Institute and University of Oxford, Patrick CHANG, and Alvaro CARTEA, University of Oxford.

Parallel Session 2 - CLIMATE AND SYSTEMIC RISKS – SALLE DES SEANCES

Chairman: Laurent CLERC, ACPR.
- “Does the Stock Market Price Physical Climate Risks?”  
Karen HUYNH, Amundi Asset Management, Marie BRIERE, Amundi Asset Management, Université Paris Dauphine-PSL and Université Libre de Bruxelles, Anja DURANOVIC, Irene MONASTEROLO, Utrecht University, and Stefano RAMELLI, University of St Gallen.
- “Stormy Investments: Navigating Preferences and Barriers in Weather Disasters” 
Flavio DE CAROLIS, Maastricht University, Rob BAUER, European Centre for Corporate Engagement and School of Business and Economics and International Centre for Pension Management, and Dirk BROEDERS, Nederlandsche Bank and Maastricht University.
Discussant: Jolien NOELS, OECD.
- “The Impact of Climate Risks on the Probability of Bankruptcy: Evidence from Agriculture Firms in Southern Europe”
Ivan PASTOR, International University of La Rioja and BNP Paribas.
- “Safe Distance to Systemic Risk” 
Renzhi LIU, and Sylvain BENOIT, Université Paris Dauphine-PSL.
Discussant: Tristan JOURDE, Banque de France.

Parallel Session 3 - NEURAL NETWORK/MACHINE LEARNING – AUDITORIUM HAUSSMANN

Chairman: Christophe HURLIN, Université d'Orléans.
- “Does Speculation in Futures Markets Improve Commodity Hedging Decisions?”
Joëlle MIFFRE, Audencia Business School, Ana-Maria FUERTES, Bayes Business School, City, University of London, and Adrian FERNANDEZ-PEREZ, Auckland University of Technology.
- “Causal Network Representations in Factor Investing”  
Clint HOWARD, Robeco Quantitative Investments and University of Technology Sydney, Harald LOHRE, Robeco Quantitative Investments and Lancaster University Management School, and Sebastiaan MUDDE, Erasmus University Rotterdam.
Discussant: Thomas RAFFINOT, AXA.
- “Monitoring Time-Varying Systemic Risk in Sovereign Debt and Currency Markets with Generative AI” 
Sabuhi KHALILI, Universitat de Barcelona, Jorge M. URIBE, Universitat Oberta de Catalunya, and Helena CHULIÁ, Universitat de Barcelona.
Discussant: Clint HOWARD, Robeco Quantitative Investments and University of Technology Sydney.

17:00 - 17:30 
COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER

17:30 - 19:00
PARALLEL SESSIONS

Parallel Session 4 - CYBER RISK - SALLE DES LUSTRES

Chairwoman: Caroline HILLAIRET, CREST.
- “Cyber Incident Reports: Extrapolating Severity Using Neural Networks” 
Olivier LOPEZ, Hugo RAPIOR, CREST, and Justin KHER, Detralytics France.
- “Cybersecurity and Cloud Outsourcing of Payments” 
Marianne VERDIER, and Noé CIET, Université Paris-Panthéon-Assas.
Discussant: Christian GOURIEROUX, TSE and University of Toronto.
- “The Risk of Random Sets with Applications to Basket Derivatives” 
Christian GOURIEROUX, TSE and University of Toronto, Yang LU, Concordia University, and Alain MONFORT, CREST.
Discussant: Olivier LOPEZ, CREST.

Parallel Session 5 - ESG AND GREENWASHING – SALLE DES SEANCES

Chairman: David ZERBIB, CREST.
- “Understanding the Effect of ESG Scores on Stock Returns Using Mediation Theory”  
Gaëlle LE FOL, Serge DAROLLES, Université Paris Dauphine-PSL, and Yuyi HE, Chinese University of Hong Kong.
Discussant: Luciano SOMOZA, ESSEC.
- “A Greenwashing Index”  
Hélène MATHURIN, and Elise GOURIER, ESSEC Business School.
Discussant: Martina FRASCHINI, University of Luxembourg.
- “ESG Incidents and Fundraising in Private Equity”  
Teodor DUEVSKI, HEC Paris, Chhavi RASTOGI, World Bank Group, and Tianhao YAO, Singapore Management University.
Discussant: Elise GOURIER,ESSEC.

Parallel Session 6 - INVESTMENT– AUDITORIUM HAUSSMANN

Chairman: Serge DAROLLES, Université Paris Dauphine-PSL.
- “Option Mispricing and Alpha Portfolios” 
Mo WANG, Andras FULOP, ESSEC Business School, and Junye LI, ESSEC Business School.
- “Beta Horizons”  
Paul KAREHNKE, ESCP Business School, and Frans DE ROON.
Discussant: Guillaume COQUERET, EM Lyon.
- “Universal Portfolio Shrinkage”  
Mohammad POURMOHAMMADI, Fabio TROJANI, University of Geneva, Bryan KELLY, Yale School of Management, and Semyon MALAMUD, École Polytechnique Fédérale de Lausanne.
Discussant: Paul KAREHNKE, ESCP Business School.

19:00
END OF THE DAY