PROGRAMME

18th FINANCIAL RISKS INTERNATIONAL FORUM

In construction

  • MARCH 17, 2025
  • MARCH 18, 2025
  • Poster session

18th FINANCIAL RISKS INTERNATIONAL FORUM
"Shaping Financial Research: Data, AI and New Challenges"

8:30 - 8:45
REGISTRATION AND WELCOME COFFEE - GRANDE SALLE A MANGER

8:45 - 10:15  PARALLEL SESSIONS
Parallel session 5 - CRYPTOCURRENCIES/NFT - SALLE DES LUSTRES

Chairman: Louis BERTUCCI, Institut Louis Bachelier.
- “Spillover Effects of Tether Depegs on Bitcoin Jumps and Crypto-Market Cojumps”
Baptiste PEREZ RIAZA, and Jean-Yves GNABO, University of Namur.
- “Blockholders and Strategic Voting in DAOs’ Governance”
Romain ROSSELLO, HEC Paris.
Discussant: Andrea CANIDIO, CoW Protocol.
- “On-Chain Optimal Aggregation of Uniswap v3 Clones”
Vincent DANOS, CNRS, ENS, Hamza EL KHALLOUFI, University Paris 1 Panthéon-Sorbonne, Mangrove DAO, Leo Murao WATSON, University of Toronto, and Santiago VALENCIA, Giry SAS, Mangrove DAO.
Discussant: Michele FABI, CREST.

Parallel session 6: ORDER BOOK/OPTIMAL EXECUTION - SALLE DES SEANCES
Chairman: Mathieu ROSENBAUM, Ecole Polytechnique.
- “Optimal Execution under Incomplete Information”
Yadh HAFSI, Etienne CHEVALIER, and Vathana LY VATH, Université Paris-Saclay.
- “Beyond Circuit Breakers: Leveraging Machine Learning for Market Stability”
Iryna VERYZHENKO, Conservatoire National des Arts et Métiers, Grégoire KEMLER, Ecole Nationale Supérieure d’Arts et Métiers  and Nohade NASRALLAH, Excelia Business School.
Discussant: Emmanouil SFENDOURAKIS, Ecole Polytechnique.
- “Data Time Travel for Consistent Market Making: Taming Reinforcement Learning in Multi-agent Systems with Anonymous Data”
Damien CHALLET, and Vincent RAGEL, Université Paris-Saclay.
Discussant: Huyen PHAM, Ecole Polytechnique.

10:15 - 10:30 
COFFEE BREAK - GRANDE SALLE A MANGER

10:30 - 12:00 
PARALLEL SESSIONS

Parallel Session 7 - ORDER BOOK - SALLE DES LUSTRES
Chairwoman: Carole GRESSE, University Paris Dauphine - PSL.
- “Concave Cross Impact”
Natascha HEY, Ecole polytechnique, Iacopo MASTROMATTEO, Capital Fund Management, and Johannes MUHLE-KARBE, Imperial College London.
- “Estimation of Bid-Ask Spreads in the Presence of Serial Dependence”
Matthieu GARCIN, Xavier BOUTY, and Hugo ROCCARO, École supérieure d'ingénieurs Léonard-de-Vinci.
Discussant: Rémi GENET, University Paris Dauphine - PSL.
- “Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation”
Hamza BODOR,  Université Paris 1 Panthéon-Sorbonne, and Laurent CARLIER, BNP Paribas.
Discussant: Charles-Albert LEHALLE, Ecole Polytechnique.

Parallel Session 8 - RISKS AND SUPERVISION - SALLE DES SEANCES
Chairwoman: Anne EPAULARD, University Paris Dauphine - PSL.
- “Finding the Blind Spots Before It's Too Late: A (Reverse) Stress Testing Approach for Asset Liability Management”
Colin M. HARDY, Francisco NUNEZ, Credit Suisse,  Eric SCHAANNING, Nordea, and, Arsen STEPANYAN, Credit Suisse.
- “An Analytical Model for Loan Commitments Facing the Material Adverse Change”
Zvi WIENER, and Dan GALAI, The Hebrew University of Jerusalem.
Discussant: Sylvain BENOIT, University Paris Dauphine - PSL.
- “Regulation of Selection Technologies”
Marie OBIDZINSKI, and Marianne VERDIER,  University Paris 2 Panthéon-Assas.
Discussant: Christophe HURLIN, Université d’Orléans.

12:00 - 12:30
ILB Sustainable Finance Research Ecosystem: The PARC Foundation and its Open-Source Databases - SALLE DES LUSTRES
Thibaud BARREAU, Institut Louis Bachelier.
Capucine NOBLETZ, Institut Louis Bachelier.
Stéphane VOISIN, Foundation Paris Agreement Research Commons.

12:30 - 13:00
EIF AWARDS CEREMONY - SALLE DES LUSTRES
Prize EIF – SCOR Foundation for Science: Best Young Research in Finance and Insurance

13:00 - 14:00  
BUFFET LUNCH - GRANDE SALLE A MANGER


14:15 - 15:30

Plenary Session II - SALLE DES LUSTRES

Chairwoman: Emilie RIEUPEYROUX, Euronext. 

Guest speaker: David HIRSHLEIFER, Professor of Finance, Marshall School of Business, University of Southern California
“News Diffusion in Social Networks and Stock Market Reactions“


ROUNTABLE II:  New Retail Trading Models: can we reconcile free-commission trading and best execution? - SALLE DES LUSTRES
Chairman: Charles-Albert LEHALLE, Ecole Polytechnique.
Paul BESSON, Head of Quant Research, Euronext.
Philippe GUILLOT, Secrétaire général adjoint, en charge de la Direction des données et marchés.
Eric RETTIEN, Head of Retail Services, Kepler Cheuvreux.

14:15 - 15h45
PARALLEL SESSIONS

Parallel Session 9 - ADVANCES IN FINANCE– SALLE DES SEANCES
Chairman: Eric Bouye, World Bank.
- “Examining Independence in Ensemble Sentiment Analysis: A Study on the Limits of Large Language Models Using the Condorcet Jury Theorem”
Eric BENHAMOU, Ai For Alpha, University Paris-Dauphine-PSL, Baptiste LEFORT, Ai For Alpha, CentraleSupélec, Jean-Jacques OHANAA, Beatrice GUEZ, David SALTIELA, and Thomas JACQUOTA, Ai For Alpha.
- “LLMs for Time Series: an Application for Single Stocks and Statistical Arbitrage”
Sébastien VALEYRE, Machina Capital, and Sofiane ABOURA, University of Paris XIII – Sorbonne Paris Nord.
Discussion with the audience  
- “Optimism and Patience Shape Individual Traders' Strategy Preferences”
Stefano VRIZZI, École Normale Supérieure, Stefano PALMINTERI, École Normale Supérieure, Boris GUTKIN, École Normale Supérieure, and Damien CHALLET, CentraleSupélec.
Discussant: Eric BENHAMOU, Ai For Alpha, University Paris-Dauphine-PSL.

15:30 - 16:00
COFFEE BREAK / POSTER SESSION - GRANDE SALLE A MANGER

16:00 - 18:00
PARALLEL SESSIONS

Parallel Session 10 - PORTFOLIO MANAGEMENT – SALLE DES LUSTRES
Chairman: Jérôme TEILETCHE, The World Bank.
- " Bet on a Bubble Asset ? An Optimal Portfolio Allocation Strategy”
Arthur THOMAS, University Paris Dauphine – PSL, Gilles de TRUCHIS, University of Orléans, Elena-Ivona DUMITRESCU, University Paris 2 Panthéon-Assas, and Sébastien FRIES, University Paris Dauphine – PSL.
- “Synthetic Data For Portfolios: A Throw of the Dice will Never Abolish Chance”
Adil Rengim CETINGOZ, Université Paris 1 Panthéon-Sorbonne, and Charles-Albert LEHALLE, Ecole Polytechnique.
Discussant: Laurence CARASSUS, CentraleSupélec.
- " Mirror Descent Algorithms for Risk Budgeting Portfolios"
Martin ARNAIZ IGLESIAS, Adil Rengim CETINGOZ, and Noufel FRIKHA, Université Paris 1 Panthéon-Sorbonne.
- " Hedging Options with a Neural Network Optimized with a Control Variate."
Nicolas BARADEL,Ecole Polytechnique.
Discussant: Thomas RAFFINOT, AXA-IM.

Parallel Session 11 - CRYPTOCURRENCIES – SALLE DES SEANCES

Chairman: Matthieu BOUVARD, TSE.
- “Risk Premia in the Bitcoin Market”
Maria GRITH, Erasmus University Rotterdam, Caio ALMEIDA, Princeton University, Ratmir MIFTACHOV, Humboldt-Universität zu Berlin, and Zijin WANG, Southwestern University of Finance and Economics.
- “Bitcoin Mining for Carbon Emission Reduction”
Jiasun LI, George Mason University.
Discussant: Matthieu BOUVARD, TSE.
- “On Bubbles in Cryptocurrency Prices”, Maarten VAN OORDT, Vrije Universiteit Amsterdam.
- “Demand for Safety in the Crypto Ecosystem”, Tammaro TERRACCIANO, IESE Business School, Murillo Campello, Cornell University and University of Florida, Angela Gallo,Bayes Business School, and Lira MORA, MIT Sloan School of Management.
Discussant: Julien PRAT, CREST.

18:00
COCKTAIL - GRANDE SALLE A MANGER

19:00

End of the Risks Forum
All hours are indicated in Paris local time.