PROGRAMME
17th FINANCIAL RISKS INTERNATIONAL FORUM
In construction
- MARCH 18, 2024
- MARCH 19, 2024
- Poster session
17th FINANCIAL RISKS INTERNATIONAL FORUM "Big Data & Algorithmic Finance"
8:30 - 9:00
REGISTRATION AND WELCOME COFFEE - GRANDE SALLE A MANGER
9:00 - 10:15
Plenary Session II - SALLE DES LUSTRES
Chairman: Christian GOURIEROUX,TSE and University of Toronto
Guest Speaker: Rama CONT, Professor of Mathematics and Chair of Mathematical Finance at the University of Oxford.
“Tail-GAN: Learning to Simulate Tail Risk Scenarios”
ROUNDTABLE II: Using data to monitor and regulate financial markets- SALLE DES LUSTRES
Chairman: David BOUNIE, Professor at Télécom Paris, Institut Polytechnique de Paris.
Kheira BENHAMI, Chief Economist and Director of the Analysis, Financial Stability and Risks Division at the DRAI, AMF.
John W GALBRAITH, Professor at McGill University.
Chafic MERHY, Head of Quantitative Research at Ostrum.
10:15 - 10:30
COFFEE BREAK - GRANDE SALLE A MANGER
10:30 - 12:30
PARALLEL SESSIONS
Parallel Session 7 - MARKET MICROSTRUCTURE AND LIQUIDITY - SALLE DES LUSTRES
Chairwoman: Carole GRESSE, Université Paris Dauphine-PSL.
-"Securing Passive Liquidity: the Impact of Europe's First Asymmetric Speed Bump on Options Market Quality"
Caroline LE MOIGN, Université Paris 1 Panthéon-Sorbonne and European Securities Markets Authority.
- “Modeling Liquidity in Corporate Bond Markets: Applications to Price Adjustments”
Olivier GUEANT, Université Paris 1 Panthéon-Sorbonne, and Philippe BERGAULT, Université Paris Dauphine-PSL.
Discussant: Jerôme DUGAST, Université Paris Dauphine-PSL.
- “Trading with Concave Price Impact and Impact Decay – Theory and Evidence”
Natascha HEY, Ecole polytechnique and CFM, Iacopo MASTROMATTEO, Capital Fund Management, Johannes MUHLE-KARBE, Imperial College London, and Kevin WEBSTER, Columbia University.
- “Price Impact in Equity Auctions: Zero, then Linear”
Mohammed SALEK, Damien CHALLET, and Ioane MUNI TOKE, CentraleSupélec.
Discussant: Olivier GUEANT, Université Paris 1 Panthéon-Sorbonne.
Parallel Session 8 - VOLATILITY - SALLE DES SEANCES
Chairman: Jean-Paul LAURENT, Université Paris 1 Panthéon-Sorbonne.
- “VolGAN: a Generative Model for Arbitrage-Free Implied Volatility Surfaces”
Milena VULETIC, and Rama CONT, University of Oxford.
- “Joint SPX-VIX Calibration with Gaussian Polynomial Volatility Models: Deep Pricing with Quantization Hints”
Shaun LI, Université Paris 1 Panthéon-Sorbonne, Eduardo ABI-JABER, Ecole polytechnique, and Camille ILLAND, AXA Investment Managers.
Discussant: Christian BONGIORNO, CentraleSupélec and Université Paris-Saclay.
- “Covariance Matrix Filtering and Portfolio Optimisation: The Average Oracle Vs Non-Linear Shrinkage and All the Variants of DCC-NLS”
Christian BONGIORNO, and Damien CHALLET, CentraleSupélec and Université Paris-Saclay.
- “Deep Estimation for Volatility Forecasting”
Léo PARENT, PRISM Sorbonne.
Discussant: Reda ALAMI CHENTOUFI, CREST.
Parallel Session 9 - TEXTUAL ANALYSIS - AUDITORIUM HAUSSMANN
Chairman: Jocelyn MARTEL, ESSEC.
- “Narratives from GPT-Derived Networks of News, and a Link to Financial Markets Dislocations”
Deborah MIORI, and Constantin PETROV, University of Oxford.
- “Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?”
Baptiste LEFORT, Ai For Alpha and CentraleSupélec, Eric BENHAMOU, CentraleSupélec and Université Paris Dauphine-PSL, Jean-Jacques OHANA, David SALTIEL, Béatrice GUEZ, Ai For Alpha, and Damien CHALLET, CentraleSupélec.
Discussant: Murad NURIYEV, Amundi.
- “Monitoring Narratives: an Application to the Equity Market”
Takaya SEKINE, Amundi Institute, Pascal BLANQUE, Mohamed BEN SLIMANE, Amina CHERIEF, Laurent STAGNOL, Amundi Institute, and Théo LE GUENEDAL, Amundi Institute and CREST.
Discussant: Baptiste LEFORT, AI for alpha and CentraleSupelec.
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 - 14:15
BUFFET LUNCH - GRANDE SALLE A MANGER
14:15 - 15:30
Plenary Session III - SALLE DES LUSTRES
Chairwoman: Catherine CASAMATTA, TSE.
Guest speaker: Christine A. PARLOUR, Professor, Sylvan C. Coleman Chair at the Haas School, UC Berkeley and co-director of the Berkeley Center for Responsible Decentralized Intelligence.
“Liquidity Fragmentation on Decentralized Exchanges”
ROUNTABLE III: Interactions between Traditional and Decentralized Finance - SALLE DES LUSTRES (session organized by the Finance and Insurance Reloaded (FaIR) research program)
Chairman: Louis BERTUCCI, Head of C2DF, Institut Louis Bachelier.
Claudia GUAGLIANO, Head of Consumer, Sustainability, Innovation Analysis Unit, ESMA.
Christine A. PARLOUR, Professor, Sylvan C. Coleman Chair at the Haas School, UC Berkeley and co-director of the Berkeley Center for Responsible Decentralized. Intelligence.
Sylvain PRIGENT, Chief Product Officer, Société Générale-FORGE.
15:30 - 16:00
COFFEE BREAK / POSTER SESSION - GRANDE SALLE A MANGER
16:00 - 18:00
PARALLEL SESSIONS
Parallel Session 10 - CRYPTO CURRENCIES – SALLE DES LUSTRES
Chairman: Julien PRAT, CREST.
- " Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets”
Timothée FABRE, and Ioane MUNI TOKE, CentraleSupelec.
- “Thorough Mathematical Modeling and Analysis of Uniswap v3”
Emmanuel GOBET, Ecole polytechnique, Mnacho ECHENIM, Université Grenoble Alpes, and Anne-Claire MAURICE, Ecole polytechnique.
Discussant: Charles BERTUCCI, Ecole polytechnique.
- "Fractal Properties, Information Theory, and Market Efficiency"
Matthieu GARCIN, and Xavier BROUTY, École supérieure d'ingénieurs Léonard-de-Vinci.
- "Agents' Behavior and Interest Rate Model Optimization in DeFi Lending"
Louis BERTUCCI, Institut Louis Bachelier, Charles BERTUCCI, Ecole polytechnique, and Olivier GUEANT, Université Paris 1 Panthéon-Sorbonne.
Discussant: Matthieu BOUVARD, TSE.
Parallel Session 11 - ROBO ADVISOR/MACHINE LEARNING – SALLE DES SEANCES
Chairman: Frédéric ABERGEL, BNP Paribas Asset Management.
- “A Sequentially Fair Mechanism for Multiple Sensitive Attributes”
François HU, Philipp RATZ,University of Montréal, and Arthur CHARPENTIER, Université du Québec à Montréal.
- “Quantum-Enhanced Versus Classical Support Vector Machine: An Application to Stock Index Forecasting”
Mathieu MERCADIER, Dublin City University Business School.
- “Good Old Lockdown: Household Investment Behavior During the COVID-19 Crisis”
Béatrice BOULU-RESHEF, and Indigo JONES, Université d'Orléans.
Discussant: Bruno SEJOURNE, Université d'Angers.
Parallel Session 12 - CLIMATE RISK – AUDITORIUM HAUSSMANN
Chairwoman: Irene MONASTEROLO, Ultrech University.
- “Taxonomy Alignment and Transition Risk: a Country-Level Approach”
Stefano BATTISTON, University of Zurich and Ca’ Foscari University of Venice, and Alessi LUCIA, European Commission - Joint Research Centre and Universit´a degli Studi di Milano-Bicocca.
- “Asset-Level Data for Assessing Net Zero Alignment: the Case of the Steel Sector”
Peter TANKOV, ENSAE-CREST, Stefano BATTISTON, University of Zurich and Ca’ Foscari University of Venice, Irene MONASTEROLO, Utrecht University, Thibaud BARREAU, and Hamada SALEH, Institut Louis Bachelier.
- “Technological Greeness and Long Run Performance”
Irene MONASTEROLO, Utrecht University, Stefano BATTISTON, University of Zurich and Ca’ Foscari University of Venice, and Maurizio MONTONE, Utrecht University.
- “Surfing the Green Wave: What’s in a “Green” Name Change?”
Carmelo LATINO, Leibniz Institute for Financial Research SAFE.
18:00
NETWORKING COCKTAIL - GRANDE SALLE A MANGER
19:00
All hours are indicated in Paris local time.