17th FINANCIAL RISKS INTERNATIONAL FORUM
Paris, March 18 & 19, 2024
The Institut Louis Bachelier, in cooperation with the Fondation du Risque, the Europlace Institute of Finance and the Louis Bachelier "Finance and Sustainable Growth" Laboratory, is pleased to invite you to the 17th Financial Risks International Forum.
This year’s forum will focus on the theme:
“Big Data and Algorithmic Finance”
The last 40 years have seen huge innovations in computing technology and data availability. Data derived from millions of administrative records or using new methods of data generation such as text mining are now widespread. Banks, insurance and investors are using an increasing amount of data to understand consumers’ or firms’ behavior, and design investment or trading strategies. Algorithms start to be major players in many areas, and regulations, which were mostly designed for humans, need to adapt to this new environment.
This upcoming 17th Financial Risks International Forum aims to discuss the challenges posed by the use of big data and algorithmic finance.
2024 Guest Speakers are:
•Rama Cont, Professor of Mathematics and Chair of Mathematical Finance at the University of Oxford
•Thierry Foucault, Professor of Finance, HEC Paris
•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
PRACTICAL INFORMATION
CHAMBRE DE COMMERCE ET D'INDUSTRIE DE REGION PARIS ILE-DE-FRANCE
27, avenue de Friedland, 75008 PARIS, FRANCE
OUR SPONSORS & PARTNERS 2024 / Financial Risks INTERNATIONAL FORUM
AMF
AMUNDI
ATKEARNEY
CAISSE DES DEPOTS
CCI PARIS
CFA Society France
CFM
CNP
CREDIT AGRICOLE
DECIDEURS MAGAZINE
DIRECTION GENERALE DU TRESOR
EURONEXT
FEDERATION BANCAIRE FRANCAISE
FINANCE FOR TOMORROW BY PARIS EUROPLACE
FORUM POUR L'INVESTISSEMEMENT RESPONSABLE
FONDATION DU RISQUE
GROUPAMA
HOUSE OF FINANCE
HSBC
INSTITUT EUROPLACE DE FINANCE
NATIXIS
PARIS EUROPLACE
REVUE BANQUE
SCOR CORPORATE FOUNDATION FOR SCIENCE
SOCIETE GENERALE
UNIVERSITE PARIS DAUPHINE
UNIVERSITE PARIS EST
LAMARCK GROUP
- MARCH 18, 2024
- MARCH 19, 2024
- Poster session
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.