Program
International Symposium on Financial Engineering and
Risk Management 2010, Taipei, Taiwan
Program Information
Day 1: June 10th, Thursday
8:00-9:00 |
Registration |
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Venue: FERM Check-in Counter, GIS Convention Center |
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9:00-10:30 |
Session 1(A) : Financial Econometrics (I) (invited) |
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Venue: Plato Chamber |
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Organizer: Yacine Ait-Sahalia (Princeton University) |
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Chair: Zongwu Cai (University of North Carolina at Charlotte and Xiamen University) |
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(1) U.S. Liquidity Risk and Stock Returns in Japan Ji-Chai Lin ( Louisiana State University )
(2) Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model Joon Park (Indiana University)
(3) Option Value of Cash Jialin Yu (Columbia University)
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Session 1(B): Empirical Finance (I) (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Gilbert Bassett (University of Illinois at Chicago) |
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Chair: Hefei Wang (University of Illinois at Chicago) |
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(1) Cash Dividend, Corporate Control, and Cash Flow Empirical Evidence From China |
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Chunrong Ai (Shanghai University of Finance and Economics) |
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(2) Optimal Consumption and Portfolio Choice for Long-Horizon Investors |
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with Nontradable Labor Income When Asset Returns Are Predictable |
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Yangru Wu (Rutgers University) |
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(3) Performance Metrics for Algorithmic Traders |
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Dale W. R. Rosenthal (University of Illinois at Chicago) |
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Session 1(C): Stock Volatility and Covariance (Contributed) |
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Venue: Alexander Chamber |
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Chair: Bin Chen (University of Rochester) |
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(1) Stochastic Covariance Models |
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Manabu Asai (Soka University) |
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(2) Empirical Evidence of Leverage Effect in a Stochastic Volatility Model: a Realized Volatility Approach |
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Dinghai Xu (University of Waterloo) |
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(3) On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes |
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Xinghua Zheng (HKUST) |
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10:30-10:50 |
Coffee Break |
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Venue: GIS Convention Center Hallway |
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10:50-11:10 |
Welcome |
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Venue: International Conference Hall |
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11:10-12:00 |
Keynote Speech: Volatility, Risk Premia, and Fears |
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Speaker: Tim Bollerslev (Duke University) |
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Chair: Chungming Kuan (National Taiwan University) |
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Venue: International Conference Hall |
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12:00-13:20 |
Lunch |
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Venue: Plato Chamber |
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13:20-14:50 |
Session 2(A): Statistics and Financial Engineering (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Min Chen (Chinese Academy of Science) |
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Chair: Jianqing Fan (Princeton University) |
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(1) TEI @ I Methodology and an Application to Energy Market Risk Management |
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Shouyang Wang (Chinese Academy of Science) |
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(2) The Applications of Computational Experiment and Financial Engineering in Chinese Financial Market (in Chinese) |
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Xindan Li (Nanjing University) |
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(3) Financial Applications of Functional Time Series Driven by Dynamic Systems |
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Rong Chen (Rutgers University) |
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Session 2(B): Market Microdynamics and Electronic Trading (Invited) |
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Venue: Plato Chamber |
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Organizer: Robert Ferstenberg (Morgan Stanley) |
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Chair: Mark Higgins (JP Morgan) |
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(1) The Economic Benefits of Crossing for VWAP Orders |
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Robert Ferstenberg (Morgan Stanley) |
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(2) An Overview of AHL's Model Based Systematic Trading |
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Anthony Ledford (Man Group/AHL) |
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(3) Analytical Problems in FX High Frequency Market Making |
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Xingguo Pan (Morgan Stanley) |
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Session 2(C): Market and Operational Risk (Contributed) |
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Venue: Alexander Chamber |
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Chair: Yaw-Huei Wang (National Taiwan University) |
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(1) An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers |
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Bernard Lee (Singapore Management University) |
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Shih-fen Cheng (Singapore Management University) |
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(2) Transaction Taxes in a Simple Price Maker/Taker Market |
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Nordia D. Thomas (University of Illinois at Chicago) |
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(3) Quantitative Approaches to Modelling Operational Risk |
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Ming-Heng Zhang (Shanghai University of Finance and Economics) |
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14:50-15:00 |
Small Break |
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15:00-16:30 |
Session 3(A): Credit Risk Modeling (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Jin-Chaun Duan (National University of Singapore) |
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Chair: Yangru Wu (Rutgers University) |
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(1) Credit Gap Risk in First Passage Time Models |
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Wolfgang Schmidt (Frankfurt School of Finance & Management) |
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(2) Clustered Defaults |
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Jin-Chuan Duan (National University of Singapore) |
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(3) Default Prediction with Sector and Macroeconomic Frailties |
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Chunchi Wu (University of Missouri) |
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Session 3 (B): Financial Econometrics (II) (Invited) |
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Venue: Plato Chamber |
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Organizer: Per Mykland (University of Chicago) |
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Chair: Dale Rosenthal (University of Illinois at Chicago) |
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(1) The HYBRID GARCH Class of Models |
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Eric Ghysels (University of North Carolina) |
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(2) Simulation Analysis for Impact of Financial Crisis on Financial Institutions and Government Bailout Effect |
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Xiaoguang Yang (Chinese Academy of Science) |
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(3) Studying the Leverage Effect Based on High-Frequency Data |
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Yingying Li (Hong Kong University of Science and Technology) |
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Session 3(C): Liquidity and Related Issues (Contributed) |
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Venue: Alexander Chamber |
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Chair: San-Lin Chung (National Taiwan University) |
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(1) The Valuation of American Barrier Options: The Static Hedging Approach |
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Pai-Ta Shih (National Taiwan University) |
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(2) Timing of Irregular Price-Drop Events: An Application of ACD Model |
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Hui-Chih Chai (Chung Yuan Christian University) |
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(3) Linking the Belief Base Quoting Strategy to Volatility |
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Pei Lin Hsieh (Cornell University) |
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16:30-16:45 |
Coffee Break |
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Venue: GIS Convention Center Hallway |
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16:45-18:15 |
Session 4(A): Financial Econometrics (III) (Invited) |
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Venue: Plato Chambe |
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Organizer: Yongmiao Hong (Cornell University) |
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Chair: Yingying Li (HKUST) |
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(1) On Estimation of Risk Premia in Linear Factor Models |
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Robert Kimmel (Ohio State University) |
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(2) Testing Whether the Underlying Continuous Time Process Follows a Diffusion: an Infinitesimal Operator Based Approach |
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Bin Chen (University of Rochester) |
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(3) Vast Portfolio Selection using High Frequency Data |
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Jianqing Fan (Princeton University) |
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Session 4(B): Risk and Other Issues (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Rong Chen (Rutgers University) |
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Chair: Rong Chen (Rutgers University) |
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(1) Leverage Management in a Bull - Bear Switching Market |
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Hefei Wang (University of Illinois at Chicago) |
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(2) Does Mortality Improvement Increase Equity Risk Premiums? A Risk Perception Perspective |
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Larry Tzeng (National Taiwan University) |
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(3) Continuous-time mean-variance model with only risky assets |
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Zhongfei Li (Sun Yat-Sen University) |
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Session 4(C): Financial Statistics (Contributed) |
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Venue: Alexander Chamber |
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Chair: Ren-Raw Chen (Fordham University) |
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(1) Improved Generalized Gram-Charlier Expansions based on Multivariate Skew Distributions |
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Wei-han Liu (Tamkang University) |
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(2) Incorporate Higher Conditional Moments into Stock Return Modeling: Evidence from 5 country stock indexes |
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Jiandong Li ( Central University of Finance and Economics) |
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(3) A Reexamination of Fama-French Regressions Using High Frequency Panels |
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Yoosoon Chang (Indiana University) |
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19:00-21:30 |
Conference Banquet |
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Venue: 33F, Ballroom, World Trade Center Club, Taipei No. 1, Hsin-Yi Rd., Sec. 5, Taipei |
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Day 2: June 11st, Friday
9:00-10:30 |
Session 5 (A) : Volatility and Its Dynamics (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Ruey Tsay (University of Chicago) |
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Chair: Haitao Li (University of Michigan) |
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(1) A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations |
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Drew D. Creal (University of Chicago) |
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(2) Multivariate Stochastic Volatility Models with Dynamic Correlations: A Monte Carlo Particle Filtering |
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Hajime Wago (Kyoto Sangyo University) |
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(3) Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance |
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Jin-Huei Yeh (National Central University) |
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Session 5(B): Financial Econometrics (IV) (Invited) |
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Venue: Rock Chamber |
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Organizer: Zongwu Cai (University of North Carolina at Charlotte and Xiamen University) |
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Chair: Jin-Chaun Duan (National University of Singapore) |
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(1) The Realized Laplace Transform of Volatility |
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George Tauchen (Duke University) |
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(2) Is There Evidence for the High Frequency Data Being Purely Discontinuous? |
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Bingyi Jing (Hong Kong University of Science and Technology) |
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(3) A New Model for Conditional Capital Asset Pricing Model |
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Zongwu Cai (University of North Carolina at Charlotte and Xiamen University) |
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Session5 (C): Stock Volatility and Related Issues (Contributed) |
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Venue: Alexander Chamber |
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Chair: Keng-Yu Ho ( National Taiwan University) |
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(1) Inference on Integrated Volatility under Noisy Observations with Jumps |
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Zhi Liu (Hong Kong University of Science & Technology) |
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(2) Volatility Forecasting by Asymmetrical Quadratic Effect with Diminishing Marginal Impact |
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Alex Yi Hou Huang ( Yuan Ze University) |
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(3) An Alternative Regression-Based Test of Price Jumps and Cojumps in Financial Markets |
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Mu-Shu Yun ( National Central University) |
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10:30-10:50 |
Coffee Break |
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Venue: GIS Convention Center Hallway |
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10:50-11:40 |
Keynpte Speech: The Disagreement Approach to Financial Economics |
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Speaker: Harrison Hong (Princeton University) |
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Chair: Jianqing Fan (Princeton University) |
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Venue: International Conference Hall |
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11:40-13:20 |
Lunch |
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Venue: Ponderosa (2F, No.85, Sec. 4, Roosevelt Rd., Taipei) |
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13:20-14:50 |
Session 6(A): Math Finance and Related Topics (Invited) |
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Venue: Archimedes Chamber |
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Organizer: Steve Kou (Columbia University) |
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Chair: Pai-Ta Shih (National Taiwan University) |
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(1) No-Arbitrage Taylor Rule with Regime |
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Haitao Li (University of Michigan) |
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(2) Valuation of Asian Options with Jump Risk |
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Ning Cai (Hong Kong University of Science and Technology) |
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(3) Evidence of the Asymmetric Effects from China¡¦s Monetary Policy |
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Jinquan Liu (Jilin University) |
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Session 6 (B): Portfolio Analytics and System (Invited) |
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Venue: Rock Chamber |
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Organizer: Mark Higgins (JP Morgan) |
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Chair: Yi Tang (Morgan Stanley) |
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(1) Execution Risk |
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Robert Ferstenberg (Morgan Stanley) |
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(2) FX Barrier Derivative Pricing and Skew Dynamics |
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Mark Higgins (JP Morgan) |
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(3) A Transformed Gaussian Copula Approach To Credit Portfolio Modeling |
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David X. Li (China International Capital Corporation) |
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Session 6(C): Volatility, Risk and Related Issues (Contributed) |
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Venue: Michelangelo Chamber |
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Chair: Jin-Huei Yeh (National Central University) |
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(1) Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence |
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Hui-Ching Chuang (National Taiwan University) |
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(2) Time-Varying Trend of Financial Volatilities and Its Correlations with Macroeconomic Variables |
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Ray Y Chou (Institute of Economics, Academia Sinica) |
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(3) Population Growth and Asset Pricing |
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Tzuling Lin (National Taiwan University) |
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14:50-15:00 |
Small Break |
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15:00-16:30 |
Session 7(A): Credit Risk and Derivatives (Invited) |
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Venue: Archimedes Chamber |
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Organizer: San-Lin Chung (National Taiwan University) |
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Chair: San-Lin Chung (National Taiwan University) |
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(1) Anatomy of a Financial Crisis: Endogenous Modeling of Financial |
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Ren-Raw Chen (Fordham University) |
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(2) Mean-Variance Portfolio Selection of Co-Integrated Assets |
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Hoi Ying Wong (Chinese University of Hong Kong) |
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(3) Valuation of constant maturity credit default swaps |
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Meng-Lan Yueh (National Central University) |
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Session 7 (B): Market Behavior and Related Issues (Invited) |
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Venue: Rock Chamber |
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Organizer: Shing-Yang Hu (National Taiwan University) |
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Chair: Jialin Yu (Columbia University) |
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(1) The Price Impact of Large Hedging Trades |
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Neil D. Pearson (University of Illinois at Urbana-Champaign) |
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(2) Asymmetry in Ask and Bid Quotes? Responses to Information in the Foreign Exchange Market |
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Yu-Lun Chen ( National Central University) |
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(3) Equity Liquidity and Funding Liquidity in Subprime Crisis Period: Evidence from the Financial ETFs Market |
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Huimin Chung (National Chiao-Tung University) |
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Session 7(C): Futures and Options (Contributed) |
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Venue: Michelangelo Chamber |
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Chair: Chunrong Ai (Shanghai University of Finance and Economics) |
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(1) The Application of Stress Testing to CDO Credit Rating |
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Xiang Yuan (Shanghai Maritime University) |
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(2) Timing Entry of One-way Essential Complements: The Real Options Approach |
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Piin-hueih Chiang (University of Texas at Austin) |
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(3) Intraday Stock Option Market Activity in Taiwan |
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Chia-Ying Chan (Yuan Ze University) |
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16:30-16:45 |
Coffee Break |
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Venue: GIS Convention Center Hallway |
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16:45-18:15 |
Session 8(A): Empirical Finance (II) (Invited) |
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Venue: Rock Chamber |
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Organizer: Chunrong Ai (Shanghai University of Finance and Economics) |
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Chair: Chunrong Ai (Shanghai University of Finance and Economics) |
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(1) Investor Sentiment and Idiosyncratic Risk Puzzle |
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Xiaohui Gao (Hong Kong University) |
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(2) Where Dream Comes True: Stock Trading and Lottery Buying |
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Tse-Chun Lin (Hong Kong University) |
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(3) Can the Performance of Structural Corporate Bond Models Be Improved? |
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Zhongyan Zhu (Chinese University of Hong Kong) |
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Session 8(B): Financial Risks and Management (Contributed) |
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Venue: Archimedes Chamber |
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Chair: Ning Cai (HKUST) |
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(1) Decomposing Long Run Risk with Macroeconomic Fundamentals |
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Tai-Shiang Huang (National Central University) |
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(2) The Impact of Financial Crisis on the Value Relevance of Financial Instruments Fair Value Information -- The Case of High-and Low-Technology Industries |
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Ssu-Yung Fang (National Yunlin University of Science and Technology) |
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Session 8(C): Portfolio Management (Contributed) |
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Venue: Michelangelo Chamber |
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Chair: Joon Park (Indiana University) |
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(1) A Diversified Portfolio Model by Using Multiple Objective Programming |
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Wen-Yi Lee (National Chi Nan University) |
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(2) Strategic Asset Allocation under Narrow Framing / Loss Aversion |
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Chung-Ying Yeh (Tunghai University) |
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(3) The Diversification Effects of Volatility-Related Assets |
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Keng-Yu Ho ( National Taiwan University) |
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19:00-20:00 |
Conference Dinner |
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Venue: B1 East Gate (©ÉªF¶é), Shangri-La's Far Eastern Plaza Hotel |
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Tun Hwa South Road, Section 2, Taipei |
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Day 3: June 12nd, Saturday
9:00-10:30 |
Session 9(A) : Options, Bonds and Others (Invited) |
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Venue: Rock Chamber |
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Organizer: Rong Chen (Rutgers University) |
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Chair: Hefei Wang (University of Illinois at Chicago) |
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(1) A Model for Deriving Default Probabilities and Recovery Rates via Corporate Bond Prices |
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Takeaki Kariya (Kyoto University) |
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(2) Combining Least-Squares and Quantile Regressions |
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Yong Zhou (Chinese Academy of Sciences) |
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(3) The Impact of Liquidity on Option Prices |
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Yaw-Huei Jeffrey Wang (National Taiwan University) |
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Session 9(B): Portfolio and Model Risks (Invited) |
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Venue: Plato Chamber |
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Organizer: Yi Tang (Morgan Stanley) |
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Chair: Robert Ferstenberg (Morgan Stanley) |
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(1) Financial Engineering at Hedge Funds |
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Fei Zhou (Moore Capital) |
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(2)
Introduction to Enterprise-Level Derivatives Modeling and Pricing |
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Yi Tang (Morgan Stanley) |
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Session 9 (C): Statistical and Econometical Approaches in Finance (Contributed) |
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Venue: Alexander Chamber |
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Chair: Bingyi Jing (Hong Kong University of Science and Technology) |
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(1) An Economic Evaluation of Stock-Bond Return Comovements with Copula-based GARCH Models |
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Zih-Ying Lin (Yuan Ze University) |
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(2) Testing the Predictive Power of the Term Structure without Data Snooping Bias |
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Yi-Cheng Kao (Chung Yuan Christian University) |
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(3) Is More Always Better? Using Stock and Options Data to Estimate the GARCH Options Pricing Model |
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Charles Chang (Chinese University of Hong Kong) |
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10:30-10:50 |
Coffee Break |
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Venue: GIS Convention Center Hallway |
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10:50-11:40 |
Keynote Speech:
The Role of Data and Analytics in Monitoring and |
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Speaker: Jay Dweck (Morgan Stanley) |
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Chair: Eric Xingguo Pan (Morgan Stanley) |
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Venue: International Conference Hall |
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11:40-12:00 |
Closing Remarks |
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Venue: International Conference Hall |
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