Past Finance Research and Industry Group seminars

Past seminars 2014-17

Date: 30 June 2017, Time 14:00-15:00

Room: TBC

Title: Models for investor preferences for automated portfolio management

Dr. Christoph Gallus, Deutsche Bank, AG - Frankfurt

 

Date: 17 March 2017, Time 14:00-15:00

Room: TBC

Title: Assessment of operational loss data using the method of dimensional analysis and its implications

Dr. Ruben Cohen

 

Date: 28 October 2016, Time 14:00-15:00

Room: CW2 BPL; Charles Wilson Second Floor LT Belvoir Park Lounge

Title: The impact of initial margin

See paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2790227

Dr. Jon Gregory, (Senior Adviser - Solum Financial Derivatives Advisory and Faculty member of the Certificate for Quantitative Finance (CQF))

 

Date: 18 November 2016, Time 14:00-15:00

Room: CW2 BCL; Charles Wilson Second Floor LT Belvoir City Lounge

Title: On the Notion of a Modified Market Portfolio

Professor Jan Wenzelburger, University of Liverpool

 

Date: 25 November 2016, Time 14:00-15:00

Room: KEB 527

Title: Payoff-Based Belief Distortion

Dr. Jiao Peiran, University of Oxford

 

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Seminars 2015/2016

Date: 18 March 2016, Time: 14:00-15:00

Room: KE 322 - Ken Edwards Third Floor SR 322

Title: Heterogenuous regulation of financial institutions

Prof. Wolf Wagner, Rotterdam School of Management

 

Date: 4 March 2016, Time: 14:00-15:00

Room: CW2 BCL - Charles Wilson Second Floor LT Belvoir City Lounge

Title: Does street earnings matter more than GAAP earnings for CEO turnovers?

Prof. Gilad Livne, University of Exeter Business School

 

Date: 19 February 2016, Time: 14:00 - 15:00

Room: KE 527, Ken Edwards Fifth Floor Seminar Room 527

Title: On risk management in a post financial crisis market

Dr. Henry Wayne, Citigroup London

 

Date: 5 February 2016, Time: 14:00-15:00

Room: KE 501, Ken Edwards Fifth Floor Seminar Room 501

Title: Intensity models for credit card loans

Prof. Jonathan Crook, University of Edinburgh Business School

 

Date: 13 November 2015, Time: 14:00-15:00

Room: KE 527 - Ken Edwards Fifth Floor SR 527

Title: Labor Reallocation and Productivity Dynamics: Financial Causes, Real Consequences

Dr. Christian Upper, Bank of International Settlements – Basel

 

Date: 23 October 2015, Time: 14:00-15:00

Room: KE 527 - Ken Edwards Fifth Floor SR 527

Title: A Network-Based Spectral Decomposition Approach to Systemic Risk

Dr. Simone Giansante, University of Bath

 

Date: 2 October 2015, Time: 14:00-15:00

Room: KE 322 - Ken Edwards Third Floor SR 322

Title: Understanding Cycles on Insurance Markets with Agent-Based Modelling and Time Series Data Mining

Dr. Iqbal Owadally, Cass Business School

Date: 15 May 2015

Title: Voluntary profit forecast disclosures, IPO pricing revisions and after-market earnings drift

Prof. Paul McGuinness, Department of Finance, Chinese University of Hong Kong

 

Date: 30 January 2015

Title: Measuring and predicting human behaviour using online data

Dr. Tobias Preis, University of Warwick - Warwick Business School

 

Date: 20 February 2015

Title: Algorithmic and High Frequency Trading in Dynamic Limit Order Markets

Dr. Alejandro Bernales, Banque de France

Abstract:We consider a dynamic equilibrium model of algorithmic trading (AT) for limit order markets. The model is a stochastic asynchronous game with endogenous trading decisions where, as in real limit order markets, there is noncooperation among agents. The model is solved numerically to obtain a Markov-perfect equilibrium. We show that AT improves market performance ‘only’ under specific conditions. For instance, AT traders with only an informational (only a trading speed) advantage increase (reduce) global welfare. AT traders act as liquidity demanders with ‘predatory’ strategies when ‘less-skilled’ investors are majority, which may deteriorate liquidity and welfare. AT reduces waiting costs but finally damages traditional traders’ profits and changes their trading behaviour. AT traders prefer volatile assets, and we report that cancellation fees may be better policy instruments to control AT activity than latency restrictions.

 

Past seminars 2013-14

Date: 15 December 2014

Title Do Engineers Make Markets? The Science and Politics of Electricity Market Design

Dr. Daniel Breslau, Virginia Tech (Virginia USA)

 

Date: 5 December 2014

Title SRI (Socially Responsible Investing) Funds: Investor Demand, Exogenous Shocks and ESG Profiles

Dr. Bialkowski, University of Canterbury – New Zealand

 

Date: 21 November 2014

Title: The Value of Trust: Corporate Social Responsibility and Stock Returns During the Financial Crisis

Professor Ane Tamayo, London School of Economics and Political Science

 

Date: 24 October 2014

Title: Spontaneous Segregation of Agents Across Double Auction Markets

Ms. Aleksandra Aloric, Kings College London - Mathematics Department

 

29 August 2014

Title: Immunizing Collateralized Loans against Defaults

Prof. Shahid Ebrahim, Durham University Business School

Abstract: The global financial crisis underscores the importance of proper loan design that curtails the put option to default. This conceptual paper critically examines this issue from an agency perspective in trading of financial claims between risk-averse lenders and borrowers. Lending is collateralized against tangible assets, which ameliorates information asymmetry. Based on lenders' asset transformation and deposit custodial functions, we intuitively deduce the economic efficiency of default-free collateralized lending over a defaulting one. Pragmatic structuring of the former averts financial fragility, costly bailouts and endows depositors with safety net equivalent to deposit insurance, but without the associate moral hazard. This enhances resiliency of the financial architecture, allowing innovative activities of both private and public sectors of the economy.

 

21 May 2014

Title: Dealing with Dealers: Sovereign CDS Co-Movements in Europe?

Sergio Mayordomo, University of Navarra (Spain)

(joint work with M. Antón and M. Rodriguez-Moreno)

 

9 May 2014

Title: High-frequency financial data modeling using Hawkes processes

Dr. Valerie Chavez, University of Lausanne

Abstract: We propose a marked point process model for the excesses of high frequency time series over a high threshold that combines Hawkes processes for the exceedances with a generalized Pareto distribution model for the marks (exceedance sizes). Risk measures such as intraday Value-at-Risk (VaR) are of interest for market participants involved in high-frequency trading. The conditional approach features intraday clustering of extremes and is used to calculate instantaneous conditional VaR. Maximum likelihood estimation is computationally intensive; we use a differential evolution genetic algorithm to find adequate starting values for the optimization process. The models are backtested on real data.

 

28 February

Title: Give me strong moments and time – combining GMM and SMM to estimate

Long-Run Risk Asset Pricing Models

Professor J Grammig, Universität Tübingen (Germany)

Abstract: Allowing for long-run consumption risk in asset pricing is a theoretically convincing approach toward resolving the familiar asset pricing puzzles. Empirical tests of long-run risk (LRR) models, however, are hampered by a complex model structure. We argue that whilst the Simulated Method of Moments provides a natural framework to estimate LRR models, several theoretical and econometric intricacies must be addressed in order to deliver credible results. Caveats concern model solubility and weak identification of the deep model parameters. We suggest a two-step estimation approach, matching analytical moments where possible and simulated moments where necessary. For that purpose, we elicit informative moment matches from the theoretical LRR model structure, and we show how this is essential to ensure identification of the deep model parameters. Our claims are substantiated by an extensive Monte Carlo simulation study.

 

21 February

Title: Term structure dynamics: Escaping the Autoregressive Paradigm

Professor Peter Spencer, Economics, The University of York

Abstract: This paper proposes a novel approach to the term structure of interest rates which allows the cross section of returns to be modelled without adopting any specific model of the risk-neutral factor dynamics. Our framework is based on the return forecasting regressions and combines the flexibility of the ‘no arbitrage' approach used by practitioners for pricing with the time series domain econometrics used in the ‘equilibrium approach' by academic researchers.  We use a return forecasting regression (RFR) system to model the behaviour of returns under both risk neutral and real world probability measures. As in their system Cochrane and Piazzesi (2008), the RFR specified under the real world measure determines the prices of risk that separates the real and risk neutral dynamics. The RFR specified under the risk neutral measure determines the behaviour of the cross section of returns, replacing the ATSM they use to explain the cross section. The log prices and yields can then be reconstructed from the returns. Finally, the real world dynamics are determined indirectly, as in Cochrane and Piazzesi (2008). We find that the standard autoregressive model fails against ARFIMA and other specifications.

 

22 November 2013

Title: A welfare analysis of fragmented liquidity markets

Dr. Oren Sussman, University of Oxford

 

18 October 2013

Title: Information, Incentives and Governance: The role of expert firms

Professor Sanjay Banerji, Nottingham University Business School

 

Past seminars 2012-13

 

10 May 2013

'The Complex Challenge of Sustainability'

Professor Doyne Farmer, Institute for New Economic Thinking Oxford Martin School (University of Oxford) and Santa Fe Institute (USA)

12 October 2012

'Multivariate Stress Testing for Solvency'

Professor Alexander McNeil, Heriot-Watt University (UK)

26 October 2012

'Quantum tools for classical systems'

Professor Fabio Bagarello, Universita di Palermo (Italy)

2 November 2012

'Bounds for rating override rates'

Dr Dirk Tasche, Financial Services Authority (FSA) (UK)

16 November 2012

'Network motifs for microeconomic analysis'

Dr Steve Phelps, University of Essex (UK)

Seminars 2011 - 2012

 

28 October 2011 (Brown Bag Lunch Talk) Amangeldi Kenjagaliev, University of Leicester

“Currency Misalignment from an Exchange Market Pressure Perspective” (joint paper with S. Hall; P. Swamy; G. Tavlas)

4 November 2011 (Brown Bag Lunch Talk) Dr. Tatiana Fic, National Institute of Economic and Social Research

“Bank capital composition, regulation and risk taking”

11 November 2011 Prof. Jerry Coakley, University of Essex

“Calendar anomalies and data snooping in European stock market indices” (joint with M. Marzano and J. Nankervis)

17 November 2011 Prof. E. Mike Tsionas, Athens University of Economics and Business

“Competition and the lending channel: redefining competition in banking”

18 November 2011 Prof. Simon Deakin, University of Cambridge

“Informal institutions and the limits to convergence in corporate governance: the reception of hedge fund activism in Japan”

2 December 2011 Dr. Vladislav Damjanovic, St. Andrews University

“Universal banking, competition and risk in a macro model”

9 December 2011 (Brown Bag Lunch Talk) Dr. Bruce Hearn, University of Leicester

“The impact of private equity and business angel investors on private benefits of control in North African IPO firms”

6 January 2012 Prof. Alex Lipton, Bank of America Merrill Lynch and Imperial College London

27 January 2012 Prof. Victoria Dalko, Harvard University Extension School - USA

"Is there monopoly in the stock market?"

27 January 2012 Prof. Paul McGuinness, The Chinese University of Hong Kong

"The role of 'cornerstone' investors and the Chinese State in the relative underpricing of State and Privately controlled IPO firms"

3 February 2012 Prof. Richard Taffler, Warwick Business School

"The Chinese Stockmarket Bubble: The Role of Emotion"

17 February 2012 Prof. Ioanid Rosu, HEC Paris

"High Frequency Traders, News and Volatility"

2 March 2012 Prof. Peter McBurney, King's College London

"The CAT Market Design Tournament and Co-Segmentation"

30 March 2012 Dr. Co-Pierre Georg, Friedrich-Schiller-Universitaet Jena

"The impact of the interbank network structure on contagion and common shocks"

11 May 2012 (Brown Bag Lunch Talk) Mr. Antony Jackson, University of Leicester

"On the dynamics of market ecologies: the interaction and survival of technical trading strategies"

25 May 2012 Dr. Yuval Millo, London School of Economics

"Close Connections: Hedge Funds, Brokers and the Emergence of a Consensus Trade"

Seminars 2010 - 2011

 

21 October 2010 Dr Marek Jochec, ISCTE Business School
"Patriotic Name Bias and Stock Returns"

2 December 2010 Professor Weimin Liu, University of Nottingham
"Liquidity risk and asset pricing: Evidence from daily data, 1926--2009"

9 December 2010 Artur Sepp, Bank of America Merrill Lynch
"Local Stochastic Volatility Models"

18 March 2011 Professor Charles Calomiris, Columbia Business School - USA
"Crisis ‘Shock Factors’ and the Cross-Section of Global Equity Returns"

24 March 2011 Professor Mark Shackleton, Lancaster University
"On the valuation of and returns to project flexibility within sequential investment" with Steinar Ekern and Sigbjorn Sodal

10 May 2011 Professor Belal Baaquie, National University of Singapore
"Financial Modelling and Quantum Mathematics"

12 May 2011 (Brown Bag Lunch Talk) Dr. Sandra Nolte, School of Management – University of Leicester
"What Determines Forcasters' Forecasting Errors?"

26 May 2011 (Brown Bag Lunch Talk) Dr. Maria Boutchkova, School of Management – University of Leicester
"Visualizing and Quantifying Corporate Pyramids"

14 June 2011 Dr. Miguel Palacois, Vanderbilt University - USA
"Measuring Aversion to Debt"

21 June 2011 Professor Thomas Lux, University of Kiel
"Explaining and Forecasting the Psychological Component of Economic Activity"

Special Lectures by Professor Rousseau – Vanderbilt University – USA:
Lecture 1-June 9, "Finance and Growth: A Review and Agenda"
Lecture 2-June 20, "Monetization and Financial Revolution in the United States, 1703-1850"
Lecture 3-June 23, "Bank Stocks and the Rise of Deposit Banking in New York City, 1866-97"
Lecture 4-June 28, "Extensive and Intensive Investment over the Business Cycle"

Seminars 2009 - 2010

 

9 February 2010 Dr Daniel Ladley, University of Leicester
"Short Sale Bans and Tobin Taxes: The Effects of Regulatory Actions on Financial Markets"

23 February 2010 Dr Pasquale della Corte, University of Warwick, Warwick Business School
"Spot and Forward Volatility in Foreign Exchange"

9 March 2010 Dr Mungo Wilson, University of Oxford, Said Business School
"Credit Ratings and Credit Risk"

23 March 2010 Professor Sergei Levendorskii, University of Leicester
"Discounting when Income is Stochastic and Discounted Utility Anomalies"

6 May 2010 Professor Thomas Noe, University of Oxford, Said Business School
"Shareholder democracy and its discontents: outrage, captured boards and the veil of ignorance"

11 May 11th 2010 Professor Nikolaus Hautsch, Humboldt University Berlin
"Econometrics of Limit Order Books: Dynamics, Prediction and Market Impact"

25 May 25th 2010 Dr Mikhail Chernov, London Business School
"Disasters implied by equity index options"

Seminars 2008 - 2009

 

6 February 2009 Ms Nina Boyarchenko, University of Chicago, Booth School of Business
"Are Analysts Right? Regime Switching in the Term Structure of Interest Rates"

6 March 2009 Professor Michael Dempster, University of Cambridge, Judge Business School
"A preliminary Analysis of the Credit Crisis"

20 March 2009 Professor Sophie Moinas, University of Toulouse 1, IAE
"Rational Bubbles: An Experiment"

 

 

Past seminars 2014-15

Date: 15 May 2015

Title: Voluntary profit forecast disclosures, IPO pricing revisions and after-market earnings drift

Prof. Paul McGuinness, Department of Finance, Chinese University of Hong Kong

 

Date: 30 January 2015

Title: Measuring and predicting human behaviour using online data

Dr. Tobias Preis, University of Warwick - Warwick Business School

 

Date: 20 February 2015

Title: Algorithmic and High Frequency Trading in Dynamic Limit Order Markets

Dr. Alejandro Bernales, Banque de France

Abstract:We consider a dynamic equilibrium model of algorithmic trading (AT) for limit order markets. The model is a stochastic asynchronous game with endogenous trading decisions where, as in real limit order markets, there is noncooperation among agents. The model is solved numerically to obtain a Markov-perfect equilibrium. We show that AT improves market performance ‘only’ under specific conditions. For instance, AT traders with only an informational (only a trading speed) advantage increase (reduce) global welfare. AT traders act as liquidity demanders with ‘predatory’ strategies when ‘less-skilled’ investors are majority, which may deteriorate liquidity and welfare. AT reduces waiting costs but finally damages traditional traders’ profits and changes their trading behaviour. AT traders prefer volatile assets, and we report that cancellation fees may be better policy instruments to control AT activity than latency restrictions.

 

Past seminars 2013-14

Date: 15 December 2014

Title Do Engineers Make Markets? The Science and Politics of Electricity Market Design

Dr. Daniel Breslau, Virginia Tech (Virginia USA)

 

Date: 5 December 2014

Title SRI (Socially Responsible Investing) Funds: Investor Demand, Exogenous Shocks and ESG Profiles

Dr. Bialkowski, University of Canterbury – New Zealand

 

Date: 21 November 2014

Title: The Value of Trust: Corporate Social Responsibility and Stock Returns During the Financial Crisis

Professor Ane Tamayo, London School of Economics and Political Science

 

Date: 24 October 2014

Title: Spontaneous Segregation of Agents Across Double Auction Markets

Ms. Aleksandra Aloric, Kings College London - Mathematics Department

 

29 August 2014

Title: Immunizing Collateralized Loans against Defaults

Prof. Shahid Ebrahim, Durham University Business School

Abstract: The global financial crisis underscores the importance of proper loan design that curtails the put option to default. This conceptual paper critically examines this issue from an agency perspective in trading of financial claims between risk-averse lenders and borrowers. Lending is collateralized against tangible assets, which ameliorates information asymmetry. Based on lenders' asset transformation and deposit custodial functions, we intuitively deduce the economic efficiency of default-free collateralized lending over a defaulting one. Pragmatic structuring of the former averts financial fragility, costly bailouts and endows depositors with safety net equivalent to deposit insurance, but without the associate moral hazard. This enhances resiliency of the financial architecture, allowing innovative activities of both private and public sectors of the economy.

 

21 May 2014

Title: Dealing with Dealers: Sovereign CDS Co-Movements in Europe?

Sergio Mayordomo, University of Navarra (Spain)

(joint work with M. Antón and M. Rodriguez-Moreno)

 

9 May 2014

Title: High-frequency financial data modeling using Hawkes processes

Dr. Valerie Chavez, University of Lausanne

Abstract: We propose a marked point process model for the excesses of high frequency time series over a high threshold that combines Hawkes processes for the exceedances with a generalized Pareto distribution model for the marks (exceedance sizes). Risk measures such as intraday Value-at-Risk (VaR) are of interest for market participants involved in high-frequency trading. The conditional approach features intraday clustering of extremes and is used to calculate instantaneous conditional VaR. Maximum likelihood estimation is computationally intensive; we use a differential evolution genetic algorithm to find adequate starting values for the optimization process. The models are backtested on real data.

 

28 February

Title: Give me strong moments and time – combining GMM and SMM to estimate

Long-Run Risk Asset Pricing Models

Professor J Grammig, Universität Tübingen (Germany)

Abstract: Allowing for long-run consumption risk in asset pricing is a theoretically convincing approach toward resolving the familiar asset pricing puzzles. Empirical tests of long-run risk (LRR) models, however, are hampered by a complex model structure. We argue that whilst the Simulated Method of Moments provides a natural framework to estimate LRR models, several theoretical and econometric intricacies must be addressed in order to deliver credible results. Caveats concern model solubility and weak identification of the deep model parameters. We suggest a two-step estimation approach, matching analytical moments where possible and simulated moments where necessary. For that purpose, we elicit informative moment matches from the theoretical LRR model structure, and we show how this is essential to ensure identification of the deep model parameters. Our claims are substantiated by an extensive Monte Carlo simulation study.

 

21 February

Title: Term structure dynamics: Escaping the Autoregressive Paradigm

Professor Peter Spencer, Economics, The University of York

Abstract: This paper proposes a novel approach to the term structure of interest rates which allows the cross section of returns to be modelled without adopting any specific model of the risk-neutral factor dynamics. Our framework is based on the return forecasting regressions and combines the flexibility of the ‘no arbitrage' approach used by practitioners for pricing with the time series domain econometrics used in the ‘equilibrium approach' by academic researchers.  We use a return forecasting regression (RFR) system to model the behaviour of returns under both risk neutral and real world probability measures. As in their system Cochrane and Piazzesi (2008), the RFR specified under the real world measure determines the prices of risk that separates the real and risk neutral dynamics. The RFR specified under the risk neutral measure determines the behaviour of the cross section of returns, replacing the ATSM they use to explain the cross section. The log prices and yields can then be reconstructed from the returns. Finally, the real world dynamics are determined indirectly, as in Cochrane and Piazzesi (2008). We find that the standard autoregressive model fails against ARFIMA and other specifications.

 

22 November 2013

Title: A welfare analysis of fragmented liquidity markets

Dr. Oren Sussman, University of Oxford

 

18 October 2013

Title: Information, Incentives and Governance: The role of expert firms

Professor Sanjay Banerji, Nottingham University Business School

 

Past seminars 2012-13

 

10 May 2013

'The Complex Challenge of Sustainability'

Professor Doyne Farmer, Institute for New Economic Thinking Oxford Martin School (University of Oxford) and Santa Fe Institute (USA)

12 October 2012

'Multivariate Stress Testing for Solvency'

Professor Alexander McNeil, Heriot-Watt University (UK)

26 October 2012

'Quantum tools for classical systems'

Professor Fabio Bagarello, Universita di Palermo (Italy)

2 November 2012

'Bounds for rating override rates'

Dr Dirk Tasche, Financial Services Authority (FSA) (UK)

16 November 2012

'Network motifs for microeconomic analysis'

Dr Steve Phelps, University of Essex (UK)

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