"Frontiers in High - Frequency Financial Econometrics"
Italy
SCIENTIFIC COMMITTEE
Giacomo Bormetti (University of Bologna)Davide Erminio Pirino (University of Rome "Tor Vergata")Fulvio Corsi (University of Pisa)Fabrizio Lillo (University of Bologna)Stefano Marmi (Scuola Normale Superiore)Maria Elvira Mancino (University of Florence)Roberto Renò (University of Verona).
ORGANIZING COMMITTEE
Giuseppe Buccheri (Scuola Normale Superiore)Giulia Livieri (Scuola Normale Superiore)Daniele Tantari (Scuola Normale Superiore)Luca Trapin (Università Cattolica Sacro Cuore Milano)
CONFERENCE SUPPORT
The conference is made possible thanks to support from Scuola Normale Superiore and Unicredit Group.
08:50–09:00 Opening Remarks
09:00–10:00 André Lucas (Vrije UniversiteitAmsterdam), Modeling covariancedynamics using score-‐drivenmodels
SESSION1
Chair: Giacomo Bormetti
10:00–10:30 Anne Opschoor (Vrije Universiteit Amsterdam), André Lucas, Time-‐varying tail behavior for realized variances
10:30 – 11:00 Eduardo Rossi (Università degli studi di Pavia), Paolo Santucci de Magistris and Leopoldo Catania, Modeling high-‐frequency trading volume
11:00–11:30 Coffee break
SESSION2
Chair: Nicola Fusari
11:30–12:00 Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris (LUISS), A Dynamic Mixture Model for Discrete Price Moves at High Frequency
12:00 – 12:30 Alessandro Palandri (Universita' di Firenze), Fabrizio Cipollini and Giampiero Gallo, Forecasting Optimal Portfolio Weights Using High-‐Frequency Data
12:30–13:30 Lunch
FRIDAY 28 SEPTEMBER – AFTERNOON
13:30–14:30 Poster Session
14:30–15:30 Mathieu Rosenbaum (ÉcolePolytechnique), No-‐arbitrage implies power-‐law marketimpact and rough volatility
SESSION3 Chair: Fabrizio Lillo
15:30–16:00 Ziwen Ye, Ionut Florescu (Stevens Institute of Technology), Data flow analysis in U.S. equity financial markets
16:00–16:30 Timo Dimitriadis, Roxana Halbleib (UniversitätKonstanz), How informative is high-‐frequency data for tail risk estimation and forecasting? An intrinsic time perspective
16:30–17:00 Coffee Break
SESSION4 Chair: Stefano Marmi
17:00–17:30 Marcello Paris(UniCredit), Deep dreams and financial markets
17:30–18:00 Totten Stephen (UniCredit), A Practical Guide to High-‐Frequency FXData
18:15–19:15 Michel Dacorogna (PRS Prime ReSolutions), What Can We Learn From High Frequency Data in Finance -‐ Thirty Years Later?
20:00–22:00 Social Dinner
SATURDAY 289 SEPTEMBER – MORNING
09:00– 10:00 Yacine Ait-‐Sahalia (Princeton University), High Frequency Factor Analysis
SESSION5
Chair: Maria Elvira Mancino
10:00–10:30 Nicola Fusari (Johns Hopkins Carey Business School), Viktor Todorov,Rasmus T. Varneskov, The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
10:30–11:00 François Guay, Gustavo Schwenkler (Boston University), Efficient Inferenceand Filtering for MultivariateJump-‐Diffusions
11:00–11:30 Coffee Break
SESSION6 Chair: Davide Pirino
11:30– 12:00 Cecilia Mancini (Università di Firenze), Jose Figueroa-‐Lopez, Optimum thresholding using mean and conditional mean squared error
12:00–12:30 Andrea Granelli (Deutsche Bank), AlmutVeraart, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
12:30–13:30 Lunch
SATURDAY 289 SEPTEMBER – AFTERNOON
13:30–14:30 Nikolaus Hautsch (University ofVienna), Limits to Arbitrage inMarkets with Blockchain-‐Based Latency
SESSION7 Chair: Roberto Renò
14:30– 15:00 Maxime Morariu-‐Patrichi, MikkoPakkanen (Imperial CollegeLondon), Limit order book modellingwith state-‐dependent Hawkes processes
15:00 – 15:30 Marcello Rambaldi (UniversitéParis-‐Dauphine), Emmanuel Bacry and Jean-‐ François Muzy, Disentangling and quantifying market participant volatility contributions
15:30–16:00 Coffeebreak
SESSION8 Chair: Cecilia Mancini
16:00– 16:30 Giorgio Mirone (Aarhus University), Noise reduction by cross-‐sectional combination and more efficient estimation of Integrated Variance
16:30–17:00 Eric Aldrich (University of California, Santa Cruz) and Seung Lee, Relative Spread and Price Discovery
17:00–17:10 Closing Remarks