• Du 21 mars 2019 au 22 mars 2019
    Campus Tertre
    Bâtiment Erdre, salle des Actes


Thursday 21st  March 2019

08.45 - 09.25    Registration and Coffee -  Main Hall
09.25 - 09.30    Welcome and Opening Remarks - “Salle des Actes”
09.30 - 11.00
Session 1   [Forecasting Commodity Markets]  - “Salle des Actes”
  • Real-time forecast of Henry Hub natural gas prices.
    Presenter: Arthur Thomas (LEMNA – Université de Nantes & IFPEN)
  • Predictive regressions in commodity markets.
    Presenter: Jean-Baptiste Bonnier (LEMNA – Université de Nantes)
  • Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market
    Presenter: Anthony Paris (IFPEN & EconomiX)
11.00 - 11.30    Coffee Break -  “Main Hall”
11.30 - 12.30    
Key Note Talk  - “Salle des Actes”
  • Presenter: Pr. Karim Abadir
    Title: Solving the "forward-premium puzzle" of finance
12.30 - 14.00    Lunch
14.00 - 15.00    
Session 2   [Risk Analysis]  - “Salles des Actes”
  • A Meta-analysis of Systemic Risk Measures for gauging Financial Stability.
    Presenter: Jean-Charles Garibal (Université d’Orléans)
  • Fire Sales and Debt Maturity.
    Presenter: Samuel Ligonnière (Université Paris 2, Panthéon-Assas)
15.00 - 19.00
    Social Activity  - “LES MACHINES DE L’ILE”
Right after the last session, we will use the tram to visit the Machines de l’Ile. We will offer you a guided tour and experience first-hand the functioning of weird creatures that only fantasy can limit. We will then enjoy the Sea World Carousel. See the last page of the program for more information.

19.00 - 21.30

Friday 22nd March 2019

08.30 - 09.00    Coffee -  “Main Hall”
09.00 - 10.30    
Session 3   [Volatility analysis and jumps]  - “Salle des Actes”.
  • News and Intraday Jumps: A Big Data Approach.
    Presenter: Massimiliano Caporin (University of Padova)
  • Backtesting Expected Shortfall via Multi-Quantile Regression.
    Presenter: Ophélie Couperier (CREST-ENSAE)
  • Renewal Based Volatility Estimation.
    Presenter: Ingmar Nolte (Lancaster University Management School)
10.30 - 11.00    Coffee Break -  “Main Hall”

11.00 - 12.30    
Session 4   [Microstructure] - “Salle des Actes”.
  • Estimating the leverage effect using pre-averaging based estimation of integrated volatility in the presence of microstructure noise.
    Presenter: Daniele Bregantini (University of Liverpool)
  • Auction and continuous markets: complements rather than substitutes? The case of the German power spot market for quarter hourly contracts.
    Presenter: Clara Balardy (Université Paris-Dauphine)
  • Volatility Estimation of Thinly Traded Assets.
    Presenter: Genaro Succarat (BI Norwegian Business School)