POSTPONED: Bubblemania - to burst or not to burst

2 Apr 2020, 09:00 → 4 Apr 2020, 14:00 Europe/London

Calman Learning Centre

Arze Karam (Durham Business School), Frank Krauss (IDAS Durham)

Due to the Corona Virus and following University guidelines we have to postpone this workshop to a later date.  We will update speakers and registered participants as soon as the situation has become clearer.

 

This is an interdisciplinary workshop on catastrophic dynamics on financial markets, including national and international experts.

To submit a paper, please follow this link or directly contact Arze.Karam@durham.ac.uk with the details.

 

1576763554_Poster_-_A3_-_Print.pdf

Bubblemania credit card form.pdf

Thursday, 2 April

12:00 → 14:00 Arrival and Sandwich Lunch

14:00 → 16:00 Talks

Talk (45') And Discussion (15')

14:00 Central Counterparty Exposure in Stressed Markets

Speakers: Albert Menkveld (Vrije Universiteit Amsterdam), Shihao Yu (Vrije Universiteit Amsterdam), Wenqian Huang (Bank for International Settlements)

15:00 Liquidity and tail risk interdependencies in the euro area sovereign bond market

Speakers: Daragh Clancy (European Stability Mechanism), Pasquale Filiani (Central Bank of Ireland), Peter Dunne (Central Bank of Ireland)

16:00 → 16:30 Coffee break

16:30 → 18:00 Invited talks: Didier Sornette: A systematic mathematical classification of bubbles: Inefficient bubbles and efficient drawdowns in financial markets

16:30 A systematic mathematical classification of bubbles: Inefficient bubbles and efficient drawdowns in financial markets

Speaker: Didier Sornette (ETH Zurich)

18:00 → 20:00 Drinks Reception

Friday, 3 April

09:00 → 11:00 Talks

Talk (45') And Discussion (15')

09:00 Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Speakers: Christian Bongiorno (CentraleSupélec Université Paris-Saclay), Damien Challet (CentraleSupélec Université Paris-Saclay)

10:00 Implied Hidden Factors Within the Term Structure of Interest Rate

Speakers: Handing Sun (Fenics software), Jing Nie (University of International Business and Economics), Julian Williams (Durham University)

11:00 → 11:30 Coffee break

11:30 → 12:30 Talks

Talk (45') And Discussion (15')

11:30 Bubbles and long memory in cryptocurrencies: Information Theory approach

Speakers: Aurelio Bariviera (Universitat Rovira I Virgili), Osvaldo Rosso (Universidade Federal de Alagoas)

12:30 → 14:00 Sandwich Lunch

14:00 → 16:00 Talks

Talk (45') And Discussion (15')

14:00 Market Reliability Measures and Liquidity Crashes

Speaker: Arze Karam (Durham University)

15:00 Panel discussion

Panelists:
Richard Haynes, Commodity futures Trading Commission, and Martin Bellamy, Financial Conduct Authority

16:00 → 16:30 Coffee break

16:30 → 18:00 Invited talks: Vikas Agarwal: Liquidity Transformation in the Asset-Management Industry

16:30 Liquidity transformation in the asset management industry

Speaker: Vikas Agarwal (Georgia State University)

19:00 → 22:00 Conference Dinner

Saturday, 4 April

09:30 → 11:30 Talks

Talk (45') And Discussion (15')

09:30 Popular Music, Sentiment, and Noise Trading

Speakers: Kim Kaivanto (Lancaster University), Peng Zhang (Guizhou Minzu University)

10:30 Marked point process and intensity ratios for limit order book modelling

Speakers: Iaone Muni Toke (CentraleSupélec Université Paris-Saclay), Nakahiro Yoshida (Japan Science and Technology Agency)

11:30 → 12:00 Coffee break

12:00 → 13:00 Talks: Robbert Pullen

Talk (45') And Discussion (15')

12:00 tba

Speaker: Robert Pullen (Optiver Amsterdam)

13:00 → 14:00 Sandwich lunch and Departure