POSTPONED: Bubblemania - to burst or not to burst

Europe/London
Calman Learning Centre

Calman Learning Centre

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

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.

 

Registration
Participants
    • 12:00 PM 2:00 PM
      Arrival and Sandwich Lunch
    • 2:00 PM 4:00 PM
      Talks

      Talk (45') And Discussion (15')

      • 2:00 PM
        Central Counterparty Exposure in Stressed Markets 1h
        Speakers: Albert Menkveld (Vrije Universiteit Amsterdam) , Shihao Yu (Vrije Universiteit Amsterdam) , Wenqian Huang (Bank for International Settlements)
      • 3:00 PM
        Liquidity and tail risk interdependencies in the euro area sovereign bond market 1h
        Speakers: Daragh Clancy (European Stability Mechanism) , Pasquale Filiani (Central Bank of Ireland) , Peter Dunne (Central Bank of Ireland)
    • 4:00 PM 4:30 PM
      Coffee break
    • 4:30 PM 6:00 PM
      Invited talks: Didier Sornette: A systematic mathematical classification of bubbles: Inefficient bubbles and efficient drawdowns in financial markets
      • 4:30 PM
        A systematic mathematical classification of bubbles: Inefficient bubbles and efficient drawdowns in financial markets 1h 30m
        Speaker: Didier Sornette (ETH Zurich)
    • 6:00 PM 8:00 PM
      Drinks Reception
    • 9:00 AM 11:00 AM
      Talks

      Talk (45') And Discussion (15')

      • 9:00 AM
        Nonparametric sign prediction of high-dimensional correlation matrix coefficients 1h
        Speakers: Christian Bongiorno (CentraleSupélec Université Paris-Saclay) , Damien Challet (CentraleSupélec Université Paris-Saclay)
      • 10:00 AM
        Implied Hidden Factors Within the Term Structure of Interest Rate 1h
        Speakers: Handing Sun (Fenics software) , Jing Nie (University of International Business and Economics) , Julian Williams (Durham University)
    • 11:00 AM 11:30 AM
      Coffee break
    • 11:30 AM 12:30 PM
      Talks

      Talk (45') And Discussion (15')

      • 11:30 AM
        Bubbles and long memory in cryptocurrencies: Information Theory approach 1h
        Speakers: Aurelio Bariviera (Universitat Rovira I Virgili) , Osvaldo Rosso (Universidade Federal de Alagoas)
    • 12:30 PM 2:00 PM
      Sandwich Lunch
    • 2:00 PM 4:00 PM
      Talks

      Talk (45') And Discussion (15')

      • 2:00 PM
        Market Reliability Measures and Liquidity Crashes 1h
        Speaker: Arze Karam (Durham University)
      • 3:00 PM
        Panel discussion 1h

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

    • 4:00 PM 4:30 PM
      Coffee break
    • 4:30 PM 6:00 PM
      Invited talks: Vikas Agarwal: Liquidity Transformation in the Asset-Management Industry
      • 4:30 PM
        Liquidity transformation in the asset management industry 1h 30m
        Speaker: Vikas Agarwal (Georgia State University)
    • 7:00 PM 10:00 PM
      Conference Dinner
    • 9:30 AM 11:30 AM
      Talks

      Talk (45') And Discussion (15')

      • 10:30 AM
        Marked point process and intensity ratios for limit order book modelling 1h
        Speakers: Iaone Muni Toke (CentraleSupélec Université Paris-Saclay) , Nakahiro Yoshida (Japan Science and Technology Agency)
    • 11:30 AM 12:00 PM
      Coffee break
    • 12:00 PM 1:00 PM
      Talks: Robbert Pullen

      Talk (45') And Discussion (15')

      • 12:00 PM
        tba 20m
        Speaker: Robert Pullen (Optiver Amsterdam)
    • 1:00 PM 2:00 PM
      Sandwich lunch and Departure