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Program

Speakers

Annual Financial Market Liquidity Conference
Budapest, Hungary, 20th-21st November, 2014
Program*

Downloadable program (in pdf)

Thursday

20th November, 2014

8.30-9.15

Registration

9.15-9.30

Opening

Session T1, chair: Attila Agod (MSCI)

9.30-10.15

Carlo Acerbi: Backtesting Expected Shortfall

10.15-11.00

Rosario N. Mantegna (and Luca Marotta, Jyrki Piilo): Patterns of High-Frequency Trading Networks at NASDAQ OMX Helsinki

11.00-11.30

Coffee break, registration

Session T2, chair: Júlia Király

11.30-12.15

Imre Kondor: Market Impact and Regularized Portfolio Optimization

12.15-12.45

Zoltán Eisler: Devolution: The Journey of a Systematic Hedge Fund Back to Voice Execution

12.45-14.00

Lunch break, poster session

Session T3, chair: László Á. Kóczy

14.00-14.45

Gabrielle Demange: Contagion in Financial Networks: a Threat Index

14.45-15.30

Peter Kondor (and Botond Koszegi): Cursed Financial Innovation

15.30-16.00

Coffee break, poster session

Session T4, chair: Béla Öcsi

16.00-16.30

Philipp Grüber: How Funding Liquidity Drives Arbitrage Activity - New Evidence from the German Index ETF and Index Futures Markets

16.30-17.00

Zhiping Zhou (and Chunbo Liu): From Funding Liquidity to Market Liquidity: Evidence from Index Option Market

17.00-17.30

Béla Öcsi (with Virág Somogyi and Péter Ványik): Impact of New Regulatory Liquidity Measures on Bank Balance Sheets

19.00-22.00

Conference dinner (By invitation, venue: Hungarian Academy of Sciences at Széchenyi István square)

Friday

21st November, 2014

Keynote session, chair: János Száz

9.00-10.00

Yakov Amihud: The Pricing of the Illiquidity Factor's Systematic Risk

10.00-10.30

Coffee break, registration

Session F2, chair: Beáta Czinke (Morgan Stanley)

10.30-11.15

Simon Lang: Valuation Risk and Prudent Valuation

11.15-11.45

István P. Székely: Banking in Central and Eastern Europe after the Start of the Banking Union

11.45-12.15

Zsolt Kuti: Role of the Non-Resident Investors on the Hungarian Government Bond Market

12.15-13.30

Lunch break, poster session

Session F3, chair: Péter Csóka

13.30-14.15

Fabrizio Lillo: Market Impact and Optimal Execution of Large Trades

14.15-15.00

Peter Feldhütter: (and David Lando, Pia Mølgaard, and Mads Stenbo Nielsen): Where to Measure Corporate Credit Risk - the CDS Market or Corporate Bond Market?

15.00-15.30

Coffee break

Session F4, chair: Bálint Szécsényi (Equilor Investment Ltd.)

15.30-16.00

Julia Lakhno: The Subjects for Benchmarking in Development of Securities Markets

16.00-16.30

Barbara Będowska-Sójka: Liquidity Dynamics Around Jumps. The Evidence from the Warsaw Stock Exchange

16.30-16:45

Closing

Last modified: 2018.11.30.