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Annual Financial Market Liquidity Conference
Budapest, Hungary, 19th-20th November, 2015
Program*

Downloadable program (in pdf)

Thursday

19th November, 2015

8.30-9.15

Registration (lecture room III, ground floor)

9.15-9.30

Opening

9.45-12.00

Plenary session.  Lecture room III. Chair: László Á. Kóczy

Jonathan A. Batten; Harald Kinateder; Niklas Wagner: Liquidity, Uncertainty and the Predictability of Aggregate Equity Returns

Péter Csóka; P. Jean-Jacques Herings: Decentralized Clearing in Financial Networks

Péter Kondor; Ádám Zawadowski: Learning in Crowded Markets

Michael Sternberg;  Damian Watson: Designation of Positions as Less Liquid to Represent the Difficulty in Disposition under Stress

12.00-13.30

Lunch break, registration, posters

13.30-15.30

Parallel sessions

Lecture room III.

Measuring Liquidity. Chair: Niklas Wagner

Sven Langedijk; George Monokroussos; Evangelia Papanagiotou: Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues. Discussant: Niklas Wagner

Garo Garabedian; Koen Inghelbrecht: A Unified Market Liquidity Measure

Harald Kinateder: Google Search Volume and Liquidity in European Equities

Stephanie Heck; Dimitri Margaritis; Aline Muller: Liquidity Patterns in the US Corporate Bond Market. Discussant: Matthias Saerens

Room 3001

Banking and Liquidity: Chair: György Walter

Tomáš Fiala; Tomáš Havránek: Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector. Discussant: Ádám Banai

Judit Temesváry; Ádám Banai: The Drivers of Foreign Bank Lending in Central and Eastern Europe: The Roles of Parent, Subsidiary and Host Market Traits. Discussant: Mehmet S. Ozsoy

S. Mehmet Ozsoy; Gazi I. Kara: Bank Regulation under Fire Sale Externalities. Discussant: T.B.A.

György Walter, Edina Berlinger: Centralised Cash Management Services: How Much is a Cash Pooling Worth?

15.30-16.00

Coffee break, posters

16.00-18.00

Parallel sessions

Lecture room III.

Market Microstructure. Chair: Péter Szilágyi

Matthias Saerens; Cynthia Van Hulle; Gunther Wuyts: Commonality in High-Frequency Trading. Discussant: Stephanie Heck

Selma Boussetta:  Does a Stock Exchange's Choice of Corporate Governance Impact Market Quality? Discussant: Péter Szilágyi

Dániel Havran; Kata Váradi: Why Should We Care About Informed Liquidity Providers? Discussant: Harald Kinateder

Daniel Nathan:  Might Inflation-Indexed Bonds be Informative After All? Evidence From a Liquid Market

Room 3001

Hedging, Risk and Volatility.  Chair: Zsolt Bihary

Oliver Woll: Mean-Risk Hedging Strategies In Electricity Markets With Limited Liquidity

TALK CANCELLED Cheng Zhang: The Effect of Options on Liquidity and Asset Returns

Pallab Dey: Managing Market Manipulation Risk in Dark Pool by Analyzing and Forecasting Intraday Stock Quote Movement. Discussant: Mihály Ormos

Dusán Timotity; Mihály Ormos: In Search of Asymmetric GARCH models: A Loss-Aversion-Based Explanation of Heteroscedasticity. Discussant: Zsolt Bihary

19.00-22.00

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

Downloadable program (in pdf)

Friday

20th November, 2015

9.00-10.00

Keynote Session. Lecture room III. Chair: Zsuzsa R. Huszar

Lasse H. Pedersen: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

10.00-10.30

Coffee break, posters

10.30-12.30

Parallel sessions

Lecture room III.

Liquidity and Asset Pricing. Chair: Imre Kondor

Zorka Simon: Not risk free: The Relative Pricing of Euro Erea Inflation-Indexed and Nominal Bonds. Discussant: Patrick Tujip

Patrick Tuijp: Pricing Effects of Time-Series Variation in Liquidity. Discussant: Zorka Simon

TALK CANCELLED Aytek Malkhozovz; Laurent Barrasy: Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Aytek Malkhozov; Philippe Mueller; Andrea Vedolin; Gyuri Venter: International Illiquidity

Room 3001

Liquidity and Macrofinance. Chair: Péter Mihályi

Jaime Luque; Jean-Marc Bottazzi; Mario R. Pascoa: Dollar Shortage, Central Bank Actions, and the Cross Currency Basis. Discussant: Csaba Csávás

Csaba Csávás; Gabriella Csom-Bíró;  Mihály Hoffmann; Pál Péter Kolozsi; András Kollarik; Mónika Mátrai-Pitz; Zsuzsanna Novák; Henrietta Olasz; Gábor Sin: The Magyar Nemzeti Bank’s Self-Financing Programme. Discussant: Jaime Luque

Radosław Kurach; Tomasz Słoński;  Bartosz Zawadzki: Liquidity Migration and the Cost of Capital of Stocks Cross-Listed in Central and Eastern Europe. Discussant: Péter Mihályi

12.30-13.45

Lunch break, posters

13.45-15.15

Plenary session.  Lecture room III. Chair: István Varga-Haszonits

Harald Kinateder; Niklas Wagner: Quantitative Easing, Unobservables, and Fundamentals in the Pricing of EMU Sovereign Debt

Balázs Székely: Backtestability of Expected Shortfall

15.15-15.45

Coffee break, posters

15.45-16.45

Plenary session.  Lecture room III. Chair: Gábor Molnár-Sáska

Sviatoslav Rosov: Liquidity in Equity Markets: Characteristics, Dynamics, and Implications for Market Quality

Vera Száz: Permanently Changing Liquidity on the Markets and Long Term Corporate Funding

16.45

Closing

*The organizers reserve the right to change the program.

Last modified: 2018.11.30.