You can download the call for papers in PDF format here
In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. In order to limit these losses and improve risk control, the financial market authorities adopted new regulatory measures to strengthen the financial systems, control algorithm and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures and to test their appropriateness. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics. The aim of the workshop is to discuss innovative econometric modeling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear models. The workshop aims at bringing together academics and professionals (economists, financiers, and econometricians) to discuss these issues and to present their recent theoretical and empirical findings. It will also serve as a valuable platform for discussing innovative and thought-provoking ideas on nonlinear high frequency data modeling.
We are looking for topics that might include (but are not restricted to) theoretical, experimental and empirical research in the following areas:
- Market Microstructure - High Frequency Trading
- Order Book Dynamics - Optimal trading
- Price formation - Market Analysis
- Market Impact - Algorithmic Trading
- Market Regulation - Volatility Dynamics
- Market Liquidity - Financial Mathematics
- Electronic Market - Nonlinear Dynamics
- Market Organization - Financial Econometrics
- High Frequency data analysis - Threshold Modeling
- Price Discovery - Switching Regime Models
- Asset pricing - GARCH Modeling
- Financial Intermediation - Nonlinear Time Series
- Price dynamics - Markov Switching Models
- Market imperfections - Copula Techniques
- Exchange Rate Dynamics - Simulation Methods
- Liquidity Modeling - Non Parametric Models
- Market efficiency - Nonlinear Panel Models
- Stock Markets - Forecasting
- Behavioral Finance - Continuous Time Processes
- Quantitative Finance - Dynamic Conditional Moments
- Banking and Investment - Long Memory Models
- Derivatives Pricing - State Space Models
- Capital Asset Models - Linearity Tests
- Risk Management - Nonlinear Causality Tests
- Financial Engineering - Quantile Panel Regressions
- Hedge Funds - Bayesian Analysis
- Price formation
- Experimental Finance
- Extreme Risk and Insurance
This international conference includes plenary sessions, parallel sessions and poster sessions. It will also include specific sessions organized in the Honor of Professor Howel TONG.
C. Alexander, University of Sussex, the UK.
Y. Ait-Sahalia, Princeton University, the USA.
W. Barnett, University of Kansas & Center for Financial Stability, New York, the USA.
T. Bollerslev, Duke University, the USA.
J. Campbell, Harvard University, the USA.
T. Chordia, Emory University, the USA.
G. Dufrénot, Aix -Marseille School of Economics, France.
Th. Foucault, HEC Paris, France.
Ph. Franses, Erasmus University, The Netherlands.
C. Gresse, Université Paris-Dauphine, France.
K. Hadri, Queens University Belfast, the UK.
S. Hall, Leicester University, the UK.
F. Jawadi, University of Lille, France.
K. Juselius, University of Copenhagen, Denmark
B. Lehmann, University of California, San Diego, the USA.
L. Lescourret, ESSEC Business School, France.
Dennis Kristensen, University College London & CRETAES, the UK.
K. Lansing, Federal Reserve Bank of San Francisco, the USA.
E. Maasoumi, Emory University, the USA.
B. Mizrach, Rutgers University, the USA.
Ch. Parlour, University of California, the USA.
D. Peel, Lancaster University, the UK.
J. Racine, McMaster University, Canada
S. Reitz, University of Kiel, Germany.
Ph. Rothman, East Carolina University, the USA.
L. Sarno, City University London, the UK.
O. Scaillet, University of Geneva and Swiss Finance Institute, Switzerland.
G. Talmain, University of Glasgow, the UK.
T. Teräsvirta, Aarhus University, Denmark.
E. Theissen, University of Mannheim, Germany.
H. Tong, London School of Economics, the UK.
R. Tsay, University of Chicago, the USA.
R. Uctum, University of Paris West, & CNRS, France.
D. Van Dijk, Erasmus University of Rotterdam, the Netherlands.
B. Villeneuve, Université Paris Dauphine, France.
J. C. Wu, University of Chicago, the USA.
Authors wishing to submit a presentation should send a full paper in PDF format and in English, via the workshop website: www.fmnd.fr. The complete version of the paper should include the following information: title, name(s) of the authors, abstract, keywords, JEL classification, e-mail address for each author, complete address for the corresponding author. Please, note that the abstract is limited to 150 words.
Deadline for submission: February 28, 2019.
Notification of final decision: March 15, 2019.
Author Registration: March 15, 2019 - April 15, 2019.
Dates of the workshop: May 31- June 1, 2019.
A selection of papers presented at this workshop will be considered for publication in the following special issues:
- a special issue of Economic Modelling.
- a special issue of Studies in Nonlinear Dynamics and Econometrics in the Honor of Professor Howel Tong.
- a special issue of International Journal of Finance and Economics.
- a section of Journal of Financial Markets.
- a section of Journal of International Financial Markets, Institutions and Money.
- a section of Emerging Market Review.
- a section of Finance Research Letters.