In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. Further, since March 2020 and within the coronavirus crisis (COVID-19), the financial markets have been again impacted significantly in particular because of the lockdown decisions in different developed and emerging countries, the slowdown of major economies, etc. Indeed, these recent events -induced basically by a COVID-19 shock - have generated an economic shock, increased uncertainty, and impacted investor’s anxiety and therefore financial market dynamics. This volatility of financial markets has recently increased because the inflation tension, the uncertainty about the new central banking, commodity markets and the geopolitical tensions. In order to limit these losses, ensure investors and improve risk control, governments and central banks have proposed different solidarity programs and aids and have conducted new on-going policies.
The financial market authorities adopted always 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, to test their appropriateness and to assess for the effects of these shocks on the financial markets. 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 time series models and recent econometrics modeling. 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 papers that might include (but are not restricted to) theoretical, experimental and empirical research in finance and/or econometrics in the following areas:
Financial Markets : Empirical Finance - Quantitative Finance- Experimental Finance - Computational Finance - Behavioral Finance - Decentralised Finance - Stock Markets Dynamics - Exchange Rate Dynamics - Cryptocurrencies - Blockchains and crypto assets- Market Microstructure - High Frequency Trading - Optimal trading - Market Analysis- Order Book Dynamics - Algorithmic Trading - Market Liquidity modeling - Electronic Market - High Frequency data analysis - Price Discovery - Market Organization - Market Regulation- Efficiency & Price dynamics - Asset Pricing Models – Portfolio Choice – Portfolio Insurance- Derivatives Pricing - Volatility Dynamics- Risk Management -Market imperfections- information asymmetry - Bubbles - Uncertainty & investor sentiment - Financial Intermediation - Banking and Investment – Inflation and Central Banking- Inflation and financial markets- COVID-19 & Inflation Risk- Financial crisis - Extreme Risk and Insurance - VaR & CoVaR- Expected Shortfall- COVID-19 & financial markets – Pandemics and financial markets -COVID-19 & commodities - Energy Economics & Finance - Commodity Markets , etc.
Econometrics : Econometric Theory, Applied Econometrics, Financial Econometrics Financial Mathematics - Financial Engineering – Machine Learning- Nonlinear Dynamics - Copulas - Nonlinear Time Series - State Space Models - Threshold Modeling - Switching Regime Models - Markov Switching Models - Linearity and asymmetry Tests - Nonlinear Causality Tests - Nonlinear Panel Models – GARCH Modeling – STR-GARCH models - Long Memory Models- Chaotic Models- Quantile Panel Regressions - Neural Network models - Modeling Extreme events -Time Series - Cointegration and causality - Bayesian Analysis - Non Parametric Models - Wavelet and Spectral Analysis - Simulation Methods - Forecasting, etc.
This international workshop includes plenary sessions, parallel sessions and PhD student sessions.
Authors are invited to submit a full paper -in PDF format and in English-, via the workshop website: http://fmnd.fr/submit-your-paper.html or by email to: firstname.lastname@example.org . The complete version of the paper should include the following information: title, name(s) of the authors, abstract (max 200 words), keywords, JEL classification, e-mail address for each author, complete address for the corresponding author.