Scope of the Workshop

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.