Paris Workshop in Empirical Finance

Jointly Organized Academic Workshop

[24-05-2024] PWEF Welcome!

We are pleased to host the Paris Workshop in Empirical Finance in FRANCE on May 24, 2024.

The purpose of this workshop is to bring together a community of international scholars (academics, professionals, PhD students) with a common scientific interest in the field of empirical finance to:

provide a forum for discussions on advanced topics;
promote fresh and critical thinking in empirical research;
foster the application of machine learning on new empirical finance studies;
support the advancement of science literacy to a broader public audience.

PWEF is organized as a one-day plenary-session mini-workshop. The format is capped at eight speakers for ample discussion. Each paper is assigned a discussant in a highly interactive environment.

The workshop is held in-person. Remote attendance is possible via Zoom for registered participants only.

On behalf of PWEF Local Organizers

Workshop Topics

AI Applications in Finance: Fintech; C++ and Python integration.
Commodities & Alternative Investments: cryptocurrencies; financialization; futures expiry and convenience yield; green finance; multi-asset framework; optimal hedging.
Data Science for Finance: algorithms; API Interfaces; data acquisition; liquidity; machine learning design; deep learning for finance and insurance.
Derivatives: American, Asian and European option pricing; financial industry innovations; greeks; numerical methods; pricer for credit default swaps; robo-advising.
Empirical Finance: asset allocation; bond pricing and fixed-income valuation; FOREX; international finance; portfolio optimization; real estate; risk premia; yield curve modeling.
Financial Time Series: fit; forecasting; inference; Monte-Carlo simulations; volatility regimes.
Quant Modelling in Finance: benchmarking; ETF tracking; high-frequency trades; investment fund performance; technical trading rules; trading directions; trading strategies.
Risk Management: backtesting; credit rating; Expected Shortfall; default risk; market risk; portfolio risk; projection and scenario simulation; tail risk; VaR.

Scientific Committee

FU	Tong	Guizhou University, China
MA	Feng	Southwest Jiaotong University, China
FUERTES	Ana-Maria	Bayes Business School, UK
SERLETIS	Apostolos	University of Calgary, Canada
ZHU	Bangzhu	Guangxi University, China
WESTGAARD	Sjur	Norwegian University of Science and Technology, Norway
LUO	ZongWei	Guangdong AI Institute of Higher Education, China
MANERA	Matteo	University of Milano-Bicocca and Fondazione Eni Enrico Mattei, Italy
LIN	Boqiang	Xiamen University,China
MASON	Chuck	University of Wyoming, USA
WANG	Gang-Jin	Hunan University, China
TASCHINI	Luca	University of Edinburgh Business School, UK
GALEOTTI	Marzio Domenico	University of Milano and Fondazione Eni Enrico Mattei, Italy

JI	Qiang	Chinese Academy of Sciences, China
MORENO	Manuel	University Castilla-La Mancha, Spain
ZHANG	Dayong	Southwestern University of Finance and Economics, China
GUPTA	Rangan	University of Pretoria, South Africa
KOCENDA	Evžen	Charles University, Czech Republic
ZHONG	Kaiyang	Zhejiang University, China
BÖHRINGER	Christoph	University of Oldenburg, Germany
BUNN	Derek	London Business School, UK
YOO	Seung Jick	Sookmyung Women’s University, Korea
BASTIANIN	Andrea	University of Milano and Fondazione Eni Enrico Mattei, Italy
MAZZANTI	Massimiliano	University of Ferrara & SEEDS, Italy
PARDO	Angel	University of Valencia, Spain
FRÖMMEL	Michael	Ghent University, Belgium
OLLIKAINEN	Markku	University of Helsinki, Norway

Scientific Program

09h00 – Welcome
—

09h15-10h45 – Energy Finance

Chuck MASON (University of Wyoming, USA): « Why do Firms Hold Oil Stockpiles?«
Andrea BASTIANIN (University of Milano and FEEM, Italy): « Forecasting the real price of carbon«
—
Coffee Break
—
11h15-12h45 – Financial Derivatives

Manuel MORENO (University Castilla-La Mancha, Spain): « Pricing electricity derivatives: A mean-reverting and seasonal approach«
Yi CAO (University of Edinburgh, UK): « Anatomy of Perpetual Futures Returns of Cryptocurrencies«
—
Lunch
—
14h15-15h45 – Empirical Finance

Chardin WESE SIMEN (University of Liverpool, UK): « The Index Effect: Evidence from the Option Market«
Malvina MARCHESE (Bayes Business School, UK): « Forecasting financial market manipulation using machine learning methods«
—
Coffee Break
—
16h15-17h45 – Climate Finance

Diana MYKHALYUK (University Castilla-La Mancha & Spanish Exchange Commission, Spain): « Resilience of mutual funds to climate transition shocks »
Massimiliano MAZZANTI (University of Ferrara & SEEDS, Italy): « Efficient Semiparametric Estimation of European Climate Policy Effects«

—
Free Time to enjoy Paris
—
19h30-22h00 – Reception & Restaurant

Registered Participants (in-person)
Jia ZHAI, International Business School Suzhou, China
Hilary TILL, Bayes University-CID, London, UK
Evzen KOCENDA, Charles University, Czech Republic
M.-Dolores ROBLES, Universidad Complutense de Madrid, Spain
Seung-Jick YOO, Sookmyung Women’s University, Korea
Michael FRÖMMEL, Ghent University, Belgium

Venue & Hotels

PWEF is located at metro line 4:

Saint-Germain-des-Prés.

Participants are provided with a list of hotels in central Paris.
Overseas participants, please read « Airport packages -Taxis: prices applicable from 1 February 2023 | Service-Public.fr » to find reliable taxis.