Program
Friday, 06. May 2022
09:00 – 09:10 Welcome Address
09:10 – 09:45 Davide Pirino
Testing for Endogeneity of Irregular Sampling Schemes
09:45 – 10:20 Michele Azzone
Additive Normal Tempered Stable Processes for Equity Derivatives and Power-Law Scaling
10:20 – 10:55 George Tauchen
Disagreement in Market Index Options
Coffe Break
11:25 – 12:00 Vladimir Volkov
Learning from Low Latency
12:00 – 12:35 Roberto Renó
Random Sampling at High Frequency
Lunch
14:15 – 14:50 Jeanine Polivka
Efficient Realized Variance Estimation in Time-Changed Diffusion Processes
14:50 – 15:25 Masaaki Fukasawa
A Limit theorem for Quadratic Variations of Stable Processes with Index Tending to 2
15:25 – 16:00 Viktor Todorov *** ONLINE TALK***
Measuring Volatility in Presence of Event Risk
Coffe Break
16:30 – 17:05 Meng-Chen Hsieh *** ONLINE TALK***
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes
17:05 – 17:40 Torben Andersen *** ONLINE TALK***
Intraday Trade Invariance in the Foreign Exchange Futures Market
19:00 Apéro and Conference dinner (Haus St. Elisabeth, Abbey Hegne)
Saturday, 07. May 2022
09:30 – 10:05 Paul Sangrey
Jumps, Realized Densities, and News Premia
10:05 – 10:40 Yifan Li
Testing for Jumps in a Discretely Observed Price
Coffee Break
11:10 – 11:45 Ostap Ohkrin
Bates Lab: Moments, Simulation, Estimation
11:45 – 12:20 Christian Gourieroux
Long Run Risk in Stationary Structural Vector Autoregressive Models
Lunch
14:00 – 14:35 Johannes Bleher
From Orders to Prices: A Stochastic Description of the Limit Order Book to Forecast Intraday Returns
14:35 – 15:10 Dobrislav Dobrev
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
Coffe Break
16:00 Departure from Hotel to Konstanz by train
17:30 – 19:00 Guided tour of the historical center of Konstanz (Meeting point: Hafenuhr, near Konzil)
19:30 – 21:30 Dinner in Brauhaus Joh. Albrecht, Konradigasse 2, 78462 Konstanz