| May 21 | ||
|---|---|---|
| 8:55 – 9:00 | Opening remarks | |
| 9:00 – 9:40 | Xuefeng Gao (CUHK) | Scoring limit orders |
| 9:40 – 10:20 | Mikko Pakkanen (ICL)) | Modelling Limit Order Book Data by State-Dependent Hawkes Processes |
| 10:20 – 10:50 | Coffee break | |
| 10:50 – 11:30 | Chen Yang (CUHK) | Inventory Management for High-Frequency Trading with Imperfect Competition |
| 11:30 – 12:10 | Johannes Muhle-Karbe (ICL) | Liquidity and Asset Prices |
| 12:10 – 13:30 | Lunch | |
| 13:30 – 14:10 | Xinghua Zheng (HKUST) | Factor Modeling for Volatility |
| 14:10 – 14:50 | Eyal Neuman (ICL) | Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint |
| 14:50 – 15:20 | Coffee break | |
| 15:20 – 16:00 | Antoine Jacquier (ICL) | Deep learning and Path-dependent PDEs for rough volatility |
| 16:00 – 16:40 | Xiaolu Tan (Dauphine) | From Martingale Optimal Transport to McKean-Vlasov Control Problems |
| May 22 | ||
|---|---|---|
| 9:00 – 9:40 | Dohyun Ahn (CUHK) | Systemic risk quantification via shock amplification in financial network |
| 9:40 – 10:20 | Lingfei Li (CUHK) | A General Method for Valuation of Drawdown Risk under Markovian Models |
| 10:20 – 10:50 | Coffee break | |
| 10:50 – 11:30 | Alex Tse (ICL) | A multi-asset investment and consumption problem with transaction costs |
| 11:30 – 12:10 | Nan Chen (CUHK) | Duality based dynamic programming and its applications |
| 12:10 – 13:30 | Lunch | |
| 13:30 – 14:10 | Qi Wu (CityU) | Quantile forecast through serial dependence learning |
| 14:10 – 14:50 | Coffee break | |
| 15:20 – 16:00 | Lihu Xu (UMAC) | Approximation of stable law by Stein’s method |
| 16:00 – 16:40 | Xuedong He (CUHK) | On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time |