G. Le Fol, Chairman and organizer, Université Paris – Dauphine, CREST, Scientific Director of the QMI
S. Darolles, Organizer, Université Paris-Dauphine, CREST, Member of the QMI
Illiquidity transmission from spot to futures markets, E. Theissen, University of Mannheim
The determinants of ETF liquidity: theory and evidence from European markets, L. Deville, Universite de Nice Sophia Antipolis – Cnrs
Tracking illiquidities in daily and intradaily characteristics, G. Mero, Cergy Pontoise University, Member of the QMI
Non-synchronous market impact and hedge fund portfolio construction, S. Darolles, Université Paris – Dauphine, CREST, Member of the QMI
Statistical signal processing in asset management, session CS18.
S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
R. Molinero, Organizer, Molinero Capital Management
Mixture of experts for binary classification: application to the S&P500 index prediction, M. Mitri, Ecole Polytechnique
Practical uses of signal processing in asset management, R. Molinero, Molinero Capital Management
Trend-following meets Risk-Parity, N. Baltas, UBS
Simulating and analyzing order book data: the queue-reactive model, M. Rosenbaum, University Pierre and Marie Curie, Member of QMI
On the joint dynamics of equity and bond – a no arbitrage dynamic asset pricing approach, L. Liu, University of Notre Dame, USA
