Dr. Mark Holder from Kent State University and Hong Kong Institute for Monetary Research

20th Annual Asia-Pacific Futures Research Symposium


25 February 2010 (Thursday) - 26 February 2010 (Friday)



Thursday, February 25 , 2010
8:00 am to 8:45 am Registration - 4/F Harbour View Foyer, Four Seasons Hotel

8:45 am to 9:00 am Opening Remarks - 4/F, Harbour View Ballroom 2 & 3

Mr. Patrick Catania, Asia West Group & Head of Int'l Relations, NCDEX
Dr. Dong He, Hong Kong Monetary Authority
Mr. Douglas Chan, eBroker Systems Ltd.
Dr. Stephen Cheung, Dean, School of Business, HKBU
Dr. Robert Webb, Editor, Journal of Futures Markets

Session 1 Commodity Market Information Flows

Moderator: Mr. Patrick Catania

4/F, Harbour View Ballroom 2 & 3

9:00 am to 9:25 am Presentation 1: The Changing Patterns of Information Flows and Market Efficiency: Evidence from the Aluminum and Copper Futures Markets

Presenting Author: Qingfeng "Wilson" Liu

9:25 am to 9:45 am Discussant: Eric Johnson

9:45 am to 10:10 am Presentation 2: Measuring the Interdependence of Banks in Hong Kong

Presenting Author: Tom Pak-wing Fong

10:10 am to 10:30 am Discussant: William Fung

10:30 am to 10:50 am Morning Break - 4/F Harbour View Foyer

Session 2 New Derivative Products

Moderator: Dr. Joseph Fung

4/F, Harbour View Ballroom 2 & 3

10:50 am to 11:15 am Presentation 3: Exchange Traded Contracts for Difference: Design, Pricing and Effects

Presenting Author: Kevin Davis

11:15 am to 11:35 am Discussant: Yiuman Tse

11:35 am to 12:00 nn Presentation 4: Weather, Inventory, and Common Jump Dynamics in Natural Gas Futures and Spot Markets

Presenting Author: George H.K. Wang

12:00 nn to 12:20 pm Discussant: Cho-Hoi Hui

Luncheon 4/F, Harbour View Ballroom 1

12:30 pm to 2:00 pm Speaker: Mr. Tae Yoo, Director, Head of Strategic Sales and Administration, Asia, CME Group

Panel Discussion: Research Directions in Derivatives

Moderator: Dr. Mark Holder

Panelists: Mr. Patrick Catania, Dr. William Fung, Dr. Charles Cao

Session 3: Derivatives Transaction Analysis and Incentives

Moderator: Dr. Carol Liao

4/F, Harbour View Ballroom 2 & 3

2:15 pm to 2:40 pm Presentation 5: Rating Performance and Agency Incentives of Structured Finance Transactions

Presenting Author: Harald Scheule

2:40 pm to 3:00 pm Discussant: Hans Genberg

3:00 pm to 3:25 pm Presentation 6: An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers

Presenting Author: Bernard Lee

3:25 pm to 3:45 pm Discussant: James Cummings

3:45 pm to 4:00 pm Afternoon Break - 4/F Harbour View Foyer

4:00 pm to 4:25 pm Presentation 7: Crisis, Value at Risk, and Conditional Extreme Value Theory via GARCH-Jump Model

Author: Samuel Yau Man Ze-to

4:25 pm to 4:45 pm Discussant: Philip Yu

4:45 pm to 5:10 pm Presentation 8: A Modified Static Hedging Method for Continuous Barrier Options

Presenting Author: Wei-Che Tsai

5:10 pm to 5:30 pm Discussant: Paul Dawson

Cocktail Reception Peak Suite, 45/F

5:45 pm
Speaker: Mr. Chris Hehmeyer,Chairman of Penson GHCo
Speaker: Mr. Thomas McMahon,CEO, Singapore Mercantile Exchange
Friday, February 26, 2010
8:30 am to 9:00 am Registration - 4/F Harbour View Foyer

Session 4 Econometric Research and Options

Moderator: Dr. Sooyoung Song

4/F, Harbour View Ballroom 2

9:00 am to 9:25 am Presentation 9: Forecasting Volatility Role of High-Frequency Data and Forecasting Horizon

Presenting Author: Xin Cheng

9:25 am to 9:45 Discussant: Jayaram Muthuswamy

9:45 am to 10:15 am Presentation 10: The Economic Value of Introducing CBOE Variance Futures

Author: Yueh-Neng Nicole Lin

10:15 am to 10:35 am Discussant: Tom Pak-wing Fong

10:35 am to 10:55 am Morning Break - 4/F Harbour View Foyer

10:55 am to 11:20 am Presentation 11: On the Number of State Variables in Options Pricing

Presenting Author: Gang Li

11:20 am to 11:40 am Discussant: Charles Cao

11:40 am to 11:55 am By Special Invitation: "Incremental Information and Forecast Horizon: Platinum versus Gold"

Author: Michael Chng

11:55 am to 12:10 pm Special Guest Speaker: Mr. Douglas Chan, Chairman, eBroker Systems Ltd.

12:10 pm to 12:20 pm Closing Remarks

Dr. Mark Holder, Kent State University

20th Anniversary Celebratory Lunch 4/F, Harbour View Ballroom 3

12:30 pm to 1:45 pm Special Guest Presentation: Hong Kong Market Developments