| Thursday, February 25 , 2010 |
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| 8:00 am to 8:45 am |
Registration - 4/F Harbour View Foyer, Four Seasons Hotel
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| 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
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| Session 1 |
Commodity Market Information Flows
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Moderator: Mr. Patrick Catania
4/F, Harbour View Ballroom 2 & 3
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| 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
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| 9:25 am to 9:45 am |
Discussant: Eric Johnson
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| 9:45 am to 10:10 am |
Presentation 2: Measuring the Interdependence of Banks in Hong Kong
Presenting Author: Tom Pak-wing Fong
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| 10:10 am to 10:30 am |
Discussant: William Fung
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| 10:30 am to 10:50 am |
Morning Break - 4/F Harbour View Foyer
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| Session 2 |
New Derivative Products
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Moderator: Dr. Joseph Fung
4/F, Harbour View Ballroom 2 & 3
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| 10:50 am to 11:15 am |
Presentation 3: Exchange Traded Contracts for Difference: Design, Pricing and Effects
Presenting Author: Kevin Davis
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| 11:15 am to 11:35 am |
Discussant: Yiuman Tse
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| 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
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| 12:00 nn to 12:20 pm |
Discussant: Cho-Hoi Hui
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| Luncheon |
4/F, Harbour View Ballroom 1
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| 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
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| 2:15 pm to 2:40 pm |
Presentation 5: Rating Performance and Agency Incentives of Structured Finance Transactions
Presenting Author: Harald Scheule
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| 2:40 pm to 3:00 pm |
Discussant: Hans Genberg
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| 3:00 pm to 3:25 pm |
Presentation 6: An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers
Presenting Author: Bernard Lee
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| 3:25 pm to 3:45 pm |
Discussant: James Cummings
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| 3:45 pm to 4:00 pm |
Afternoon Break - 4/F Harbour View Foyer
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| 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
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| 4:25 pm to 4:45 pm |
Discussant: Philip Yu
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| 4:45 pm to 5:10 pm |
Presentation 8: A Modified Static Hedging Method for Continuous Barrier Options
Presenting Author: Wei-Che Tsai
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| 5:10 pm to 5:30 pm |
Discussant: Paul Dawson
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| Cocktail Reception |
Peak Suite, 45/F
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| 5:45 pm |
Speaker: Mr. Chris Hehmeyer,Chairman of Penson GHCo
Speaker: Mr. Thomas McMahon,CEO, Singapore Mercantile Exchange
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| Friday, February 26, 2010 |
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| 8:30 am to 9:00 am |
Registration - 4/F Harbour View Foyer
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| Session 4 |
Econometric Research and Options
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Moderator: Dr. Sooyoung Song
4/F, Harbour View Ballroom 2
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| 9:00 am to 9:25 am |
Presentation 9: Forecasting Volatility Role of High-Frequency Data and Forecasting Horizon
Presenting Author: Xin Cheng
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| 9:25 am to 9:45 |
Discussant: Jayaram Muthuswamy
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| 9:45 am to 10:15 am |
Presentation 10: The Economic Value of Introducing CBOE Variance Futures
Author: Yueh-Neng Nicole Lin
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| 10:15 am to 10:35 am |
Discussant: Tom Pak-wing Fong
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| 10:35 am to 10:55 am |
Morning Break - 4/F Harbour View Foyer
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| 10:55 am to 11:20 am |
Presentation 11: On the Number of State Variables in Options Pricing
Presenting Author: Gang Li
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| 11:20 am to 11:40 am |
Discussant: Charles Cao
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| 11:40 am to 11:55 am |
By Special Invitation: "Incremental Information and Forecast Horizon: Platinum versus Gold"
Author: Michael Chng
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| 11:55 am to 12:10 pm |
Special Guest Speaker: Mr. Douglas Chan, Chairman, eBroker Systems Ltd.
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| 12:10 pm to 12:20 pm |
Closing Remarks
Dr. Mark Holder, Kent State University
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| 20th Anniversary Celebratory Lunch |
4/F, Harbour View Ballroom 3
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| 12:30 pm to 1:45 pm |
Special Guest Presentation: Hong Kong Market Developments
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