Session: Insurance and Pension Funds
Hour Authors Title Discussant Session
09:00-09:25 Alessandro Mazzoccoli, Loretta Mastroeni, Maurizio Naldi Optimal investment decisions in a mixed Investment-Insurance Cyber Risk Management Audrius Kabasinskas Insurance and Pension Funds
09:25-09:50 Stefania Corsaro, Salvatore Scognamiglio, Zelda Marino Quantile Mortality Modelling of Multiple Populations via Neural Networks Alessandro Mazzoccoli Insurance and Pension Funds
09:50-10:15 Marcin Kot Study of the Effect on the Introduction of a Lockdown (COVID-19 pandemic) on Abnormal Return Rate Salvatore Scognamiglio Insurance and Pension Funds
10:15-10:40 Audrius Kabasinskas, Miloš Kopa, Kristina Sutiene, Ausrine Lakstutiene, Aidas Malakauskas On stress testing for pension funds Robinson Reyes Pena Insurance and Pension Funds
Session: Financial Markets Analysis
Hour Authors Title Discussant Session
09:00-09:25 Anoop Rai, Rama Seth Has Monetary Policy Announcements in Mexico Improved Transparency? Nikolas Topaloglou Financial Markets Analysis
09:25-09:50 Ellie Papavaseiliou, Nikolas Topaloglou, Stavros Zenios GDP-linked bonds as a new asset class Rita L. D'Ecclesia Financial Markets Analysis
09:50-10:15 Haim Shalit The Shapley Value Approach to Financial Assets Equilibrium Rosella Castellano Financial Markets Analysis
10:15-10:40 Andrea Consiglio, Stavros Zenios, Gong Chen, Enrique Alberola Debt sustainability and monetary policy: The case of ECB asset purchases Anoop Rai Financial Markets Analysis
Session: Coffee Break
Hour Authors Title Discussant Session
10:40-11:00 Coffee Break Coffee Break
Session: Commodity Markets Modelling
Hour Authors Title Discussant Session
11:00-11:25 Supriya Katti, Edward Lawrence, Mehul Raithatha Effect of Pre IPO Litigation on the Choice of Issue Method Hayette Gatfaoui Commodity Markets Modelling
11:25-11:50 Hayette Gatfaoui A Novel Approach of the Long- and Short-term relationship between Crude Oil and Natural Gas Prices Edward Lawrence Commodity Markets Modelling
11:50-12:15 Helyette Geman Not All Oil Storage Shocks Are Alike: The case of WTI during Times of Covid Raffaele Mattera Commodity Markets Modelling
12:15-12:40 Roy Cerqueti, Raffaele Mattera Hierarchies in the commodity market Andrea Roncoroni Commodity Markets Modelling
12:40-13:05 Robinson Reyes Pena, Yu Hu, Pankaj Jain, Suchismita Mishra Short Selling Bans and Limits to Multi-Market Regulatory Arbitrage Marcin Kot Commodity Markets Modelling
Session: Deep / Reinforcement Learning
Hour Authors Title Discussant Session
11:00-11:25 Henk Keffert Robo-Advising: Optimal Investment with Mismeasured and Unstable Risk Preferences Valeria D'Amato Deep / Reinforcement Learning
11:25-11:50 Álvaro Cartea, Patrick Chang, José Penalva, Harrison Waldon Learning to Collude: A Folk Theorem for Algorithms Henk Keffert Deep / Reinforcement Learning
11:50-12:15 Giorgio Consigli, Alvaro Almeida Gomez Optimal dynamic fixed-mix portfolios by reinforcement learning Tomáš Tichý Deep / Reinforcement Learning
12:15-12:40 Marco Bianchetti, Marco Scaringi, Manola Santilli Learning Market data Anomalies Patrick Chang Deep / Reinforcement Learning
12:40-13:05 Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren Deep Survival Analysis in the LOB: A Convolutional-Transformer Approach to Estimating Fill Probabilities Giorgio Consigli Deep / Reinforcement Learning
Session: Lunch
Hour Authors Title Discussant Session
13:05-14:30 Lunch Lunch
Session: Keynote Speaker
Hour Authors Title Discussant Session
14:30-16:00 Nassim Nicholas Taleb, New York University Statistical Consequences of Fat Tails Keynote Speaker
Session: Tea Break
Hour Authors Title Discussant Session
16:00-16:30 Tea Break Tea Break
Session: Round Table
Hour Authors Title Discussant Session
16:30-18:30 Chair: Giuseppe Lusignani, University of Bologna and Prometeia, Italy, Bruna Szego, Head of AML, Bank of Italy, Edoardo Faletti, CRO Banco BPM, Pasquale Cirillo, Zhaw University, Fabio Ugoste, Intesa Sanpaolo, Vittorio Calvanico, MPS, Italy FINTECH, ARTIFICIAL INTELLIGENCE AND CYBERSECURITY: A NEW HOLY TRINITY? Round Table
Session: Gala Dinner
Hour Authors Title Discussant Session
20:30-00:00 Gala Dinner Gala Dinner