Session: Opening Ceremony: Welcoming Remarks
Hour Authors Title Discussant Session
08:30-09:00 Prof. Antonella Polimeni, Chancellor Sapienza University of Rome, Prof. Giovanna Jona Lasinio, Dep of Statistics, Sapienza University of Rome, Major General Giuseppe La Gala, Director of the Academy, Prof. Antonello Biagini, Chancellor Unitelma Sapienza, Prof. Rita Laura D'Ecclesia, Chair of the EWGCFM Opening Ceremony: Welcoming Remarks Opening Ceremony: Welcoming Remarks
Session: Registration
Hour Authors Title Discussant Session
08:30-18:00 Registration Registration
Session: Algotrading and DeFi
Hour Authors Title Discussant Session
09:00-09:25 Marco Corazza, Claudio Pizzi, Andrea Marchioni A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation Annalisa Ferrari Algotrading and DeFi
09:25-09:50 Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions Fayçal Drissi Algotrading and DeFi
09:50-10:15 Álvaro Cartea, Fayçal Drissi, Marcello Monga Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision Marco Nicolosi Algotrading and DeFi
10:15-10:40 Álvaro Cartea, Fayçal Drissi, Marcello Monga Decentralised Finance and Automated Market Making: Execution and Speculation Philippe Bergault Algotrading and DeFi
Session: Risk Management
Hour Authors Title Discussant Session
09:00-09:25 Joel Barber Empirical Test of Multiple-Liability Immunization Conditions Jessica Riccioni Risk Management
09:25-09:50 Martin Smid, Milos Kopa Solving Overall Risk Minimization by Stationary Policy Heuristics Patrycja Chodnicka-Jaworska Risk Management
09:50-10:15 Jorgen Vitting Andersen, Roy Cerqueti, Jessica Riccioni Systemic risk and reliability systems: a failure prediction model Martin Smid Risk Management
10:15-10:40 Patrycja Chodnicka-Jaworska Are credit ratings agencies done lesson after 2008 global financial crisis – European and US banks’ credit ratings as a result of covid-19 crisis Mariacristina Uberti Risk Management
Session: Coffee Break
Hour Authors Title Discussant Session
10:40-11:00 Coffee Break Coffee Break
Session: Sustainable Finance
Hour Authors Title Discussant Session
11:00-11:25 Elia Smaniotto, Giulia Livieri, Davide Radi Empirical evidences of the transition risk in a credit-risk jump-diffusion model Joel Barber Sustainable Finance
11:25-11:50 Onno Steenbeek Climate risk and Strategic Asset Allocation Ralph Steuer Sustainable Finance
11:50-12:15 Sebastian Utz, Ralph Steuer On Full ESG Integration by Means of an Add-On Module to Current ESG Portfolio Construction Procedures Onno Steenbeek Sustainable Finance
12:15-12:40 Carmine Da Fermo, Marco Nicolosi, Paola Musile Tanzi, Elena Stanghellini On the relationship between financial and sustainable variables: insights from Graphical Gaussian Model Elia Smaniotto Sustainable Finance
Session: Decision Making
Hour Authors Title Discussant Session
11:00-11:25 Eshagh Jahangiri, Marco Corazza Low-and-High-β-Stock Pair-Trading by Reinforcement Learning Policies Álvaro Arroyo Decision Making
11:25-11:50 Loretta Mastroeni, Maurizio Naldi, Pierluigi Vellucci Who is influencing who? An analysis of the public opinion formation concerning the Twitter debate on wind energy Karen Watkins-Fassler Decision Making
11:50-12:15 Diana Barro, Marco Corazza, Martina Nardon Fundraising management through Artificial Neural Networks Pierluigi Vellucci Decision Making
12:15-12:40 Karen Watkins-Fassler, Mariano Rojas The Happiness of CEOs in Family Firms: Importance of Family Satisfaction and Affective Experiences in Financial/Business Decisions Eshagh Jahangiri Decision Making
Session: Lunch
Hour Authors Title Discussant Session
12:40-13:45 Lunch Lunch
Session: Keynote Speaker
Hour Authors Title Discussant Session
13:45-15:15 Agostino Capponi, Columbia University, NY Adoption and Risk Management of Decentralized Fintech Platforms Keynote Speaker
Session: New Challanges in Asset Pricing
Hour Authors Title Discussant Session
15:15-15:40 Álvaro Cartea, Patrick Chang, José Penalva Algorithmic Collusion in Electronic Markets: The Impact of Tick Size Andrea Marchioni New Challanges in Asset Pricing
15:40-16:05 Andrea Roncoroni, Paolo Guiotto Optimal Contingent Claim under Disappointment Aversion Roy Cerqueti New Challanges in Asset Pricing
16:05-16:30 Roy Cerqueti, Raffaele Mattera, Alessandro Ramponi A stochastic model for evaluating the peaks of the commodity returns Álvaro Cartea New Challanges in Asset Pricing
Session: Tea Break
Hour Authors Title Discussant Session
16:30-17:00 Tea Break Tea Break
Session: Volatility Modeling
Hour Authors Title Discussant Session
17:00-17:25 Igor Martins What events matter for exchange rate volatility? Vladimír Holý Volatility Modeling
17:25-17:50 Vladimír Holý An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations Claudiu Vinte Volatility Modeling
17:50-18:15 Claudiu Vinte, Marcel Ausloos Does the NYSE Track the S&P 500, or is it the Other Way Around? Empirical Evidence that Index Volatility is Reverting to Market Volatility Igor Martins Volatility Modeling