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Quantitative Finance Collector is a blog on Quantitative finance analysis, financial engineering methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management. Random thoughts on financial markets and personal staff are posted at the sub personal blog.

Mar 8
I just returned Beijing from the Midwest Finance Association 2016 Annual Meeting in Atlanta, it is my first time in America, and the life there is quite different from that in the British cities... few people in downtown, hard to go out without a car, people are less friendly (at least look like)...

MFA annual conference provides a forum for the interaction of finance academics and practitioners to share scholarly activity and current practice so as to encourage and facilitate the betterment of the profession. Below I select several papers with download links that are of interest to me, it is by no means a list of top quality of the conference though.

Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality: We examine short-horizon return predictability using a unique, proprietary data set across a large universe of institutional traders with known (masked) identity. We propose a model to estimate an investor-specific short-term trading skill and find that there is pronounced heterogeneity in predicting short-term returns among institutional investors. This suggests that short-term information asymmetry is a significant motivation for trade. Our model illustrates that incorporating short-term predictive ability explains a much higher fraction of short-term asset returns and enables more accurate estimation of price impact. A simple trading strategy exploiting our estimates of skill yields statistically significant abnormal return when benchmarked against a four-factor model. We investigate the source of variation in short-term trading skill and find strong evidence that skilled traders are able to predict short-term returns by following a short-term momentum strategy. Furthermore, we illustrate that the variation in short-term trading skill is statistically dependent on order characteristics such as duration and relative size, that are associated with more urgent and more informed trading. Finally, using both trading skill estimates emerging from our model and proposed skill predictive variables, we show that investor heterogeneity has major implications for quantifying execution quality.
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An Empirical Detection of HFT Strategies: This paper detects empirically the presence of High Frequency Trading strategies from public data and examines their impact on financial markets. The objective is to provide a structured and strategic approach to isolate signal from noise in a high frequency setting. In order to prove the suitability of the proposed approach, several HFT strategies are evaluated on the basis of their market impact, performance and main characteristics.
paper
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Jun 13
I am contacted by a reader to post this announcement, just in case you are interested, some good speakers.

Institute of Mathematics of the National Academy of Sciences in association with Yerevan State University and American University of Armenia is organizing a Workshop on Stochastic and PDE Methods in Financial Mathematics in September 7 - 12, 2012 to be held in Yerevan, Armenia.

The program of the workshop will consist of invited 50 minutes plenary lectures and contributed 20 minutes talks, poster sessions as well as short presentations.

Scientific Committee: Rama Cont (Universite Paris VI-VII, France), Levon Goukasian (Pepperdine University, USA), Walter Schachermayer (University of Vienna, Austria), Henrik Shahgholian (KTH, Sweden), Johan Tysk (Uppsala University, Sweden)

Organizing Committee: A. Hakobyan (YSU, Armenia), M. Poghosyan (YSU, Armenia), R. Barkhudaryan (Institute of Mathematics, Armenia), A. Hajian (AUA, Armenia)

Main Speakers: Amel Bentata (Universite Pierre et Marie Curie (P6), France),  Rama Cont (Universite Paris VI-VII, France), Boualem Djehiche (KTH, Sweden), Diogo Gomes (Instituto Superior Tecnico, Portugal), Dmitry Kramkov (Carnegie Mellon University, USA), Michael Mania (A. Razmadze Mathematical Institute, Georgia), Peter Markowich (University of Cambridge, UK and University of Vienna, Austria), Aleksandar Mijatovic (University of Warwick, UK), George Papanicolaou (Stanford University, USA), Andrea Pascucci (Universita di Bologna, Italia), Huyen Pham (University Paris Diderot (Paris 7), IUF, France), Camelia Pop (Rutgers University, USA), Walter Schachermayer (University of Vienna, Austria), Henrik Shahgholian (KTH, Sweden), Halil Mete Soner (ETH Zürich, Switzerland), Josef Teichmann (ETH Zurich, Switzerland), Nizar Touzi (Ecole Polytechnique, France), Thaleia Zariphopoulou (Oxford-Man Institute of Quantitative Finance, UK)
May 2
My colleague forwarded this email to me, I guess some of you may be interested.


First International Conference on Futures and other Derivative Markets
15-16 October 2012
Beihang University, Beijing, China



________________________________________
CALL FOR PAPERS
The Shanghai Futures Exchange, Beihang University and Renmin University of China are jointly organizing a conference on the topic of futures and other derivative markets. This conference aims to join academics and business economists to discuss a wide variety of topics on global derivative especially futures markets and their implications for practitioners.
Submission: Complete papers should be sent to DerivativeConference@gmail.com by July 8, 2012. Feel free to address any enquiries to this address as well.  
Participation: There is no registration fee for the conference. Presenting authors (one for each paper) will be provided two nights of accommodation at the Vision Hotel close to Beihang University.   Announcement of accepted papers will be made July 29, 2012.

Publication : All papers accepted for the conference are eligible to be considered for publication in the JOURNAL OF FUTURES MARKETS in a special issue devoted to the conference. If you wish your paper to be considered for publication in the JFM, please indicate so in your email. Papers will be reviewed for the JFM upon receipt using its normal criteria. Note that the acceptance of a paper to the conference is not a guarantee of publication by the JFM. All papers will go through the journal’s standard blind review process.

Conference Organizers : Professors Liyan HAN (Beihang University), Ke TANG (Renmin University of China) and Huiyan ZHANG (Shanghai Futures Exchange)
Dec 20
Benchmark Replication Portfolio Strategies: a novel approach to the benchmark replication problem which uses a minimum tracking error variance as an objective subject to a target expected outperformance.

Options Trading and the Extent that Stock Prices Lead Future Earnings Information:  Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.

The Lure of the Slant: Analyst Optimism and Asset Prices: This paper studies the effect of analyst optimism on asset prices.

Are Co-Skewness and Co-Kurtosis Factors Priced?: The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model.

On the Returns to Small Growth Stocks: The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence: We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price.

Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence: sentiment beta captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders.

A full list of the presented papers can be downloaded at Conference papers.
Dec 19
On each day there are approximately 80 papers to be presented in 20 sessions, which is really a lot and hard to have a detailed and useful discussion, I would say too many presentations are the weak side of this 24th Australasian Finance & Banking Conference. I selected several papers of the first day based on my interests:

Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account the value of a firm’s assets that can be used as collateral.

Explaining Momentum Strategies Using Intrinsic Price Fluctuations: This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies.

Adverse Information and Mutual Fund Runs: anticipation of adverse events can also trigger runs in mutual funds.

Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract:  the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process.

A full list of the presented papers can be downloaded at Conference papers.
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