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Past Conferences

The Volatility Institute hosted its sixth annual conference on April 25, 2014 titled "Market Liquidity and Funding Liquidity: Implications for Economic Risk."

PROGRAM
Click here for the Sixth Annual Volatility Institute Conference Program. You can view photos from the event here.

Dhar and Figlewski
Vasant Dhar (left), Luncheon Speaker at the 2014 Volatility Institute Conference, has a conversation with conference chair Stephen Figlewski.

THEME
Financial markets are generally very good at providing liquidity so that assets can be purchased or funds can be borrowed quickly and at fair prices. However, when conditions deteriorate, liquidity disappears and selling prices can spiral downward in a “fire sale”. Firms manage their portfolios and economic investments in ways that control the risks of these liquidity spirals. The link between episodes of illiquidity and high volatility further complicates the portfolio problem. When illiquidity becomes severe, the aggregate consequences can be very damaging.

This conference will feature papers that focus on measuring and modeling the dynamics of illiquidity in both asset and funding markets and the economic consequences of such episodes. The conference will bring together academics, practitioners and regulators to discuss the latest research and ideas on liquidity and volatility.

SCHEDULE
8:00am Registration
8:25-8:35am Welcome Remarks:
Richard Levich, NYU Stern School of Business
8:35-10:50am Session 1:
René Garcia, EDHEC Business School
(co authored with Jean-Sébastien Fontaine and Sermin Gungor)
"Funding Liquidity Risk and the Cross-Section of Stock Returns"
slides
Discussant: Ruslan Goyenko, McGill University and University of Toronto [Video]
slides

Diane Pierret, NYU Stern School of Business [Video]
“Systemic risk and the solvency-liquidity nexus of banks”
slides
Discussant: Stephen Cecchetti, Brandeis International Business School [Video]
slides

Dale Rosenthal, UIC Business [Video]
(co-authored with Kris Boudt and Ellen Paulus)
“Funding liquidity, market liquidity and TED spread: A two-regime model”
slides
Discussant: Tobias Adrian, Federal Reserve Bank of New York [Video]
slides
10:50-11:20am Refreshment Break
11:20-12:00pm Keynote Speaker: Lasse H. Pedersen, John A. Paulson Professor of Finance and Alternative Investments, NYU Stern School of Business [Video]
"Market Liquidity and Funding Liquidity: An Overview"
slides
12:00-1:30pm Lunch & Luncheon Address:
Vasant Dhar, Professor; Co-Director, Center for Business Analytics, NYU Stern School of Business; Editor-in-Chief Big Data Journal
"The Rise of Machines and Liquidity in Financial Markets”
slides
related reading:
"Speed--the only HFT advantage? Not so fast." - Vasant Dhar
"Data Science and Prediction" - Vasant Dhar
1:30-3:00pm Session 2:
Jeffrey Russell, University of Chicago, Booth School of Business
“Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to the Financial Crisis”
Discussant: Eric Jondeau, Université de Lausanne
slides

Loriana Pelizzon, Ca'Foscari University of Venice and Goethe University Frankfurt
(co-authored with  Marti Subrahmanyam, Davide Tomio, and Jun Uno)
“Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?”
Discussant: Eric Ghysels,University of North Carolina, Chapel Hill
slides
3:00-3:30pm Refreshment Break
3:30-5:00pm Session 3:
Alejandro Bernales, Banque de France and Universidad de Chile [Video]
(co-authored with Joseph Daoud)
“Algorithmic and High Frequency Trading in Dynamic Limit Order Markets”
slides
Discussant: Albert Menkveld, VU University Amsterdam
slides

What's New In V-Lab: Robert F. Engle, NYU Stern School of Business [Video]
slides
5:00-6:00pm Panel Discussion [Video]:
Robert Almgren, Courant Institute of Mathematical Sciences, NYU; Quantitative Brokers
Yakov Amihud, NYU Stern
Richard Ferguson, Deutsche Bank
Joel Hasbrouck, Moderator, NYU Stern
David Sayles, BlackRock Inc.
6:00pm Wine and Cheese Reception

SPONSORED BY
The Volatility Institute, BlackRock, Inc., Deutsche Bank, and SoFiE

VOLATILITY INSTITUTE SCIENTIFIC COMMITTEE
Viral Acharya, Stern School of Business New York University
Robert Engle, Stern School of Business New York University
Stephen Figlewski, Stern School of Business New York University
Eric Ghysels, University of North Carolina - Chapel Hill
David Greenberg, Managing Director, BlackRock, Inc.
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC
Matt Richardson, Stern School of Business New York University