Call For Papers - The Sixth Annual Volatility Institute Conference at New York University Stern School of Business to be held on April 25th, 2014
The Sixth Annual Volatility Conference at New York University Stern School of Business
Hosted by Robert F. Engle, Director of the Volatility Institute
April 25th, 2014
Keynote Speaker: Lasse H. Pedersen, John A. Paulson Professor of Finance and Alternative Investments, NYU Stern School of Business
Academics and practitioners in the field, including those who currently are not members of the Institute, are invited to submit papers. Each author may submit only one paper. Papers may be submitted electronically via e-mail to firstname.lastname@example.org with the subject line "V.I. Conference 2014 Submission" and must consist of a single PDF file. No other formats will be accepted. Submissions must be received by January 9th, 2014. It is expected that decisions will be made by early February, 2014. Papers will be selected via a review process of the Program Committee, which consists of -
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
Matt Matysik, Assistant Director of the Volatility Institute
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.