Call for papers

You can download the call for papers in PDF format here

In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. Further, since March 2020 and within the on-going coronavirus crisis, the financial markets have been again impacted significantly in particular because of the lockdown decisions in different developed and emerging countries, the slowdown of major economies, etc. Indeed, these recent events -induced basically by a Covid shock - have generated an economic shock, increased uncertainty, and impacted investor’s anxiety and therefore financial market dynamics. In order to limit these losses, ensure investors and improve risk control, governments and central banks have proposed different solidarity programs and aids. The financial market authorities adopted new regulatory measures to strengthen the financial systems, control algorithm and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures, to test their appropriateness and to assess for the effects of these shocks on the financial markets. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics. The aim of the workshop is to discuss innovative econometric modeling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear models and recent econometrics modeling. The workshop aims at bringing together academics and professionals (economists, financiers, and econometricians) to discuss these issues and to present their recent theoretical and empirical findings. It will also serve as a valuable platform for discussing innovative and thought-provoking ideas on nonlinear high frequency data modeling.

 

We are looking for topics that might include (but are not restricted to) theoretical, experimental and empirical research in the following areas:

 

-          Market Microstructure            - High Frequency Trading

-          Order Book Dynamics            - Optimal trading

-          Effects of Covid-19                - Market Analysis

-          Commodity Prices                  - Algorithmic Trading

-          Market Regulation                  - Volatility Dynamics

-          Market Liquidity                     - Financial Mathematics

-          Electronic Market                   - Nonlinear Dynamics

-          Market Organization               - Financial Econometrics        

-          High Frequency data analysis - Threshold Modeling

-          Price Discovery                       - Switching Regime Models

-          Extreme Risk and Insurance   - GARCH Modeling

-          Financial Intermediation         - Nonlinear Time Series

-          Price dynamics                        - Markov Switching Models

-          Market imperfections              -  Copula Techniques

-          Exchange Rate Dynamics       - Simulation Methods

-          Liquidity Modeling                 - Non Parametric Models

-          Market efficiency                    - Nonlinear Panel Models

-          Stock Markets                         - Forecasting

-          Behavioral Finance                 - Continuous Time Processes

-          Quantitative Finance               - Dynamic Conditional Moments

-          Banking and Investment         - Long Memory Models

-          Derivatives Pricing                  - State Space Models

-          Asset Pricing Models              - Linearity Tests

-          Risk Management                   - Nonlinear Causality Tests

-          Financial Engineering               - Quantile Panel Regressions

-          Hedge Funds                          - Bayesian Analysis

-          Price formation                      - Wavelet

-          Experimental Finance            

 

                                               

This international conference includes plenary sessions, parallel sessions and poster sessions. 

 

Scientific Committee

C. Alexander, University of Sussex, the UK.

Y. Ait-Sahalia, Princeton University, the USA.

W. Barnett, University of Kansas & Center for Financial Stability, New York, the USA.

T. Bollerslev, Duke University, the USA.

D. Bourghelle, IAE Lille University of Management, France.

J. Campbell, Harvard University, the USA.

M. Chauvet, University of California Riverside, The USA.

T. Chordia, Emory University, the USA.

G. Dufrénot, Aix -Marseille School of Economics, France.

Fontaine, P., CNRS-EUROFIDAI, France.

Th. Foucault, HEC Paris, France.

Ph. Franses, Erasmus University, The Netherlands.

P. Grandin, IAE Lille University of Management, France.

C. Gresse, Université Paris-Dauphine, France.

K. Hadri, Queens University Belfast, the UK.

S. Hall, Leicester University, the UK.

F. Jawadi, IAE Lille University of Management, France.

K. Juselius, University of Copenhagen, Denmark

L. Lescourret, ESSEC Business School, France.

Dennis Kristensen, University College London & CRETAES, the UK.

K. Lansing, Federal Reserve Bank of San Francisco, the USA.

E. Maasoumi, Emory University, the USA.

J. Mairesse, ENSAE (CREST)  and Maastricht  University Maastricht (UNU-MERIT), France

B. Mizrach, Rutgers University, the USA.

S. Moinas, Toulouse School of Economics, France 

Ch. Parlour, University of California, the USA. 

D. Peel, Lancaster University, the UK.

S. Pouget, Toulouse School of Economcis, France

J. Racine, McMaster University, Canada

S. Reitz, University of Kiel, Germany.

Ph. Rothman, East Carolina University, the USA.

L. Sarno, University of Cambridge, the UK.

O. Scaillet, University of Geneva and Swiss Finance Institute, Switzerland.

G. Talmain, University of Glasgow, the UK.

M. P. Taylor, Washington University in St Louis, the USA

T. Teräsvirta, Aarhus University, Denmark.

E. Theissen, University of Mannheim, Germany.

H. Tong, London School of Economics, the UK.

R. Tsay, University of Chicago, the USA.

R. Uctum, University of Paris West, & CNRS, France.

R. Uppal, EDHEC Business School, the UK.

D. Van Dijk, Erasmus University of Rotterdam, The Netherlands.

B. Villeneuve, Université Paris Dauphine, France.

J. C. Wu, University of Chicago, the USA.

 

Submission Process

Authors are invited to submit a full paper -in PDF format and in English-, via the workshop website: www.fmnd.fr, or by email at: nd.mm2012@gmail.com.  The complete version of the paper should include the following information: title, name(s) of the authors, abstract (max 150 words), keywords, JEL classification, e-mail address for each author, complete address for the corresponding author.


Important Dates

Deadline for submission: February 28, 2021.

Notification of final decision: March 15, 2021.

Author Registration: March 15, 2021 - April 15, 2021.

Dates of the workshop: June 3-4, 2021.

 

 

Publication Opportunities

A selection of papers presented at this workshop will be considered for publication in:

 

- a special issue of Annals of Operations Research.

- a special issue of Economic Modelling.

- a special issue of Studies in Nonlinear Dynamics and Econometrics.

- a section at the Journal of Empirical Finance[1].

- a section at the Energy Journal[2].



[1] “Dual submission to the Journal of Empirical Finance (JEF) will be allowed.  At the time of submission to the conference, authors may indicate that they want to choose the option of dual submission to the JEF.  After the conference, at the discretion of the JEF editors, papers may be invited for submission to the JEF.  Invited papers will not have to pay any submission fees but will go through the regular refereeing process.   Even if a dually submitted paper is subsequently rejected, the authors can submit to the journal again through the regular submission process.”

[2] With the agreement of the EIC, best papers relating to commodities can be considered for publication in the Energy Journal after going through a review process.