The Asia-Pacific Futures Research Symposium (APFRS) is one of the most respected derivatives research conferences in the world, having begun when the Chicago Board of Trade (CBOT) Foundation hosted its first Asian Symposium in Hong Kong 20 years ago. Today’
This year’s 20th anniversary symposium continues the tradition of innovative research presentations by financial engineers in four in-depth sessions, with original, peer reviewed papers and discussant sessions. This year’s opening luncheon sponsored by the CME Group Foundation, features keynote speaker; Mr. Tae Yoo, director and head of strategic sales and administration of Asia’s CME Group. Mr. Yoo will be followed by a panel discussion entitled; “Research Directions in Derivatives”
“We are delighted with this year’s symposium,” said Dr. Mark Holder, director of Kent State’s Center for Financial Engineering, “From the influential financial leaders & respected scholars that will attend the symposium representing organizations in Australia, China, Japan, Korea, Taiwan, Hong Kong and the United States, to the celebration of our 20th year fostering the advancement of financial engineering in the Asia-Pacific realm. It’s truly an impressive success.”
The accomplishments of the APFRS in large part is due to generous funding and support from local and global sponsors; CBOT Foundation, CME Group Foundation, Dow Jones Indexes, eBroker Systems LTD., Hong Kong Baptist University, Xiamen University and WISE, The Institute for Financial Markets, The Journal for Futures Markets, Review of Futures Markets and Kent State University.
The Asia-Pacific Futures Research Symposium’s 20th Anniversary Program Schedule is listed below.
Thursday, February 25 , 2010
8:00 am to 8:45 am Registration - 4/F Harbour View Foyer, Four Seasons Hotel
8:45 am to 9:00 am Opening Remarks - 4/F, Harbour View Ballroom 2 & 3
Mr. Patrick Catania, Asia West Group & Head of Int’l Relations, NCDEX
Dr. Dong He, Hong Kong Monetary Authority
Mr. Douglas Chan, eBroker Systems Ltd.
Dr. Stephen Cheung, Dean, School of Business, HKBU
Dr. Robert Webb, Editor, Journal of Futures Markets
Session 1: Commodity Market Information Flows
Moderator: Mr. Patrick Catania
9:00 am to 9:25 am 4/F, Harbour View Ballroom 2 & 3
Presentation 1: The Changing Patterns of Information Flows and Market Efficiency: Evidence from the Aluminum and Copper Futures Markets
Presenting Author: Qingfeng “Wilson” Liu
9:25 am to 9:45 am Discussant:
9:45 am to 10:10 am
Presentation 2: Measuring the Interdependence of Banks in Hong Kong
Presenting Author: Tom Pak-wing Fong
10:10 am to 10:30am
10:30 am to 10:50am
Session 2: New Derivative Products
Moderator: Dr. Joseph Fung
10:50 am to 11:15 am 4/F, Harbour View Ballroom 2 & 3
Presentation 3: Exchange Traded Contracts for Difference: Design, Pricing and Effects
Presenting Author: Kevin Davis
11:15 am to 11:35 am Discussant:
11:35 am to 12:00 pm
Presentation 4: Weather, Inventory, and Common Jump Dynamics in Natural Gas Futures and Spot Markets
Presenting Author: George H.K. Wang
12:00 pm to 12:20 pm Discussant:
Luncheon
12:30 pm to 2:00 pm 4/F, Harbour View Ballroom 1
Speaker: Mr. Tae Yoo, Director, Head of Strategic Sales and Administration,
Asia, CME Group
Panel Discussion: Research Directions in Derivatives
Moderator: Dr. Mark Holder
Panelists: Mr. Patrick Catania, Dr. William Fung, Dr. Charles Cao
Session 3: Derivatives Transaction Analysis and Incentives
Moderator: Dr. Carol Liao
2:15 pm to 2:40 pm 4/F, Harbour View Ballroom 2 & 3
Presentation 5: Rating Performance and Agency Incentives of Structured Finance Transactions
Presenting Author: Harald Scheule
2:40 pm to 3:00 pm Discussant:
3:00 pm to 3:25 pm
Presentation 6: An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers
Presenting Author: Bernard Lee
3:25 pm to 3:45 pm Discussant:
3:45 pm to 4:00 pm Afternoon Break - 4/F Harbour View Foyer
4:00 pm to 4:25 pm
Presentation 7: Crisis, Value at Risk, and Conditional Extreme Value Theory via GARCH-Jump Model
Author: Samuel Yau Man Ze-to
4:25 pm to 4:45 pm Discussant:
4:45 pm to 5:10 pm
Presentation 8: A Modified Static Hedging Method for Continuous Barrier Options
Presenting Author: Wei-Che Tsai
5:10 pm to 5:30 pm Discussant:
Cocktail Reception
5:45 pm Peak Suite, 45/F
Speaker: Mr. Chris Hehmeyer, Chairman of Penson GHCo
Speaker: Mr. Thomas McMahon, CEO, Singapore Mercantile Exchange
Friday, February 26, 2010
8:30 am to 9:00 am Registration - 4/F Harbour View Foyer
Session 4: Econometric Research and Options
Moderator: Dr. Sooyoung Song
9:00 am to 9:25 am 4/F, Harbour View Ballroom 2
Presentation 9: Forecasting Volatility Role of High-Frequency Data and Forecasting Horizon
Presenting Author: Xin Cheng
9:25 am to 9:45 am Discussant:
9:45 am to 10:15 am
Presentation 10: The Economic Value of Introducing CBOE Variance Futures
Author: Yueh-Neng Nicole Lin
10:15 am to 10:35 am Discussant:
10:35 am to 10:55 am Morning Break - 4/F Harbour View Foyer
10:55 am to 11:20 am
Presentation 11: On the Number of State Variables in Options Pricing
Presenting Author: Gang Li
11:20 am to 11:40 am Discussant:
11:40 am to 11:55 pm
By Special Invitation: “Incremental Information and Forecast Horizon: Platinum versus Gold”
(Author: Michael Chng)
11:55 pm to 12:10 pm
Special Guest Speaker: Mr. Douglas Chan, Chairman, eBroker Systems Ltd.
12:10 pm to 12:20 pm
Closing Remarks
Dr. Mark Holder, Kent State University
20th Anniversary Celebratory Lunch
12:30 pm to 1:45 pm 4/F, Harbour View Ballroom 3
Special Guest Speaker: Hong Kong Market Developments
