All presentations are plenary.
Presentations will take place at Amphi 100-10-02 in the BEM Building, which is in front of the ENSAE building: Map
See here for directions to CREST: https://crest.science/about-2/?tab=onglet7
9:15-9:45 Registration, welcome coffee
9:45 Opening remarks
9:50-10:30 Antoinette Baujard (GATE)
Do Grades Have Absolute Meaning? An Experiment on Majority Judgment
10:30-11:10 Xin Fang (Waseda U)
Call auction designs for price discovery: Experiments
Coffee break
11:30-12:10 Angela Sutan (ESSEC)
Linguistic vs. computational description of tasks when evaluating level-k
Lunch
13:40-14:20 Yohanes Eko Riyanto (Nanyang Tech)
Trading on Hearsay: The Role of Rumors and Influencers’ Investment Horizon in Shaping Asset Prices
14:20-15:00 Radu Vranceanu (ESSEC)
Strategic and insolvency risk in sovereign debt pricing: An experimental study
Coffee break
15:20-16:00 Gabriel Bayle (Montpellier)
Four ways to share a pie: Identifying distributional preferences with machine learning
16:00-16:40 Tai-Wei Hu (U Bristol)
Optimal Inquiry
16:40-17:20 Nobuyuki Hanaki (Osaka U)
Algorithm is appreciated more than experts in predicting stock price: An experiment
Dinner 19:30
at
Augustin
79 rue Daguerre - 01 43 21 92 29
75014 Paris
Wednesday, September 25th
Sessions start at 9:40
9:40-10:20 Shohei Nakajima (Waseda U)
The maximum likelihood estimator of SDEs driven by fractional Brownian motion under small noise asymptotics
10:20-11:00 Emmanuel Gobet (CMAP)
Learning extreme Expected Shortfall with neural networks, applications to crypto-markets
Coffee break
11:20-12:00 Olivier David Zerbib (CREST)
Can Investors Curb Greenwashing?
Lunch
13:30-14:10 Yan Liu (Waseda U)
Sparse principal component analysis for high-dimensional time series and its application to financial data
14:10-14:50 Jean-David Fermanian (CREST)
Latent Factor Models with Functional Single-Index Loadings
Coffee break
15:10-15:50 Peter Tankov (CREST)
Optimal stopping and divestment timing under scenario ambiguity and learning
Presentation (for students)
18:30-19:30 Presentation of the exchange programs between IP Paris and Waseda University
Presentation of Department of Mathematics, Department of Applied Mathematics, Graduate Schools of Economics and Political Science, Waseda University
Presentation of CMAP, CMLS, CREST
Q&A
This workshop is co-sponsored by CEFM (Centre for Experimental Financial Market), JSPS core to core program, and Grant for International Academic Events at Waseda University.