23 June 2022
(Thursday)
Submission: 13 June 2022
Announcement of Acceptance: 17 June 2022
Registration: 20 June 2022 (via email)
Online
Zoom link: https://itu-edu-tr.zoom.us/meeting/register/tJ0rde2rpzMiHt2v4cZioLo-PDdj_mvdQgCt
Full papers or abstracts in English
There is no submission or participation fee
Erdinç Akyıldırım, Boğaziçi University
Recep Bildik, Istanbul Ticaret University
Cumhur Ekinci, ITU
Oğuz Ersan, Kadir Has U
Neslihan Yılmaz, Boğaziçi U
TÜBİTAK ARDEB Research Grant
(Project No: 218K566)
Host Institution: Kadir Has University
Agent-based modeling
Algorithmic trading
Anomalies and seasonality
Behavioral biases
Big data in finance
Brokerage and market making
Computational methods
Effects of news and announcements
Financial information
Financial regulation
Fragmentation
High-frequency data
High-frequency econometrics
High-frequency trading (HFT)
Institutional investors
Investment strategies
Investor and trader types
Investor sentiment
Limit order book (LOB)
Manipulation and insider trading
Market design
Market liquidity
Risk attitudes
Trading infrastructure and technology
Transparency
June 23, 2022 - Thursday
10:30-10:35* Welcome Speech by Cumhur Ekinci (Istanbul Techical U)
10:35-10:45 Presentation of the Research Poject: "HFT, its Effects and Remedies" by Oğuz Ersan (Kadir Has U)
10:45-12:45 Morning Session
"Ghost Liquidity in a Single-Venue Market" by Nihan Dalgıç (Yeditepe U) - Discussant: Erdinç Akyıldırım (Boğaziçi U)
"Who Knows? Information Differences Between Trader Types" by Ion Lucas Şaru (Vrije U Amsterdam) - Discussant: Cenk Karahan (Boğaziçi U)
"Informed Trading through COVID-19 Pandemic: Evidence from the Bitcoin Market" by Timotheos Mavropoulos (Enskild Firma) - Discussant: Gamze Öztürk Danışman (Kadir Has U)
"I Know What You Did Last February: Informed Trading in Borsa Istanbul" by Mehmet Bodur (Kadir Has U) - Discussant: Evrim Hilal Kahya (Capital Markets Board)
12:45-13:45 Lunch Break
13:45-15:25 Afternoon Session
"Effective Portfolio Optimization Through Sentiment Analysis" by Ünsal Kıran (Istanbul Technical U) - Discussant: Şükriye Tüysüz (Yeditepe U)
"Stock Selection and Investor Sentiment" by Bayram Veli Salur (Istanbul Technical U) - Discussant: Neslihan Yılmaz (Boğaziçi U)
"Competing trading strategies in an agent-based artificial stock market" by Hidayet Beyhan (Istanbul Technical U) - Discussant: Ünsal Kıran (Istanbul Technical U)
"Time-frequency Interdependence between a large game of financial assets analysed with Wavelet coherence analysis" by Cengiz Karataş (Yeditepe U) - Discussant: Selçuk Bayracı (Cybersoft)
15:30-16:00 R Session
"What have we learnt from PINstimation" by Montasser Ghachem (Stockholm U)
16:00-17:00 Keynote Speech
"On the Effects of Continuous Trading" by Andriy Shkilko (Wilfrid Laurier U)
* Turkey Time (UTC/GMT +3h)