Dr. Mark Holder from Kent State University and Hong Kong Institute for Monetary Research

20th Annual Asia-Pacific Futures Research Symposium

25 February 2010 (Thursday) - 26 February 2010 (Friday)

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
4/F, Harbour View Ballroom 2 & 3

9:00 am to 9:25 am 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: Eric Johnson
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 10:30 am Discussant: William Fung
10:30 am to 10:50 am Morning Break - 4/F Harbour View Foyer
Session 2 New Derivative Products
Moderator: Dr. Joseph Fung
4/F, Harbour View Ballroom 2 & 3

10:50 am to 11:15 am Presentation 3: Exchange Traded Contracts for Difference: Design, Pricing and Effects
Presenting Author: Kevin Davis

11:15 am to 11:35 am Discussant: Yiuman Tse
11:35 am to 12:00 nn Presentation 4: Weather, Inventory, and Common Jump Dynamics in Natural Gas Futures and Spot Markets
Presenting Author: George H.K. Wang

12:00 nn to 12:20 pm Discussant: Cho-Hoi Hui
Luncheon 4/F, Harbour View Ballroom 1
12:30 pm to 2:00 pm 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

4/F, Harbour View Ballroom 2 & 3

2:15 pm to 2:40 pm Presentation 5: Rating Performance and Agency Incentives of Structured Finance Transactions
Presenting Author: Harald Scheule

2:40 pm to 3:00 pm Discussant: Hans Genberg
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: James Cummings
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: Philip Yu
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: Paul Dawson
Cocktail Reception Peak Suite, 45/F
5:45 pm 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
4/F, Harbour View Ballroom 2

9:00 am to 9:25 am Presentation 9: Forecasting Volatility Role of High-Frequency Data and Forecasting Horizon
Presenting Author: Xin Cheng

9:25 am to 9:45 Discussant: Jayaram Muthuswamy
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: Tom Pak-wing Fong
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: Charles Cao
11:40 am to 11:55 am By Special Invitation: "Incremental Information and Forecast Horizon: Platinum versus Gold"
Author: Michael Chng

11:55 am 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 4/F, Harbour View Ballroom 3
12:30 pm to 1:45 pm Special Guest Presentation: Hong Kong Market Developments

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