Welcome to Labex Refi website // Financial Regulation Lab x

Presentation

Feb
23
Thu
Research Seminar, FinTech (Crypto-Finance) – MONNAIES CRYPTOGRAPHIQUES ET COMPLEXITE, avec JEAN PAUL DELAHAYE – UNIVERSITE DE LILLE 1
Feb 23 @ 17 h 00 min – 19 h 00 min

 

Organisateurs:

Cyril Gunspan (ESILV,De Vinci)

Dominique Guégan (Paris 1, CES, Labex ReFi),

Ricardo Pérez-Marco (CNRS, IMJ-PRG, Labex MME-DIILabex ReFi)

 Maison des Sciences Économiques

106-112, boulevard de l’Hôpital 75013 parisSalle B3-1 (Rez de chaussée dans la cour)

J.P. Delahaye

CV & Bio

 Université de Lille 1

Monnaies cryptographiques et complexité

Abstract

Le “minage” du Bitcoin apparaît au premier abord absurde : une colossale quantité de moyens (puces spécialisées, installations, électricité) est dépensée pour décider qui gagnera chaque 10 minutes les quelques Bitcoins créés par le protocole de Satoshi Nakamoto, et non pas pour participer à la gestion de la blockchain et à la surveillance des transactions qui ont un coût négligeable comparé à la course pour le calcul du “hash”. Pourtant une analyse plus fine montre que ces calculs apparemment absurdes se retrouvent “contenus” dans la blockchain et contribuent à la rendre infalsifiable, ce qui est essentiel pour la robustesse du protocole général. En cas de “fork” c’est d’ailleurs ce contenu en calcul qui permet de résoudre l’état incohérent du réseau dû à la présence de plusieurs blockchains valides concurrentes. Nous étudierons cette étrange situation mal théorisée aujourd’hui, nous parlerons de la notion mathématique de “contenu en calcul” (la “profondeur logique de Bennett” liée mais différente de la “complexité de Kolmogorov”) qui aide à penser proprement le problème des algorithmes de consensus, dont on ne sait pas aujourd’hui s’ils peuvent réellement éviter ce coût du minage d’une blockchain publique et ouverte comme celle du Bitcoin.

The PARIS CRYPTOFINANCE SEMINAR is a monthly meeting point for Cryptofinance Research taking advantage of the Paris diversity and critical mass of researchers in Mathematics, Cryptography, Computer science, Economics, Banking and Finance in general.  It is sponsored by research institutions CNRS, Labex Réfi, Labex MME-DII, Institut Henri Poincaré, and  academic institutions, Université Paris 1, Paris 7 and Pôle De Vinci. It is an international seminar with the aim of bringing to Paris the world top research in the new subject of Cryptofinance, cryptodurrencies, Blockchain and Bitcoin. Learn more here

Feb
24
Fri
Research Seminar Labex ReFi -The Behavior of Dealers and Clients on the European Corporate Bond Market: the Case of Multi-Dealer-to-Client Platforms, with Olivier Guéant, Université Paris 1 Panthéon Sorbonne
Feb 24 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

Olivier Guéant

(CV & Bio here)

Université Paris 1 Panthéon Sorbonne

will present

The Behavior of Dealers and Clients on the European Corporate
Bond Market: the Case of Multi-Dealer-to-Client Platforms

Abstract :

For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven (i.e., dealer-driven) rather than order-driven, the market for corporate bonds is still mainly dominated by voice trading, but a lot of electronic platforms have emerged. These electronic platforms make it possible for buy-side agents to simultaneously request several dealers for quotes, or even directly trade with other buy-siders. The research presented in this talk is based on a large proprietary database of requests for quotes (RFQ) sent, through the multi-dealer-to-client (MD2C) platform operated by Bloomberg Fixed Income Trading, to one of the major liquidity providers in European corporate bonds. Our goal is (i) to model the RFQ process on these platforms and the resulting competition between dealers, and (ii) to use our model in order to implicit from the RFQ database the behavior of both dealers and clients on MD2C platforms.

 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
Room 4310
Feb 24, 2017
 
For security reason, please register before the deadline.
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 Abstract 

Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They need indeed to propose bid and offer/ask prices in an optimal way for making money out of the difference between these two prices (their bid-ask spread). Since they seldom buy and sell simultaneously, and therefore hold long or short inventories, they also need to mitigate the risk associated with price changes, and subsequently skew their quotes dynamically. In this paper, (i) we propose a general modeling framework which generalizes (and reconciles)thevariousmodelingapproachesproposedintheliteraturesincethepublication of the seminal paper “High-frequency trading in a limit order book” by Avellaneda and Stoikov, (ii) we prove new general results on the existence and the characterization of optimal market making strategies, (iii) we obtain new closed-form approximations for the optimal quotes, (iv) we extend the modeling framework to the case of multi-asset market making, and (v) we show how the model can be used in practice in the specific (and original) case of two credit indices.

 

 (Past and coming events)
Feb
28
Tue
Matinale Labex ReFi & EIFR – BÂLE III ET SOLVABILITÉ 2 : DES SIMILITUDES MAIS AUSSI DE PROFONDES DIFFÉRENCES Avec BERNARD DELAS, ACPR
Feb 28 @ 8 h 30 min – 10 h 00 min

# Logo Labex # SIG_Investissements_Davenir   Logo-EIFR

BÂLE III ET SOLVABILITÉ 2 : DES SIMILITUDES MAIS AUSSI DE PROFONDES DIFFÉRENCES

 

Ces réformes prudentielles ont toutes les deux pour objectif de mieux proportionner les exigences de capital imposées par le régulateur aux risques auxquels banquiers et assureurs sont exposés. Mais il existe de grandes différences entre elles : si Bâle 3 est une réponse à la crise de 2008, Solvabilité 2, (travaux préparatoires initiés en 2000)  répondait à un souci de modernisation de Solvabilité 1 devenu obsolète. Si Bale 3 s’est traduit par une forte augmentation des exigences de capital, Solvabilité 2 n’a pas eu, dans l’ensemble, cet effet pour les assureurs. Seront ainsi abordés les thèmes suivants: différences entre métiers de banquier et d’assureur, caractéristiques  des marchés européens  banque et assurance, rôle du MSU sans équivalent dans l’assurance (supervision relevant des seules autorités nationales), utilisation des modèles internes, désignation des assureurs systémique mondiaux, l’international capital standard (ICS)…etc.

Bernard Delas est vice-président de l’ACPR, membre du Conseil général de la Banque de France et membre du Haut Conseil pour la Stabilité Financière (HCSF).Il a effectué l’essentiel de son parcours professionnel dans l’assurance et occupé successivement les fonctions de DG de Groupama, de CNP Assurances International et  de Crédit Agricole Assurances International. Il a également été président de la FFSAM et vice-président de la FFSA.

 

 

Inscription en ligne 

NB. Merci de vous inscrire en tant que membre du Labex ReFi pour bénéficier de l’entrée gratuite.



Dans l’attente de vous rencontrer,

EQUIPE EIFR
European Institute of Financial Regulation (EIFR)
Palais Brongniart
28 place de la Bourse
75002 PARIS
Tél: +33 (0) 1 70 98 06 53

contact@eifr.eu

NEWS

The Laboratory of Excellence on Financial Regulation is pleased to announce a call for papers for its International Conference on Public Authority and Finance, to be held in Paris on September 1 and 2, 2017. This conference is being organised by: Labex ReFI (Paris). It is partnered by the Centre on Corporate Governance, Columbia Law School (New York), the Blavatnik School of Government, University of Oxford, DIW (Berlin), Policy Network (London), and the Université Sorbonne Nouvelle – Paris 3 (CERVEPAs, Paris).

 

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 In partnership with

 

CALL FOR PAPERS

(PDF)

International Conference

Public Authority and Finance:

What is the Relevant Scale and Scope of Deregulation and Re-Regulation?

Paris, September 1 and 2, 2017

Deadlines – save the date:

Abstract submission by February 15, 2017

Full paper  by July 15, 2017

PRESENTATION

This conference seeks to contribute to the ongoing research into financial regulation, combining approaches by economists, legal experts, political scientists, geographers and historians. It aims to adopt an empirical approach from a comparative and historical perspective to characterize public authority and its relationship to the financial sector.

Learn more

Since the late 1960s, major changes have taken place in this relationship: the Chicago school of economics and public choice theory have challenged the legitimacy of government action; progress in communications and convergence of technological levels between countries and territories have undermined national regulations; jurisdictions engage in regulatory competition to attract resources; representative democratic politics is often captured by financial interests, etc.

The broad concepts of deregulation and globalization are usually viewed as the main processes that have led to the dismantling of the authority of nation-states while new regulatory entities have emerged, with the financial sector playing a leading role in these phenomena. For instance, capital controls were substantially lowered during the 1980s, while some regulatory areas have been delegated to supranational bodies such as the Basel committee on banking supervision or the International Accounting Standards Board. Since the 2008 crisis, national governments have regained some initiative in exercising public authority over finance, as with the Dodd-Frank Act in the US, or the set of normative texts adopted by the European Union during the term of EU Commissioner Barnier. Many initiatives are still being driven by international bodies such as the G20 or the Financial Stability Board, while some regulatory power is being delegated to foreign authorities under “equivalence regimes” justified by international frameworks. These complex developments suggest that national governments are no longer the only relevant decision-making level, and that regulation is not only a matter of competition. As a result, views about “regulatory competition” might be flawed because they wrongly focus too much on competition between national public authorities.

Interdisciplinary research is essential to understanding the dislocation and the reconstitution of public authority, in order to shed light on: legal and institutional changes; the behavior of actors that makes such changes possible; the scientific and electoral arguments put forward concerning regulation; the economic consequences of regulatory change and their perception by the public; and also the emergence of a new regulatory geography based on national governments, international agreements and international bodies. In place of a fragmented world of nationally-partitioned zones, a heterogeneous continuum is emerging in which the authority of public agencies acts within a global jurisdiction: for example when a French bank is fined in New York for dollar operations in Africa and Asia. The topology of such pan-national regulation needs to be made intelligible, and its political legitimacy assessed, especially in view of rising nationalist politics.

Overall, developments since the crisis thus suggest there is still the need for future changes in order to realign the interests of finance with the broader interests of national and global economies, as well as the public interest more generally.

We invite papers from different disciplines to examine three main areas, to understand better the various aspects of the relationship between public authority and finance today:

  1. Ideology, Technology and Regulatory Effectiveness
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    This area covers the ideological justifications of deregulation (public choice, corruption and political distortions), and the technological developments permitting rules to be circumvented: well before “fintech” became fashionable, alternative exchange platforms had undermined market regulation and given rise to high frequency trading. Now, unregulated crypto-currencies evade money laundering regulations, etc. Precise timelines of the relations between these technological (or ideological) changes and their legal consequences (like the repeal of the Glass-Steagall Act) are required. More generally, it may be asked on what political-theoretical grounds public authority should act today?

  2. The Role of New Regulatory Players and the New Frontiers of Public Authority
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    Case studies could analyze the recent history, showing for instance how the traditional public authorities handed over their regulatory powers to new independent entities, either private (such as FINRA and PCAOB) or public (as it is mainly the case in continental Europe, such as the European Supervisory Authorities), be they national or international. Forward looking contributions, for instance on the possible form and impact of the global financial registry suggested by Thomas Piketty, or indeed on the possible deregulation by the Trump administration, are appreciated. More theoretical contributions could address general questions such as the legitimacy (collective and/or individual) of such authorities. Under what principles do they operate? What kind of financial activities (especially the diverse shadow banking sector) should be optimally covered by different kinds of authorities? Will they be able to adapt to further financial innovation? How can the capture of public authorities be better dealt with?

  3. Changes in the (Territorial) Scope of Financial Regulation
    Learn more

    Do financial markets working in parallel reflect a multi-polar world or a continuum? What areas of homogeneity can be identified? What is the present situation, and what is desirable? What, for example, would be the effects of a global financial registry on tax evasion of financial wealth-related inequalities? Do we need global regulators or supervisors for financial institutions (such as banks) in order to prevent the capture or leniency of national authorities? Or is a global framework with national implementation (as initiated by the Financial Stability Board, FSB) enough to prevent systemic risk? Only the United States seems to have shown its authority over international banks by clearly fining them for misconduct. So what are the theoretical foundations for having authorities encompassing multiple jurisdictions? Does such an authority need to be the universal expression of one state or an effective public authority reflecting true multilateral commitments? Alternative constructions of finance may be examined within this framework: for instance, does Islamic finance offer a consistent international rule of law, or is it an expression of local idiosyncrasies?

 

SELECTION PROCESS AND DEADLINES:

Communication proposals (maximum 400 words) and short biographies should be sent to Nicholas Sowels <Nicholas.Sowels@univ-paris1.fr>, by February 15, 2017.

Speakers will receive notification by March 15, 2017, and will be requested to submit their papers by July 15, 2017.

Financial support for travel will be provided, as far as possible, to PhD students and postdoctoral researchers. Confirmation of support will be given with the acceptance of papers.

For further information, please contact Pierre-Charles Pradier <Pierre-Charles.Pradier@univ-paris1.fr> or Nicholas Sowels <Nicholas.Sowels@univ-paris1.fr>.

 

SCIENTIFIC COMMITTEE:

Members of the Scientific Committee include:

Yuri Biondi (CNRS, Labex ReFi),

Robert Boyer (Institut des Amériques),

Charles Calomiris (Columbia University),

John C. Coffee (Columbia University),

Christian de Boissieu (Université Paris 1, Labex ReFi),

Raphaël Douady (Université Paris 1, Labex ReFi),

Gerard Hertig (ETH Zurich),

Christophe Moussu (ESCP, Labex ReFi),

Alain Pietrancosta (Université Paris 1, Labex ReFi),

Pierre-Charles Pradier (Université Paris 1, Labex ReFi),

Karthik Ramanna (Blavatnik School of Government, University of Oxford),

Dorothea Schäfer (DIW-Berlin),

Shyam Sunder (Yale School of Management).

 

 

CONFERENCE PARTNERS

                     

 

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