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Calendar

May
5
Fri
Research Seminar, ReFi – Yannick Malevergne – Université Paris 1 Panthéon-Sorbonne
May 5 @ 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).

 

Yannick Malevergne

Université Paris 1 Panthéon-Sorbonne

(CV & Bio here)

 

A model of bubbles and crashes with non-local behavioral self-referencing

 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 5 mai 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.

Registration

Deadline : 3 mai  2017
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.
 

 Abstract :
Most existing models of financial bubbles and crashes, in particular the class of rational-expectation bubble models, derive the conditional expected return as being proportional to the contemporaneous crash hazard rate as a consequence of the standard risk-return relationship.  We argue that the condition matching instantaneously return and risk is unrealistic and unlikely to be true in times of exuberant bubbles and of punishing crashes. We propose a class of models in which the hazard rate of jumps is determined by a non-local estimation of mispricing. Specifically, the mispricing is captured by a function of the difference between the present and the past prices over a long time scale, typically one year or more. This specification is rooted in behavioral finance, exploiting in particular the traits of “anchoring” on past price levels and on “probability judgement” about the likelihood of a correction as a function of the amplitude of the self-referential mispricing.
The insights obtained from numerical simulations of the model and estimation on market data are threefold : (i) In addition to the standard stylized facts, rising markets are understood as transient regimes when the risk of negative jumps is under-sampled while the investors expect a sufficiently large remuneration to compensate for the risk they anticipate. This makes quantitative the adage that “markets climb a wall of worry”; (ii) Reciprocally, the model cures a major problem of most crash jump models, which are in general rejected by data because they assume that crashes occur in a single large negative jump, by describing correctly that correction regimes and crashes are also phases with a significant duration, with inter-dependence between the sequences of corrections mediated by the interplay between the price and jump hazard rate dynamics; (iii) As a bonus, the model provides robust estimates of the risk premium, event in bearish markets, which is generally hidden. Our model provides a novel understanding of the risk-return relationship resulting from the entanglement of diffusion and jump risks.
 
 (Past and coming events)
May
11
Thu
Research Seminar, FinTech – (Workshop) BIG DATA : ISSUE-STRATEGY-REGULATION
May 11 @ 17 h 00 min – 19 h 30 min

Dear firends and colleagues,

We are pleased to invite you to the first workshop organized by the group of LabEx ReFi « Fintech and Financial Regulation » on the subject of BIG DATA

 

BIG DATA SEMINAR: ISSUE-STRATEGY-REGULATION

 

Organizers

Dominique Guégan (University Paris 1, Labex ReFi) and Bertrand Hassani (University Paris 1 and Santander, Labex ReFi)

MAY 11, 2017

ESCP Europe 

75013 Paris

Amphi Dalsace building 2 or 3 – 1st Floor  5 :00 p.m. – 7 :30 p.m

Bart Baesens,

Université Catholique de Louvain, Belgique

TBC

Sergio Gorjón

Banco de Espana, Madrid, Spain

«Fintech as a regulatory challenge»

Alexis Renaudin

Aon, London, UK

TBC

Round table

Dominique Guégan (University Paris 1, Labex ReFi) and Bertrand Hassani (University Paris 1 and Santander, Labex ReFi)

The Fintech and Financial Regulation group within the LabEx ReFi organizes regular seminars entitled « BIG DATA: ISSUE-STRATEGY-REGULATION » led by  D. GUEGAN (Emeritus Ptrofessor P1) and B. HASSANI (Associate Researcher P1). Three speakers coming from the academic, the regulatory and the industry will have the opportunity to present their views, then a final round table between participants and speakers will take place in order to stimulate and generate discussion around the subject. This seminar is dedicated to researchers, PhD students and financial institutions practitioners, fintechs and regulatory institutions.

May
18
Thu
Research Seminar, Law & Finance -The New Stock Market: Sense and Nonsense- Merritt Fox, Columbia (law)
May 18 @ 18 h 00 min – 19 h 30 min
 
This event is part of the ETH Zurich – Sorbonne Paris 1 – ESCP Europe
 
Labex ReFi – Law & Finance Seminar
 
Organized by Alain Pietrancosta (Sorbonne Law School – University of Paris 1), Franck Bancel (ESCP Europe) and Gerard Hertig (ETH Zurich)

Merritt Fox, Columbia Law School

(CV & Bio here)

Columbia University

 

The New Stock Market: Sense and Nonsense

(Consult the paper tba)
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
May 18, 2017
18:00-19:30, Room Percepied,
 
For security reason, please register before the deadline.

wednesday, May 17th 

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.
 
Past and coming events of the Law & Finance Seminar
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