CEM2017: COMMODITY AND ENERGY MARKETS 2017
PROGRAM

Days: Wednesday, June 14th Thursday, June 15th

Wednesday, June 14th

View this program: with abstractssession overviewtalk overview

09:00-10:30 Session : Keynote Speaker I: Sebastian Jaimungal, University of Toronto

Stochastic Control in Commodity & Energy Markets : Model Uncertainty, Algorithmic Trading, and Future Directions

I will provide an overview of cutting edge stochastic control problems related to commodity and energy markets. One of the common threads will be incorporating model uncertainty into valuation and trading of financial instruments. I will show how model uncertainty can be cast as a robust optimal control problem and demonstrate how derivative valuation is modified when agents account for it. As a second application, I will discuss how agents optimize their trading actions in an interconnected electricity market. When agents account for the price impact of their trades, I will show that they induce cointegration in prices. Moreover, when agents trade using market orders they incur costs due to the existence of a bid-ask spread and by orders walking through layers of the limit order book. Hence, as a third application, I will show how agents can act instead as liquidity providers and optimize the placement of their limit orders to benefit from the bid-ask spread. Finally, I will describe some open problems related to partial information, and multiple agents using mean-field games

Chair:
Ruediger Kiesel (University Duisburg-Essen, Germany)
Location: L1
10:30-11:00Coffee Break
11:00-12:30 Session 1A: Trading and Order Books
Chair:
Benoît Sévi (Université de Nantes, France)
Location: C3
11:00
Álvaro Cartea (University of Oxford, UK)
Nikolaus Graf von Luckner (University of Duisburg-Essen, Germany)
Sebastian Jaimungal (University of Toronto, Canada)
Rüdiger Kiesel (University of Duisburg-Essen, Germany)
Properties of order books and order flows from the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE ( abstract )
Discussant: Benoît Sévi
11:30
Eleni Gousgounis (Stevens Institute of Technology, USA)
Sayee Srinivasan (US Commodity Futures Trading Commission, USA)
Block Trades in Options Markets ( abstract )
12:00
Olivier Rousse (Université Grenoble Alpes, France)
Benoît Sévi (Université de Nantes, France)
Informed trading in oil futures markets ( abstract )
Discussant: Eleni Gousgounis
11:00-12:30 Session 1B: Forward Price Modelling
Chair:
Katsushi Nakajima (Ritsumeikan Asia Pacific University, Japan)
Location: L2
11:00
Fred E. Benth (University of Oslo, Norway)
Marco Piccirilli (University of Padua, Italy)
Tiziano Vargiolu (University of Padua, Italy)
Additive energy forward curves in a Heath-Jarrow-Morton framework ( abstract )
Discussant: Tiziano Vargiolu
11:30
Tiziano Vargiolu (University of Padova, Italy)
Luca Latini (University of Padova, Italy)
Additive models for forward curves in multicommodity energy markets ( abstract )
Discussant: Katsushi Nakajima
12:00
Katsushi Nakajima (Ritsumeikan Asia Pacific University, Japan)
Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market ( abstract )
Discussant: Marco Piccirilli
11:00-12:30 Session 1C: Modelling Gas and Power Markets
Chair:
Michael Coulon (University of Sussex, UK)
Location: C2
11:00
Cord Harms (University Duisburg Essen, Germany)
Ruediger Kiesel (University Duisburg-Essen, Germany)
Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk ( abstract )
Discussant: Carlos Vazquez
11:30
M. Carmen Carlvo-Garrido (University of A Coruna, Spain)
Matthias Ehrhardt (University of Wuppertal, Germany)
Carlos Vazquez (University of A Coruna, Spain)
Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach ( abstract )
Discussant: Elisa Alos
12:00
Elisa Alos (Universitat Pompeu Fabra, Spain)
Michael Coulon (University of Sussex, UK)
Spread option implied correlation and the optimal choice of strike convention ( abstract )
Discussant: Cord Harms
11:00-12:30 Session 1D: Commodity Price Volatility
Chair:
Craig Pirrong (University of Houston, USA)
Location: L5
11:00
Vikas Raman (Warwick University, UK)
Michel Robe (American University, USA)
Pradeep Yadav (University of Oklahoma, USA)
Liquidity Provision Under Stress: The Fast, the Slow, and the Dead ( abstract )
Discussant: Steffen Hitzemann
11:30
Lin Gao (University of Luxembourg, Luxembourg)
Steffen Hitzemann (The Ohio State University, USA)
Ivan Shaliastovich (University of Wisconsin-Madison, USA)
Lai Xu (Syracuse University, USA)
Oil Volatility Risk ( abstract )
Discussant: Craig Pirrong
12:00
Craig Pirrong (University of Houston, USA)
Commodity Market Financialization, Indexation, and Correlation ( abstract )
Discussant: Vikas Raman
11:00-12:30 Session 1E: Energy Storage
Chair:
Nicola Secomandi (Carnegie Mellon University, USA)
Location: C1
11:00
Alberto Santangelo (Università degli Studi di Milano-Bicocca, Italy)
Gianluca Fusai (DISEI - Piemonte Orientale and Cass Business School, Italy)
Gas storage valuation using a temperature dependent gas price model ( abstract )
Discussant: Mark Cummins
11:30
Greg Kiely (Gazprom Marketing & Trading Limited, UK)
Mark Cummins (Dublin City University, Ireland)
Bernard Murphy (University of Limerick, Ireland)
Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement ( abstract )
Discussant: Jan Palczewski
12:00
John Moriarty (Queen Mary University of London, UK)
Jan Palczewski (University of Leeds, UK)
Energy imbalance market call options and the valuation of storage ( abstract )
Discussant: Alberto Santangelo
12:30-13:30Lunch Break
13:30-15:00 Session 2A: Metals Markets
Chair:
Marcel Prokopczuk (U. Hannover, Germany)
Location: L5
13:30
Binh Nguyen (Leibniz University Hannover, Germany)
Marcel Prokopczuk (Leibniz University Hannover, Germany)
Chardin Wese Simen (University of Reading, UK)
Back to Gold - Safe Haven Evidence from the Tails ( abstract )
Discussant: Darien Huang
14:00
Darien Huang (Cornell University, USA)
Gold, Platinum, and Expected Stock Returns ( abstract )
Discussant: David Bosch
14:30
David Bosch (Humboldt-University Berlin, Germany)
What drives investors’ demand for gold ETPs? ( abstract )
Discussant: Binh Nguyen
13:30-15:00 Session 2B: Commodity Risk Management
Chair:
Andrea Roncoroni (ESSEC, France)
Location: L2
13:30
Andrea Roncoroni (ESSEC Business school, France)
Security Design, Nontradable Risk, and Market Segmentation ( abstract )
Discussant: Olaf Korn
14:00
Raphael Homayoun Boroumand (PSB Paris School of Business, France)
Stephane Goutte (Universite Paris 8, France)
Ehud I. Ronn (University of Texas at Austin, USA)
Testing the Optimality of Hedge Ratios in Gold Firms ( abstract )
Discussant: Andrea Roncoroni
14:30
Olaf Korn (University of Göttingen, Germany)
Marc Oliver Rieger (University of Trier, Germany)
Hedging with Regret ( abstract )
Discussant: Ehud Ronn
13:30-15:00 Session 2C: Electricity Markets I
Chair:
Rafal Weron (Wroclaw University of Technology, Poland)
Location: C3
13:30
Grzegorz Marcjasz (Wroclaw University of Science and Technology, Poland)
Bartosz Uniejewski (Wroclaw University of Science and Technology, Poland)
Rafal Weron (Wroclaw University of Technology, Poland)
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models ( abstract )
Discussant: Carlo Lucheroni
14:00
Carlo Lucheroni (Univerity of Camerino, Italy)
Vector generative hidden state modeling of day-ahead electricity markets ( abstract )
Discussant: Rafal Weron
14:30
Florian Ziel (University Duisburg-Essen, Germany)
Rafal Weron (Wroclaw University of Technology, Poland)
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models ( abstract )
Discussant: Grzegorz Marcjasz
13:30-15:00 Session 2D: Shipping Finance
Chair:
Nikos Nomikos (Cass Business School, UK)
Location: C1
13:30
Meike Ahrends (Hamburg University, Germany)
Wolfgang Drobetz (Hamburg University, Germany)
Nikos Nomikos (Cass Business School, UK)
Cash Holdings in the Shipping Industry ( abstract )
Discussant: Ioannis Moutzouris
14:00
Ioannis Moutzouris (Cass Business School, UK)
Nikos Nomikos (Cass Business School, UK)
The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations ( abstract )
13:30-15:00 Session 2E: Agriculturals Markets I
Chair:
Celine McInerney (University College Cork, Ireland)
Location: C2
13:30
Pierre Siklos (Wilfrid Laurier University, Canada)
Martin Bohl (WWU Munster, Germany)
Claudia Wellenreuther (WWU Munster, Germany)
Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures ( abstract )
Discussant: Johannes Lübbers
14:00
Johannes Lübbers (TU Dortmund University, Centre for Finance, Risk & Resource Management (FiRRM), Germany)
Peter N Posch (TU Dortmund University, Centre for Finance, Risk & Resource Management (FiRRM), Germany)
Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices ( abstract )
Discussant: Celine McInerney
14:30
Celine McInerney (University College Cork, Ireland)
Pierre Six (Neoma Business School, France)
Risk of Agricultural Commodities: A Theory of Storage Perspective ( abstract )
Discussant: Pierre Siklos
15:00-15:30Coffee Break
15:30-17:00 Session 3A: Electricity Markets II
Chair:
Scott Linn (University of Oklahoma, USA)
Location: C3
15:30
John Birge (University of Chicago, USA)
Ali Hortacsu (University of Chicago, USA)
Ignacia Mercadel (MIT, USA)
Michael Pavlin (Wilfrid Laurier University, Canada)
Limits to Arbitrage in Electricity Markets: A case study of MISO ( abstract )
Discussant: Nicola Secomandi
16:00
Selvaprabu Nadarajah (University of Illinois at Chicago, College of Business, USA)
Nicola Secomandi (Carnegie Mellon University, Tepper School of Business, USA)
Merchant Energy Trading in a Network ( abstract )
Discussant: Scott Linn
16:30
Scott Linn (University of Oklahoma, USA)
Louis Ederington (University of Oklahoma, USA)
Chitru Fernando (University of Oklahoma, USA)
Kateryna Holland (Purdue University, USA)
Arbitrage and Its Physical Limits ( abstract )
Discussant: John Birge
15:30-17:00 Session 3B: Agricultural Markets II
Chair:
Pierre Siklos (Wilfrid Laurier University, Canada)
Location: C1
15:30
David Allen (University of Sydney, UniSA and Edith Cowan University, Australia)
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices ( abstract )
Discussant: Nicolas Merener
16:00
Joseph Janzen (Montana State University, USA)
Nicolas Merener (Universidad Torcuato Di Tella, Argentina)
Supply Shocks, Futures Prices, and Trader Positions ( abstract )
16:30
Christopher Gilbert (SAIS Bologna Center, Johns Hopkins University, Italy)
Harriet Mugera (World Bank, Italy)
The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price ( abstract )
Discussant: David Allen
15:30-17:00 Session 3C: Modelling and Forecasting Power Prices
Chair:
Joao Pereira (Nova School of Business and Economics, Universidade Nova de Lisboa, Portugal)
Location: L5
15:30
Joao Pereira (Nova School of Business and Economics, Universidade Nova de Lisboa, Portugal)
Vasco Pesquita (Nova School of Business and Economics, Portugal)
Paulo Rodrigues (Nova School of Business and Economics, Portugal)
The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain ( abstract )
Discussant: John Moriarty
16:00
John Moriarty (Queen Mary University of London, UK)
Jan Palczewski (University of Leeds, UK)
Jhonny Gonzalez (University of Manchester, UK)
Bayesian calibration and number of jump components in electricity spot price models ( abstract )
Discussant: Bartosz Uniejewski
16:30
Bartosz Uniejewski (Wroclaw University of Science and Technology, Poland)
Rafał Weron (Wroclaw University of Science and Technology, Poland)
Florian Ziel (University of Duisburg-Essen, Germany)
Variance Stabilizing Transformations for Electricity Spot Price Forecasting ( abstract )
Discussant: Joao Pereira
15:30-17:00 Session 3D: Spillover Effects in Commodity Markets
Chair:
Nina Lange (University of Sussex, UK)
Location: L2
15:30
Sławomir Śmiech (Cracow Univeristy of Economics, Poland)
Monika Papież (Cracow Univeristy of Economics, Poland)
Kamil Fijorek (Cracow Univeristy of Economics, Poland)
Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach ( abstract )
Discussant: Stefan Trueck
16:00
Stefan Trueck (Macquarie University, Australia)
Rafal Weron (Wroclaw University of Technology, Poland)
Paweł Maryniak (Wroclaw University of Technology, Poland)
Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets ( abstract )
Discussant: Nina Lange
16:30
Nina Lange (University of Sussex, UK)
Volatility Relations in Crude Oil Prices and the EURUSD rate ( abstract )
Discussant: Sławomir Śmiech
15:30-17:00 Session 3E: Commodity Investing I
Chair:
Chardin Wese (ICMA Centre, Henley Business School, UK)
Location: L1
15:30
Rita Laura D'Eccesia (Sapienza University of Rome, Italy)
Vera Jotanovic (University of Louvain, Bosnia and Herzegovina)
Do diamond equities sparkle in investors’ portfolios? ( abstract )
Discussant: Chardin Wese
16:00
Xiaoqian Wen (Southwestern University of Finance & Economics, China)
Hua Cheng (University of Texas at Austin, USA)
The systemic risk in commodity markets ( abstract )
Discussant: Vera Jotonovic
16:30
Fabian Hollstein (Leibniz University Hannover, Germany)
Chardin Wese (ICMA Centre, Henley Business School, UK)
Variance Risk: A Bird's Eye View ( abstract )
Discussant: Xiaoqian Wen
15:30-17:00 Session 3F: Oil Risk I
Chair:
Giovanni Barone-Adesi (Università della Svizzera Italiana, Switzerland)
Location: C2
15:30
Daniele Bianchi (University of Warwick, Warwick Business School, UK)
Jacopo Piana (City University London, Cass Business School, UK)
Expected Spot Prices and the Dynamics of Commodity Risk Premia ( abstract )
Discussant: Chiara Legnazzi
16:00
Chiara Legnazzi (Università della Svizzera Italiana, Switzerland)
Giovanni Barone-Adesi (Università della Svizzera Italiana, Switzerland)
Carlo Sala (ESADE Business School, Spain)
WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application ( abstract )
Discussant: Anthony Orlando
16:30
Anthony Orlando (University of Southern California, USA)
Ryan Merrill (University of Southern California, USA)
Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa ( abstract )
Discussant: Daniele Bianchi
Thursday, June 15th

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09:00-10:30 Session 4A: Commodity Futures Markets
Chair:
Jaime Casassus (Universidad Catolica de Chile, Chile)
Location: L5
09:00
Yannick Le Pen (Université Paris-Dauphine, France)
Benoît Sévi (Université de Nantes, France)
Futures trading and the excess co-movement of commodity prices ( abstract )
Discussant: Jaime Casassus
09:30
Jaime Casassus (Pontificia Universidad Catolica de Chile, Chile)
Spanned and Unspanned Risks in Commodity Futures Markets ( abstract )
Discussant: John Fan
10:00
John Fan (Griffith University, Australia)
Microscopic Momentum in Commodity Futures ( abstract )
Discussant: Yannick Le Pen
09:00-10:30 Session 4B: Renewables and Electricity Markets
Chair:
Luca Taschini (London School of Economics, UK)
Location: C2
09:00
Maria Eugenia Sanin (Univ. Evry, Université Paris-Saclay and Ecole Polytechnique, France)
Optimal feed-in-tariffs for Household Photovoltaic Panels in France ( abstract )
Discussant: Michael Coulon
09:30
Michael Coulon (University of Sussex, UK)
Javad Khazaei (Princeton University, USA)
Warren Powell (Princeton University, USA)
ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates ( abstract )
Discussant: Awdesch Melzer
10:00
Awdesch Melzer (Humboldt-University Berlin, Germany)
Wolfgang Haerdle (HU Berlin, Germany)
Brenda López Cabrera (Humboldt University of Berlin, Germany)
Pricing Green Financial Products ( abstract )
Discussant: Maria Eugenia
09:00-10:30 Session 4C: Forecasting in Commodity Markets
Chair:
Chardin Wese (ICMA Centre, Henley Business School, UK)
Location: C3
09:00
Steven Jordan (Alfaisal University, Saudi Arabia)
Andrew Vivian (Loughborough University, UK)
Mark Wohar (University of Nebraska at Omaha and Loughborough University, USA)
Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals ( abstract )
Discussant: Björn Tharann
09:30
Marcel Prokopczuk (Leibniz University Hannover, Germany)
Björn Tharann (Leibniz University Hannover, Germany)
Chardin Wese Simen (University of Reading, UK)
The Predictability of Commodity Returns and Volatility ( abstract )
Discussant: Joelle Miffre
10:00
Adrian Fernandez-Perez (Auckland University of Technology, New Zealand)
Ana-Maria Fuertes (Cass Business School, City, University of London, UK)
Joelle Miffre (EDHEC Business School, France)
An Integrated Harvest of Commodity Risk Premia ( abstract )
Discussant: Andrew Vivian
09:00-10:30 Session 4D: Modelling Commodities and Power prices
Chair:
Ruediger Kiesel (University Duisburg-Essen, Germany)
Location: L2
09:00
Agostino Capponi (Columbia University, USA)
Humoud Alsabah (Columbia University, USA)
Multi-Market Dynamic Oligopoly with Inventory ( abstract )
Discussant: Audun Sætherø
09:30
Audun Sætherø (University Duisburg-Essen, Germany)
Rüdiger Kiesel (University Duisburg-Essen, Germany)
Florentina Paraschiv (NTNU, Norway)
On the Construction of Hourly Price Forward Curves for Electricity Prices ( abstract )
Discussant: Clemence Alasseur
10:00
Clemence Alasseur (EDF R&D FIME, France)
Imen Ben Tahar (Dauphine University, France)
Anis Matoussi (Le Mans Univeristy, France)
Mean Field Game and local storages in the power system ( abstract )
Discussant: Humoud Alsabah
09:00-10:30 Session 4E: Swings and Storage
Chair:
Isabel Figuerola-Ferretti (ICADEUniversidad Pointificia Comillas, Spain)
Location: C1
09:00
Veronika Lunina (Lund University, Sweden)
Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis ( abstract )
Discussant: Edward Kao
09:30
Edward Kao (University of Houston, USA)
Muhu Wang (Dynergy, USA)
A Finite Element Method for Pricing Swing Options under Stochastic Volatility ( abstract )
Discussant: Veronika Lunina
09:00-10:30 Session 4F: Financialization of Commodities
Chair:
Devraj Basu (University of Strathclyde,, UK)
Location: L1
09:00
Devraj Basu (University of Strathclyde,, UK)
Financialization and Commodity Price Volatility ( abstract )
Discussant: Thore Kockerols
09:30
Thore Kockerols (Universite Paris 1 Pantheon-Sorbonne, Germany)
Financialisation and the aluminium market Evidence from a DSGE model ( abstract )
Discussant: Maria Kartsakli
10:00
Maria Kartsakli (University of St.Gallen, Switzerland)
Zeno Adams (University of St.Gallen, Switzerland)
Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization ( abstract )
Discussant: Devraj Basu
10:30-11:00Coffee Break
11:00-12:30 Session 5A: Commodity Risk Pricing
Chair:
Joelle Miffre (EDHEC Business School, France)
Location: L5
11:00
Hossein Rad (UQ Business School, Australia)
Rand Low (UQ Business School, Australia)
Joelle Miffre (EDHEC Business School, France)
Robert Faff (US Business School, Australia)
How do portfolio weighting schemes affect commodity futures risk premia? ( abstract )
Discussant: Marcel Prokopczuk
11:30
Raphael Paschke (University of Mannheim, Germany)
Marcel Prokopczuk (Leibniz University Hannover, Germany)
Chardin Wese (University of Reading, UK)
Curve Momentum ( abstract )
Discussant: Paola Zerilli
12:00
Paola Zerilli (University of York, UK)
Christopher Baum (Boston College, USA)
A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis ( abstract )
Discussant: Hossein Rad
11:00-12:30 Session 5B: Fish Market Analysis
Chair:
Sjur Westgaard (Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Norway)
Location: C2
11:00
Bård Misund (University of Stavanger Business School, Norway)
Atle Oglend (University of Stavanger, Norway)
Volatility Spill-overs in Salmon Aquaculture Markets ( abstract )
Discussant: Kristian Sandaker
11:30
Sjur Westgaard (Norwegian University of Science and Technology, Norway)
Kristian Sandaker (Norwegian University of Science and Technology, Norway)
Frank Asche (University of Florida, USA)
Paal Olav Warbo Mjaugeto (Norwegian University of Science and Technology, Norway)
Kjartan Berge Steinshamn (Norwegian University of Science and Technology, Norway)
Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach ( abstract )
Discussant: Peter Schütz
12:00
Peter Schütz (Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Norway)
Sjur Westgaard (Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Norway)
Optimal hedging strategies for salmon producers ( abstract )
Discussant: Bård Misund
11:00-12:30 Session 5C: Coordination, Auctions, and Policy
Chair:
Juan Ignacio Peña (Universidad Carlos III, Spain)
Location: C3
11:00
Juan Ignacio Peña (Universidad Carlos III, Spain)
Rosa Rodriguez (Universidad Carlos III, Spain)
Default Supply Auctions in Electricity Markets: Challenges and Proposals ( abstract )
Discussant: Daniel Jiang
11:30
Daniel Jiang (University of Pittsburgh, USA)
Warren Powell (Princeton University, USA)
Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases ( abstract )
Discussant: Rene Aid
12:00
Rene Aid (Université Paris Dauphine, France)
The coordination of centralised and distributed generation ( abstract )
Discussant: Juan Ignacio Peña
11:00-12:30 Session 5D: Commodities and Expected Returns
Chair:
Etienne Borocco (Université Paris Dauphine, France)
Location: C1
11:00
John Cotter (Michael Smurfit Graduate Business School, University College Dublin, Ireland)
Emmanuel Eyiah-Donkor (Michael Smurfit Graduate Business School, University College Dublin, Ireland)
Valerio Poti (Michael Smurfit Graduate Business School, University College Dublin, Ireland)
The economic value of commodities in asset allocation when returns are predictable ( abstract )
Discussant: Etienne Borocco
11:30
Etienne Borocco (Université Paris Dauphine, France)
The implications of an informationally efficient futures market. ( abstract )
11:00-12:30 Session 5E: Commodities and Stock Markets
Chair:
Roméo Tédongap (ESSEC Business School, France)
Location: L1
11:00
Patrick Augustin (McGill University, Canada)
Roméo Tédongap (ESSEC Business School, France)
Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets ( abstract )
Discussant: Jingzhen Liu
11:30
Jingzhen Liu (The University of Aberdeen, UK)
Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables ( abstract )
Discussant: Panos Markou
12:00
Panos Markou (University of Cambridge, UK)
Ryan Williams (University of Arizona, USA)
Jie Yang (Board of Governors of the Federal Reserve System, USA)
Bank Lines of Credit and Corporate Collateral ( abstract )
Discussant: Roméo Tédongap
11:00-12:30 Session 5F: Oil Risk II
Chair:
Steffen Hitzemann (The Ohio State University, USA)
Location: L2
11:00
Francesco Picciolo (University of Siena, Italy)
Valerio Gemmetto (Leiden University, Netherlands)
Franco Ruzzenenti (Parthenope University of Naples, Italy)
A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy ( abstract )
Discussant: Steffen Hitzemann
11:30
Steffen Hitzemann (The Ohio State University, USA)
Amir Yaron (University of Pennsylvania, USA)
Welfare Costs of Oil Shocks ( abstract )
Discussant: Lin Gao
12:00
Michael Brandt (Duke University, USA)
Lin Gao (University of Luxembourg, Luxembourg)
Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil ( abstract )
Discussant: Franco Ruzzenenti
12:30-13:30Lunch Break
13:30-15:00 Session 6A: Bubbles in Commodity Markets
Chair:
Sofia Ramos (ESSEC, France)
Location: L2
13:30
Isabel Figuerola-Ferretti (ICADEUniversidad Pointificia Comillas, Spain)
Ramon Bermejo (ICADE Universidad Pointificia Comillas, Spain)
Rod McCrorie (Economics Deparment St Andrews, UK)
Ioannis Paraskevopoulos (Capital Markets, Bankia, Spain)
Gonzalo Suarez (ICADE Universidad Pointificia Comillas, Spain)
Bubble migration across asset classes during the global financial crises ( abstract )
14:00
Rajkumar Janardanan (SummerHaven Investment Management, USA)
Xiao Qiao (SummerHaven Investment Management, USA)
Geert Rouwenhorst (Yale School of Management, USA)
On Commodity Price Limits ( abstract )
Discussant: Hilary Till
14:30
Hilary Till (J.P. Morgan Center for Commodities, University of Colorado Denver Business School, USA)
Joseph Eagleeye (Quartile Risk, LLC, USA)
Richard Heckinger (Federal Reserve Bank of Chicago, USA)
Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups ( abstract )
13:30-15:00 Session 6B: Current Topics in energy finance
Chair:
Ivilina Popova (Texas State University, USA)
Location: C2
13:30
Joe Byers (Financial Seal, USA)
Ivilina Popova (Texas State University, USA)
Betty Simkins (Oklahoma State University, USA)
The Cost Implications of Managing Outliers in Commodities’ Prices ( abstract )
Discussant: Leonid Pugachev
14:00
Leonid Pugachev (University of Oklahoma, USA)
William L. Megginson (University of Oklahoma, USA)
Abdullah M. Almansur (King Fahd University of Petroleum and Minerals, Saudi Arabia)
Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy? ( abstract )
Discussant: Alexander David
14:30
Alexander David (University of Calgary, Haskayne School of Business, Canada)
Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures ( abstract )
Discussant: Joe Byers
13:30-15:00 Session 6C: Oil Risk III
Chair:
Christiane Baumeister (University of Notre Dame, USA)
Location: L1
13:30
Jimmy Hilliard (Auburn University, USA)
Jitka Hilliard (Auburn University, USA)
A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts ( abstract )
14:00
Christina Nikitopoulos Sklibosios (University of Technology Sydney, Australia)
Benjamin Cheng (University of Technology Sydney, Australia)
Erik Schlogl (University of Technology, Sydney, Australia)
Empirical hedging performance of long-dated crude oil derivatives ( abstract )
14:30
Christiane Baumeister (University of Notre Dame, USA)
Lutz Kilian (University of Michigan, USA)
A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil ( abstract )
Discussant: Jimmy Hilliard
13:30-15:00 Session 6D: Market Risk and Liquidity
Chair:
Lionel Lecesne (University of Paris-Seine Cergy-Pontoise, France)
Location: L5
13:30
Beyza Mina Ordu (Ankara Yildirim Beyazit University; Middle East Technical University, Turkey)
Adil Oran (Middle East Technical University, Turkey)
Ugur Soytas (Middle East Technical University, Turkey)
Is food financialized? Yes, but only when liquidity is abundant ( abstract )
Discussant: Ezgi Avci-Surucu
14:00
Ezgi Avci-Surucu (Erasmus University-Rotterdam School of Management, Netherlands)
Wolfgang Ketter (Erasmus University-Rotterdam School of Management, Netherlands)
Eric Van Heck (Erasmus University-Rotterdam School of Management, Netherlands)
Derek Bunn (London Business School, UK)
Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion ( abstract )
Discussant: Lionel Lecesne
14:30
Lionel Lecesne (University of Paris-Seine Cergy-Pontoise, France)
Andrea Roncoroni (ESSEC Business School, France)
How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ? ( abstract )
Discussant: Beyza Mina Ordu
13:30-15:00 Session 6E: Energy markets
Chair:
Monika Papież (Cracow University of Economics, Poland)
Location: C3
13:30
Kris Jacobs (University of Houston, USA)
Craig Pirrong (University of Houston, USA)
Yu Li (University of Houston, USA)
Supply, Demand, and Risk Premiums in Electricity Markets ( abstract )
Discussant: Monika Papież
14:00
Monika Papież (Cracow University of Economics, Poland)
Sławomir Śmiech (Cracow University of Economics, Poland)
Katarzyna Frodyma (Cracow University of Economics, Poland)
The impact of development of the renewable energy sector in the EU on the relationship between renewable and non-renewable energy consumption and economic growth ( abstract )
Discussant: Takashi Kanamura
14:30
Takashi Kanamura (Kyoto University, Japan)
Supply-Side Perspective for Carbon Pricing ( abstract )
Discussant: Yu Li
13:30-15:00 Session 6F: Topics in Energy Finance
Chair:
Viviana Fanelli (University o Bari, Italy)
Location: C1
13:30
Zeigham Khokher (Tulane University, USA)
Mohammad Morovati (Stanford University, USA)
Shyam Sunder Venkatesan (Tulane University, USA)
Sheridan Titman (University of Texas, USA)
Real Options, Financial Constraints, and Drilling Rig Rental Rates ( abstract )
Discussant: Malte Rieth
14:00
Daniel Bierbaumer (German Institute for Economic Research (DIW Berlin), Germany)
Malte Rieth (German Institute for Economic Research (DIW Berlin), Germany)
Anton Velinov (German Institute for Economic Research (DIW Berlin), Germany)
Nonlinear Intermediary Asset Pricing in the Oil Futures Market ( abstract )
Discussant: Viviana Fanelli
14:30
Viviana Fanelli (University of Bari, Italy)
Mean-reverting Statistical Arbitrage in Commodity Markets ( abstract )
16:00-17:00 Session : Keynote Speaker II: Hendrik Bessembinder -W.P. School of Business, Arizona State University

Measuring returns to those who invest in energy through futures

It is commonly asserted that maintaining an ongoing position in energy futures subjects the investor to a gain or loss referred to as a ‘roll yield’, which refers to the difference in price across futures contracts at the time positions are closed and opened.   In fact, the roll yield as a gain or loss to an investor is mythical.  Futures investors earn or pay the price change that occurs while they hold a given contract, not any difference in prices across contracts.   However, the roll yield does contain useful and relevant information

Chair:
Andrea Roncoroni (ESSEC, France)
Location: L1