PROGRAM
Days: Friday, June 21st Saturday, June 22nd
Friday, June 21st
View this program: with abstractssession overviewtalk overview
08:30-09:00 Registration
Location: TEP 2001/2/3
09:00-10:30 Session 1: Network Structure and its Impact on Commodity Markets, John Birge
Keynote Presentation
Chair:
Location: Simmons Auditorium B
10:30-11:00Coffee Break, TEP 2001/2/3
11:00-12:30 Session 2A: Policy, Macroeconomic Factors, and Commodities
Chair:
Location: TEP 2202
| 11:00 | Real Effects of Climate Policy: Financial Constraints and Spillovers (abstract) Discussant: Pete Nagle |
| 11:30 | The Role of Income in Commodity Demand for Industrial Raw Materials (abstract) Discussant: Ke Tang |
| 12:00 | Political Uncertainty and Commodity Markets (abstract) Discussant: Sehoon Kim |
11:00-12:30 Session 2B: Energy Storage I
Chair:
Location: TEP 2112
| 11:00 | Adaptive Regression Monte-Carlo for Optimization of a PV-linked Battery Storage (abstract) Discussant: Paolo Falbo |
| 11:30 | Optimal Integration of Energy Trading and Battery Energy Storage Systems with Renewables (abstract) Discussant: Stein-Erik Fleten |
| 12:00 | Dynamic Hedging for the Real Option Management of Electricity Storage with Exchange Rate Risks (abstract) Discussant: Stephan Prell |
11:00-12:30 Session 2C: Market Integration
Chair:
Location: TEP 2111
| 11:00 | Closer to One Great Pool? Evidence from Structural Breaks in Oil Price Differentials (abstract) Discussant: Michael Pavlin |
| 11:30 | Price Integration in Competitive Markets with Capacitated Transportation Networks (abstract) Discussant: Hayette Gatfaoui |
| 12:00 | A Dynamic Study of the U.S. Natural Gas Market Integration (abstract) Discussant: Michael Plante |
11:00-12:30 Session 2D: Metals and Precious Commodities
Chair:
Location: TEP 2119/20
| 11:00 | Metals' Price Elasticity of Normalized Excess Supply (abstract) Discussant: Daniel Corsten |
| 11:30 | Financial and Operational Risk Management in the Gold Mining Industry (abstract) Discussant: Rita D'Ecclesia |
12:30-13:30Lunch Break, TEP 2001/2/3
13:30-15:00 Session 3A: Environment, Weather, and Climate Change
Chair:
Location: TEP 2202
| 13:30 | Climate Change Risks, Stock Returns, and the Oil Sector (abstract) Discussant: Mathias Kruttli |
| 14:00 | Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics (abstract) Discussant: Burton Hollifield |
| 14:30 | Asset Prices and Portfolios with Externalities (abstract) Discussant: Steffen Hitzemann |
13:30-15:00 Session 3B: Energy Storage II
Chair:
Location: TEP 2112
| 13:30 | Gas Storage Valuation in Incomplete Markets (abstract) Discussant: Ekaterina Abramova |
| 14:00 | Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity (abstract) Discussant: Mark Cummins |
| 14:30 | ** CANCELLED ** Model Risk in Gas Storage Valuation Models (abstract) Discussant: Nils Löhndorf |
13:30-15:00 Session 3C: Commodity Industry Structure I
Chair:
Location: TEP 2111
| 13:30 | Multiregional Oligopoly with Capacity Constraints (abstract) Discussant: Robert Wichmann |
| 14:00 | The Natural Gas Announcement Puzzle (abstract) Discussant: Stathis Tompaidis |
| 14:30 | Profit Dynamics in Commodity Processing Firms (abstract) Discussant: Humoud Alsabah |
13:30-15:00 Session 3D: Futures Markets I
Chair:
Location: TEP 2119/20
| 13:30 | Risk Appetite and Intermediation by Swap Dealers (abstract) Discussant: Jeffrey Dorfman |
| 14:00 | Flexible Tests for USDA Report Announcement Effects In Future Markets (abstract) Discussant: Michel Robe |
| 14:30 | Who Holds Positions in Agricultural Futures Markets –– and How? (abstract) Discussant: Scott Mixon |
15:00-15:30Coffee Break, TEP 2001/2/3
15:30-17:00 Session 4A: Renewables I
Chair:
Location: TEP 2202
| 15:30 | Using the Binomial Model for the Valuation of Real Options in Computing Optimal Subsidies for Chinese Renewable Energy Investments (abstract) Discussant: Alexander Kronies |
| 16:00 | The Value of Subsidies in Renewable Energy - An Investor's Perspective (abstract) Discussant: Mohamad Afkhami |
| 16:30 | Price Dynamics of Renewable Identification Numbers Under Uncertainty (abstract) Discussant: Ehud Ronn |
15:30-17:00 Session 4B: Commodity Processing
Chair:
Location: TEP 2112
| 15:30 | Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties (abstract) Discussant: Bo Yang |
| 16:00 | Pathwise Optimization for Merchant Energy Production (abstract) Discussant: Amar Sapra |
| 16:30 | Optimal Processing and Trading for a Commodity in the Presence of Inventory Conversion Flexibility and Random Supply (abstract) Discussant: Sebastian Maier |
15:30-17:00 Session 4C: Commodity Industry Structure II
Chair:
Location: TEP 2111
| 15:30 | A Risk-Hedging View to Vertical Integration in the Refinery Capacity (abstract) Discussant: Danko Turcic |
| 16:00 | Information Asymmetry, Rents, and Price Risk Allocation: An Investigation of the BMW Supply Chain (abstract) Discussant: Hamed Ghoddusi |
15:30-17:00 Session 4D: Futures Markets II
Chair:
Location: TEP 2119/20
| 15:30 | Futures Market Hedging Pressure, Speculative Pressure and Spot Market Volatility (abstract) Discussant: Romulo Alves |
| 16:00 | The Information Content of Commodity Futures Markets (abstract) Discussant: Craig Pirrong |
| 16:30 | Learning From Liquidation: The Commodity Futures Convergence Process (abstract) Discussant: Latha Shanker |
17:30-20:30Dinner
Bus Transfer from CMU Tepper School to Restaurant (The Church Brew Works): 17.30
Dinner: 18:00-20:00
Bus Transfer from Restaurant (The Church Brew Works) to CMU Tepper School/Conference Hotels: 20:00
- Two buses will stop first at CMU Tepper and then at the Wyndham Hotel
- One bus will stop first at CMU Tepper and then at the Hampton Inn
Saturday, June 22nd
View this program: with abstractssession overviewtalk overview
08:30-09:00 Registration
Location: TEP 2001/2/3
09:00-10:30 Session 5A: Renewables II
Chair:
Location: TEP 2202
| 09:00 | The Coordination of Centralised and Distributed Generation (abstract) Discussant: Arvind Shrivats |
| 09:30 | Optimal Behaviour of Regulated Firms in Solar Renewable Energy Certificate Markets (abstract) Discussant: Heikki Peura |
| 10:00 | Strategic Forward Trading and Technology: The Operational Merit-Order Effect (abstract) Discussant: Matteo Basei |
09:00-10:30 Session 5B: Market Structure I
Chair:
Location: TEP 2112
| 09:00 | Rational destabilization in Commodity Markets (abstract) Discussant: Marcel Kremer |
| 09:30 | A Fundamental Model for Continuous Intraday Electricity Trading of 15-Minute Contracts (abstract) Discussant: Paolo Guasoni |
| 10:00 | Asset Prices in Segmented and Integrated Markets (abstract) Discussant: Etienne Borocco |
09:00-10:30 Session 5C: Commodities and the Economy I
Chair:
Location: TEP 2111
| 09:00 | Oil Jump Risk (abstract) Discussant: Konstantinos Vasileiadis |
| 09:30 | Dynamic connectedness measures via MIDAS SVAR (abstract) Discussant: Yu Li |
| 10:00 | Fundamental Shocks and the Co-Movement of Natural Gas and Electricity Prices (abstract) Discussant: Nima Ebrahimi |
09:00-10:30 Session 5D: Futures Markets III
Chair:
Location: TEP 2119/20
| 09:00 | Commodity Futures: Does the Traded Volume Influence Research Interest? (abstract) Discussant: Ayla Kayhan |
| 09:30 | Determinants of Commodity Market Liquidity (abstract) Discussant: Marcel Prokopczuk |
| 10:00 | An Anatomy of the Volatility Term Structure in Crude Oil Futures Markets (abstract) Discussant: Isabel Figuerola-Ferretti |
09:00-10:30 Session 5E: Financialization and Commodity Markets
Chair:
Location: TEP 2118
| 09:00 | Rebalancing Effects of Commodity Indices on Open Interest, Volume and Prices (abstract) Discussant: Thomas Wimmer |
| 09:30 | The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis (abstract) Discussant: Yubo Tao |
| 10:00 | Financialization and Commodity Market Serial Dependence (abstract) Discussant: Florian Schmid |
10:30-11:00Coffee Break, TEP 2001/2/3
11:00-12:30 Session 6A: Renewables III
Chair:
Location: TEP 2202
| 11:00 | Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power (abstract) Discussant: Fariba Farajbakhsh Mamaghani |
| 11:30 | Harvesting Solar Power Foments Prices in a Vicious Cycle: Breaking the cycle with price mechanisms (abstract) Discussant: Selvaprabu Nadarajah |
| 12:00 | Meeting Corporate Renewable Power Targets (abstract) Discussant: Takashi Kanamura |
11:00-12:30 Session 6B: Market Structure II
Chair:
Location: TEP 2112
| 11:00 | Extrapolative Expectations and the Second-Hand Market for Ships (abstract) Discussant: David Batista Soares |
| 11:30 | Efficiency and Volatility of Spot and Futures Agricultural Markets: Impact of Trade Frequencies (abstract) Discussant: Mike Ludkovski |
| 12:00 | Recurrent Stochastic Games for Commodity Oligopolies (abstract) Discussant: Nikos Nomikos |
11:00-12:30 Session 6C: Commodities and the Economy II
Chair:
Location: TEP 2111
| 11:00 | Joint Dynamics of Stock Market Returns and Exchange Rates to Oil Shocks (abstract) Discussant: Virgilio Zurita |
| 11:30 | The Low Energy Investor: Energy Risks and the Cross Section of Stock Returns (abstract) Discussant: Veronika Selezneva |
| 12:00 | Does Index Arbitrage Distort Market Reaction to Shocks? (abstract) Discussant: Ravipa Rojasavachai |
11:00-12:30 Session 6D: Futures Markets IV
Chair:
Location: TEP 2119/20
| 11:00 | Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Return (abstract) Discussant: Scott C Linn |
| 11:30 | The Relation Between Petroleum Product Futures Prices and Crude Oil Futures Prices (abstract) Discussant: Xuan Mo |
| 12:00 | **MOVED FROM SESSION 2D ** Do Diamonds Sparkle in Investor Portfolios? (abstract) Discussant: Yuri Lawryshyn |
11:00-12:30 Session 6E: Investments
Chair:
Location: TEP 2118
| 11:00 | Investment Under Uncertainty with Endogenous Costs (abstract) Discussant: Anna Maria Gambaro |
| 11:30 | Risk Neutral Demand Forecast and Real Options Valuation: The Case of Crude Oil Capacity Investment (abstract) Discussant: Peter Ritchken |
| 12:00 | Capital Structure and Asset Flexibility (abstract) Discussant: Zeigham Khokher |
12:30-13:30Lunch Break, TEP 2001/2/3
13:30-14:30 Session 7A: Renewables IV
Chair:
Location: TEP 2202
| 13:30 | Poverty Mitigation via Solar Panel Adoption: Smart Contract and Targeted Subsidy Design (abstract) Discussant: Alexandar Angelus |
| 14:00 | Distributed Renewable Power Generation and Implications for Capacity Investment and Electricity Prices (abstract) Discussant: Qiaozhen Guo |
13:30-14:30 Session 7B: Incomplete Markets
Chair:
Location: TEP 2112
| 13:30 | Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets (abstract) Discussant: Andrea Roncoroni |
| 14:00 | Combined Custom Hedging (abstract) Discussant: Nicola Secomandi |
13:30-14:30 Session 7C: Exchange Rates and Commodities
Chair:
Location: TEP 2111
| 13:30 | Dutch Disease Revisited: Evidence from a Commodity-Currency Channel (abstract) Discussant: Konstantinos Nikolopoulos |
| 14:00 | `Not So Naive' (NSN): Threshold Forecasting for Random Walks (abstract) Discussant: Dongwon Lee |
13:30-14:30 Session 7D: Futures Markets V
Chair:
Location: TEP 2119/20
| 13:30 | Mean-Swap Variance Hedging and Efficiency (abstract) Discussant: Fousseni Chabi-Yo |
| 14:00 | Never a Dull Moment: Entropy Risk in Commodity Markets (abstract) Discussant: Bingxin Li |
13:30-14:30 Session 7E: Currencies and Cryptocurrencies
Chair:
Location: TEP 2118
| 13:30 | Heterogeneity and Volatility Regimes of Cryptoassets (abstract) Discussant: Ariel Zetlin-Jones |
| 14:00 | Currency Stability Using Blockchain Technology (abstract) Discussant: Bastien Buchwalter |
14:30-15:00Coffee Break, TEP 2001/2/3
16:00-17:30 Session 8: Equilibrium Hedging and Valuation, Sheridan Titman
Keynote Presentation
Chair:
Location: Simmons Auditorium B