We study financial contagion in the euro area stock markets during the European sovereign debt crisis. We look at both stock returns and volatility measures extracted from option prices. We also provide measures of excess dispersion and correlation by combining data on stock indices and their constituents. We find higher correlations for volatilities than returns. We also find that return correlations increase in volatile periods. The impact of the crisis across countries and sectors, however, was heterogeneous. Banks were mostly affected, those from core countries holding Greek bonds first, and Spanish and Italian banks holding mostly domestic sovereign debt later. 

A basic problem when trading in nancial markets is to analyze the prize movement caused by placing an order. Clearly we expect - ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called the market impact.

Following the recent work of A. Kyle and A. Obizhaeva we apply dimensional analysis - a line of arguments wellknown in classical physics - to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order.

We also analyze the dependence of the trading activity on a stock, i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the number of trades is proportional to the power 2/3 of the exchanged risk.

The mathematical tools of this analysis reside on elementary linear algebra.

Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. 

The fact that we are living longer in many developed (and developing) countries has a significant financial effect on individuals, governments, social security systems, pension plans and insurance and reinsurance companies. In this context, we will examine the background in terms of historical trends and consider the financial implications of longevity trends and “longevity risk”. In order to plan in advance for the impact of these changes, we require reliable models that enable the accurate forecasting of future longevity trends and the measurement of uncertainty. We will examine different approaches to the modelling of the trends in the underlying mortality rates as well as the mortality improvement rates. We will present some results from comparative studies of modelling and forecasting and offer some reflections on the current state of the science and practice.

The conference banquet is not included in the registration fee. Tickets can be bought online or on site in the registration desk. (Upon request) 60.00 EUR per person. 

Day and time: Thursday, April 5, 2018 | 20:30 – 23:30

Dinner will take place in “La Masía”.

With 1,722.60 hectares of natural space, this location is the most important public park in Madrid. The history of Casa de Campo began with the decision by Philip II to move the Court to Madrid, and reside there. The King built a manor house linking the Palace with the hunting area called El Pardo. Later, farms and fields bought from the areas surrounding the Casa de Campo were added. 

 It was declared a Royal Forest under Fernando VI. As a result of the hunting and country atmosphere of the farm, as well as its proximity to the Palace, the original country house belonging to the Vargas Family was enlarged to host the Royal Family for such activities. Carlos III gave it a new twist when he introduced livestock and agriculture as one of its purposes, which would be continued by Queen María Cristina.

During the Spanish Civil War, many battles were fought there, and the numerous bombings affected its antique construction, giving rise to new military constructions, which still can be seen.

“La Masía” is located inside the Casa de Campo. For those attendees staying in other areas of Madrid, we suggest to take the underground (called “Metro”) to Lago station (line 10 – blue).

The dinner will begin at 20:30 hours. Staff will be checking dinner bookings on arrival at the dinner venue. Please wear your badges.

Special dietary requirements, vegetarian and vegan meals should have been ordered on your booking form. If you have requested so, please inform your assigned waiter.

*After dinner a shuttle service will be available to take all participants to PUERTA DE TOLEDO.