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OptionMetrics Research Conference (ORC2015)

OptionMetrics Research Conference (ORC2015)

Join us at the 2015 OptionMetrics Research Conference!

October 19, 2015 at the Intrepid Sea, Air & Space Museum Complex

OptionMetrics cordially invites you to attend our 4th Annual OptionMetrics Research Conference (ORC2015)
which is being held on October 19, 2015 at the Intrepid Sea, Air & Space Museum Complex

ORC2015 will bring together OptionMetrics users and researchers from both academia and industry. The goal
of the conference is to share ideas and increase overall understanding of the options markets.

Space will be limited – please register now to guarantee your spot!!!

Click here to register! – Registration is now closed

Keynote Speaker: Marco Avellaneda, PhD

OptionMetrics is pleased to announce that Marco Avellaneda will join us this year as our ORC2015 Keynote Speaker. Marco Avellaneda is a Professor of Mathematics at the Courant Institute of Mathematical Sciences at New York University. He has been active in researching and teaching Finance since the 1990s. He has held positions with Morgan Stanley (VP of Research, Derivatives Products Group), Gargoyle Strategic Investments (Quantitative Options Strategist), Capital Fund Management (Head of Volatility Trading) and Galleon (PM in Statistical Arbitrage Trading). Since 2007, Dr. Avellaneda has been associated with Finance Concepts, a risk-management consultancy.


Presentation Topics & Agenda:

Options Illiquidity: Determinants and Implications for Stock Returns
Ruslan Goyenko, Chay Ornthanalai & Shengzhe Tang

Stock Illiquidity, Option Prices, and Option Returns
Stefan Kanne, Olaf Korn & Marliese Uhrig-Homburg

Optimal Insider Trading in Illiquid Option Markets
Gunnar Grass

Option-Implied Downside Risk Premium
Tong Wang

The Pricing of Idiosyncratic Risk in Option Markets
Jean-Francois Begin, Christian Dorion & Genevieve Gauthier

Pricing Short-Term Market Risk: Evidence from Weekly Options
Torben Andersen, Nicola Fusari & Viktor Todorov

KEYNOTE ADDRESS Modeling Volatility Risk in Equity Options Market: A Statistical Approach
Doris Dobi, Marco Avellaneda

Option Return Predictability
Jie Cao, Bing Han, Qing Tong & Xintong Zhan

Jump Risk Premium and Asset Prices: Evidence from Option Panels
Yen-Cheng Chang, Hung-Wen Cheng & Kevin Tseng

Differences in Expectations and the Cross Section of Stock Returns
Panayiotis Andreou, Anastasios Kagkadis, Dennis Philip & Ruslan Tuneshev

Under Pressure: Identifying Temporary Stock Mispricing Using Option Markets
Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden & Yichao Zhu

* Admission to the Intrepid Sea, Air & Space Museum Complex is included in your
registration. You are welcome to explore the museum at your leisure during
the Registration/Breakfast, Lunch, and Reception.

** Session I, Session II and Session IV will each have three presenters. Session III
will include the Keynote Address and one presenter.

 

We look forward to seeing you there!