News & Events

OptionMetrics Research Conference (ORC2015)

July 30, 2015

OptionMetrics Research Conference (ORC2015) Share 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!!!

Registration is now closed

Keynote Speaker: Marco Avellaneda, PhD

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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