Finance Research Symposium

2019-04-16 11:41:51

A two-day Research Symposium about Finance and Economics will take place at Nazarbayev University Graduate School of Business on April 18-19, 2019. NAC Analytica Corporate Fund and Nazarbayev University Graduate School of Business are organized this event.

symposium (6)

The symposium aims to bring together academics, practitioners and policy makers in Finance and Economics, to present and discuss recent developments in the academic discipline and the application to Kazakh financial markets and institutions.

The symposium is divided into three clusters with different themes:

  1. Financial Econometrics and Statistics
  2. Behavioral Finance and Economics
  3. Capital Markets and Monetary Policy

The first cluster focuses on Financial Econometrics and Statistics. Special attention is given to the modeling of high-frequency data as stochastic diffusion processes, the forecasting of returns and market volatility and density forecasting. These approaches have numerous applications for academic empirical research as well as active portfolio management, valuation of contingent claims and financial risk management.

The second cluster focuses on Behavioral Finance and Economics, which has increasing relevance for the design and marketing of financial products and services and regulation of financial markets. The recent Nobel Prizes in Economics of 2013 and 2017 recognized the growing importance of this discipline. The symposium brings together four experts in this area from leading academic institutions; they will present and discuss a selection of their recent work in this area.

The third cluster focuses on the aggregated capital markets and monetary policy. The recent establishment of Astana International Financial Center (AIFC) has been a major event for the local economy that opens up borders wider for the inflow of capital from abroad. Hence, the present symposium brings together world’s top academics and well-known local experts to discuss the current state of matters in capital markets and monetary policy from the scientific and practical perspective. Specifically, the speakers present both theoretical ideas and practical experience to explain the modern trends in capital markets and monetary policy.

Structure

Day 1 – April 18

Cluster 1 – Financial Econometrics and Statistics

Speakers & Topics

Kairat Mynbaev, International School of Economics Kazakh-British Technical University, Almaty, Kazachstan, “Nonparametric estimation of unrestricted distributions and their jumps”

Stelios Arvanitis, Athens University of Economics and Business, Athens, Greece, “Robust Optimization of Forecast Combinations”

Georgiy Shevchenko, Shevchenko University, Kyiv, Ukraine, “Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory”

Program

10:00 – Word of Welcome

10:05 – 10:50 Kairat Mynbaev

10:50 – 11:00 Mini Coffee break

11:00 – 11:45 Stelios Arvanitis

11:45 – 12:30 Georgiy Shevchenko

12:30 – 13:30 Lunch time

BIO of speakers

Kairat Mynbaev

Kairat Mynbaev is Associate Professor at Kazakh-British Technical University, Almaty. Kairat started his career as a mathematician and holds PhD in Mathematics from the Institute of Mathematics and Mechanics, Almaty, Kazakhstan. Throughout his career, Kairat taught many different subjects in several different areas, including Mathematics, Economics and Statistics. During the last 10 years, his research and teaching have shifted towards Statistics and Econometrics. Most of his publications in statistics have wide applications in financial econometrics. His recent research works were related to the estimation of discontinuous densities and distribution functions in relation to applications in economics, finance and insurance, prediction of rare events and spatial effects in financial and commodity markets and modeling high frequency financial markets.

Stelios Arvanitis

Stelios Arvanitis is Associate Professor at the Department of Economics of Athens University of Economics and Business. His current main research interests areas: the study of preorders on spaces of probability distributions, with applications in Mathematical Finance, the design of statistical testing procedures concerning properties of such orders, and the establishment of their limit theory with applications in Financial Econometrics. The study of indirect estimators and their limit theory with applications in Econometric Theory. The study of martingale limit theorems with limits mixtures of stable distributions and the subsequent establishment of the asymptotic properties of econometric estimators and tests in the context of non-linear stationary and non-stationary time series models.

Georgiy Shevchenko

Georgiy Shevchenko is Professor of Probability Theory and Statistics at the Taras Shevchenko National University of Kyiv. He received Ph.D. degree and Doctor of Sciences (habilitation) from the University of Kyiv. He is known for his research in stochastic analysis, particularly for models with long memory. He serves as associate editor of international journals Modern Stochastics: Theory and Applications and Theory of Probability and Mathematical Statistics.

Place: Nazarbayev University Graduate School of Business, 53 Kabanbay Batyr Ave., Nur-Sultan, Block C3, room 1009

Cluster 2- Workshop : “Behavioral Finance and Economics”

Workshop starts at 13:30 and lasts till 17:30, each speaker gives a speech for 50 minutes + 5 minutes discussion and 30 minutes break.

Speakers & Topics

David Robinson, Duke University Fuqua School of Business, “Who Feels the Nudge: Knowledge, Self-Awareness and Savings Decisions”

Inaki Longarela, Stockholm Business School, “Changing boards for the better”

Tom Vinaimont, Department of Economics and Finance, City University of Hong Kong, Kowloon, “Vividness and Trading Behavior in an Experimental Asset Market”

Irina Kirysheva, Nazarbayev University Sschool of Humanties and Social Sciences, “Teaching to be selfish: classroom experiments on prisoners dilemma”

Program 

13:30 – Word of Welcome

13:35 – 14:25 David Robinson (+5 min discussion by Vinaimont)

14:30 – 15:20 Inaki Longerela (+5 min discussion by Robinson)

15:25 – 15:35 Hana Dvorackova (+ 5 min discussion by Post)

15:40 – 16:10 Coffee Break

16:10 – 17:00 Tom Vinaimont (+ 5 mins discussion by Kirysheva)

17:05 – 17:55 Irina Kirysheva (+ 5 mins discussion by Longerala)

18:00 – End of program

BIO of speakers

David Robinson

David Robinson is a Professor of Finance and the J. Rex Fuqua Distinguished Professor of International Management at the Fuqua School of Business.  He is also a Faculty Research Associate at the National Bureau of Economic Research, where he serves as the co-Director of the Entrepreneurship Working Group. His research has appeared in leading academic journals in finance and economics, including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and the American Economic Review. Professor Robinson earned an MBA and PhD from the University of Chicago GSB, a Master’s from the London School of Economics, and a Bachelor of Arts from the University of North Carolina. In 2016 he received an honorary doctorate from the Stockholm School of Economics.

Iñaki Rodríguez Longarela

Iñaki Rodríguez Longarela is an associate professor at Stockholm university’s Stockholm Business School. He earned a PhD at University Carlos III in Madrid and has held positions at the Stockholm School of Economics and UiT-the Arctic University of Norway. His research covers very different fields like market microstructure, option pricing, higher-education, portfolio theory and gender research. His has published his output in outlets like Management Science, the Journal of Banking and Finance and Work, Employment and Society.

Hana Dvorackova, Technical University of Ostrava, Czech Republic, ‘’Disposition effect in currency trading: Evidence from experimental student games’’.

Hana Dvorackova is a doctoral student currently studying at the Faculty of Economics of the VSB-TUO (CZ), under guidance of professor Tomas Tichy. During her master studies she spent time at the Leibniz Universität in Hannover and Alpen-Adria Universität in Klagenfurt. Her research focus on the behavioral finance began already during the master studies, when she started cooperation with Marek Jochec on his research. After completing the master thesis focused on the behavioral finance she continues on this reasearch together with Marek Jochec, while she was presenting this topic on several international conferences and currently is finishing the doctoral theses focused on the disposition effect in the experimental currency trading.

Tom Vinaimont

Tom Vinaimont hails from Belgium where he obtained a doctorate in Finance from the KULeuven. He stayed at the Stern School of Business at New York University as a Visiting Scholar during the millennium switch and served for more than a decade as a core faculty member at the Department of Economics and Finance at the City University of Hong Kong. Tom’s work on Finance appears in internationally refereed journals such as the Journal of Banking and Finance and the Journal of Business Finance and Accounting, in policy-related publications on security design and Law and Practice and in the common law courts as expert witness on cases related to the functioning of financial markets and the trading of financial instruments. In his hometown Brugge, a small port town along the North Sea coast, he is rumored to be a decent guitar player, to have an affinity for astronomy and to be fond of a good Belgian beer.

Irina Kirysheva

Irina Kirysheva is Assistant Professor at the Department of Economics of the School of Humanities and Social Sciences. She holds a MA in Economics from New Economic School in Moscow, Russia, and a PhD in Economics from The European University Institute in Florence, Italy. Irina’s research interests lie in the area of applied microeconomics, game theory, experimental economics and social networks.

Place: Nazarbayev University Graduate School of Business, 53 Kabanbay Batyr Ave., Nur-Sultan, Block C3, room 1009

Day 2 – April 19 – Symposium: “Capital Markets and Monetary Policy”

The symposium starts at 9.50 and lasts till 17.00 (lunch time 12.30 – 14.00).

Each speaker gives a speech for 50 minutes (or less), and additional 15 minutes are dedicated for Q&A.

There will be a coffee break for participants to discuss and exchange knowledge in an informal setting.

Program

10.00 – 10.50 – Oliver Linton, Professor of Economics, Department of Economics, University of Cambridge; Co-editor of “Econometrica”

10.50 – 12.00 – Olzhas Tuleuov, Deputy Director, Applied Economics Research Centre

12.00 – 13:00 – George Constantinides, Professor of Economics, Booth School of Business, University of Chicago

14.00-15.00 – Timothy Bennett, CEO, Astana International Exchange

15.00-16.00 – Doron Israeli, Associate Professor of Accounting, Graduate School of Business,
Nazarbayev University

BIO of speakers

Doron Israeli

Doron Israeli is an Associate Professor of Accounting at the Graduate School of Business of Nazarbayev University. He holds a PhD in Business Administration from Stanford University. His broad areas of research interest include financial reporting, efficiency of security prices, and corporate investment policy. His work has been published in top tier journals such as the Journal of Accounting and Economics and the Review of Accounting Studies and presented at numerous conferences around the world. Dr. Israeli serves on the Editorial Board of The Accounting Review journal.

Topic: “Equity Book Values Greater Than Market Values: Accounting, Risk, or Mispricing?”

Olzhas Tuleuov

Olzhas Tuleuov is Deputy Director at the Applied Economics Research Centre. Earlier, he was working for the Research Department of the National Bank and participated in the implementation of the Inflation Targeting regime in Kazakhstan, namely in part of establishing and elaborating the Forecast and Policy Analysis System for NBK. Mr. Tuleuov is an author of different academic working papers on the inflation process and economic growth in Kazakhstan, international monetary policy and regional cross-border effects. He is the creator of the popular analytical and informational project “Tengenomika”, which is cited by leading media providers in Kazakhstan.

Topic: “Monetary policy and its interrelationship with financial markets in Kazakhstan”

George Constantinides

George Constantinides is the Leo Melamed Professor of Finance at the University of Chicago Booth School of Business. He is a prominent financial economist known for his work on asset pricing, portfolio management and derivatives pricing. Professor Constantinides has published numerous influential papers on the study of equity premium puzzle. He is also a former president of the American Finance Association and has been a research associate at the National Bureau of Economic Research since 1989.

Topic: “Asset pricing with learning”

Timothy Bennett

Timothy Bennett is the CEO of Astana International Exchange (AIX). He holds MBA from the Wharton School, University of Pennsylvania. He has over 15 years of experience in consulting companies such as Boston Consulting Group and Oliver Wyman. Mr. Bennett also served as the CEO of the New Zealand Exchange.

Topic: “Developing the Kazakhstani capital markets”

Oliver Linton

Oliver Linton is Professor of Political Economy at the University of Cambridge. He received Ph.D. degree from the University of California Berkeley. He served as the co-editor and associate editor of influential journals in econometrics such as Econometrica, Journal of Econometrics, Econometric Theory. Professor Linton is known as one of the most influential economists in Great Britain and has published seminal works on econometrics and empirical finance.

Topic: “The effect of high frequency trading on security markets and some policy responses”

Place: Nazarbayev University Graduate School of Business, 53 Kabanbay Batyr Ave., Nur-Sultan, Block C3, room 1022

April 18 – room 1009

April 19 – room 1022

Price: Free 

Certificates of Participation are available upon request