APFRS2008议程

Thursday, April 3, 2008

8:00 am to 8:30 am

Registration and Continental Breakfast

8:30 am to 9:00 am

Chrysanthemum Room

Opening Remarks
Patrick Catania, Asia West Group & Head of International Relations, NCDEX
Dr. Byong Jin You, Myongji University
John West, Kent State University
Simon Ho, Hong Kong Baptist University
Guojin Chen, Xiamen University
Robert Webb, Journal of Futures Markets

Session 1: Volume and Price Behavior in Futures
Moderator: Patrick Catania

9:00 am to 9:50 am

Page 27

“Public Information, Price Volatility, and Trading Volume in U.S. Bond Markets”

Presenting Author: Michael McKenzie
Discussant: Kin Lam

9:50 am to 10:20 am

Break

10:20 am to 11:10 am

Page 28

“Individual Trades, Institutional Trades, and Intraday Futures Price Behavior”

Presenting Author: Yun-Yi Wang
Discussant: Guojin Chen

Session 2: Arbitrage Trading
Moderator: CY Sin

11:10 am to 12:00 pm

Page 30

“Large Trades and Intraday Futures Price Behavior”

Presenting Author: George H. K. Wang
Discussant: Hojin Lee

12:00 pm to 2:00 pm

Lunch
Introductions: Jay Sorkin, CBOT-ERF
Guest Speaker: Yeong-Ho Woo, KRX

2:00 am to 2:50 pm

Page 48

“The Limits to Stock Index Arbitrage: Examining S&P 500 Futures and SPDRs”

Presenting Author: Nivine Richie
Discussant: Charles Upton

Session 3: KOSPI 200
Moderator: Joe Sweeney

2:50 pm to 3:40 pm

Page 50

“Value-at-Risk Analysis for KOSPI 200 Index Futures”

Presenting Author: Sang Hoon Kang
Discussant: Christopher Ting

3:40 pm to 4:10 pm

Break

4:10 pm to 5:00 pm

Page 51

“Informed Trading in the Index Option Market: the Case of KOSPI 200 Options”

Presenting Author: Doojin Ryu
Discussant: Jay Muthuswamy

Reception and Dinner

5:00 pm to 7:00 pm

Rose Room

Cocktail Reception
Introductions: Mark Holder, Kent State University

Speaker: Dr. Hui Jong Park, Director of Institute for Finance and Knowledge, Myongji University

Speaker: Mr. Anthony Yeung, Dow Jones Indexes and Stoxx Limited

Toast: George Stevens & John West, Kent State University
Mr. Anthony Yeung, Dow Jones Indexes and Stoxx Limited
Mr. Chung Won Kang, KB Kookmin Bank
Dr. Kin Lam, Hong Kong Baptist University
Mr. Jong-Sun Kim, Hyundai Marine & Fire Insurance
Mr. In Gyu Choi, KB Kookmin Bank
Dr. Young-Ho Woo, KRX
Dr. Jung-Sun Su, Myongji College
Dr. Hui Jong Park, Myongji University
Dr. Guojin Chen, Xiamen University
Robert I. Webb, Journal of Futures Markets,
Mark Holder, Review of Futures Markets

Special Guest: Mr. Cheol Young Lee, President & CEO, Hyundai Marine & Fire Insurance

Special Guest: Dr. Jung-Sun Suh, President, Myongji College

7:00 pm to 8:30 pm

Rose Room

Buffet Dinner
Introductions: Mr. Chung Won Kang, CEO, KB Kookmin Bank
Guest Speaker: Gary King, CEO, Dubai Mercantile Exchange

Friday, April 4, 2008

8:30 am to 9:00 am

Continental Breakfast

Session 4: Quantitive Modeling of Markets
Moderator: Richard Kent

9:00 am to 9:50 am

Page 60

“Volatility Estimation and the Performance of Multifactor Term Structure Models for Pricing and Hedging Euribor Options”

Presenting Author: I-Doun Kuo
Discussant: C Y Sin

9:50 am to 10:40 am

Page 61

“Exchange Membership Price as a Stock Market Predictor”

Presenting Author: Taewoo You
Discussant: Joe Fung

10:40 am to 11:10 am

Break

11:10 am to 12:00 pm

Page 62

“On the Term Structure of Model-free Volatilities and Volatility Risk Premium”

Presenting Author: Christopher Ting
Discussant: Gerard Gannon

12:00 pm

Closing Remarks
Dr. Mark E. Holder