EDHEC-Risk Days Asia 2012
EDHEC-Risk Days Asia 2012
EDHEC-Risk Days Asia 2012
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Day Two: High-Frequency Trading Forum – Alternative<br />
Investments<br />
High-Frequency Trading Forum<br />
The Market Impact and Economic Consequences of Algorithmic and High-Frequency Trading<br />
Evaluating the impact of algorithmic and high-frequency trading on liquidity, volatility and the informational<br />
efficiency of prices<br />
> What is the impact of algorithmic and high-frequency trading on market liquidity?<br />
> How does algorithmic and high-frequency trading affect price discovery process and the informational efficiency of prices?<br />
> What is the impact of such trading on intraday and daily volatility?<br />
> What factors make algorithmic trading beneficial or harmful; which firms or markets, if any, would benefit from regulatory<br />
restrictions on fast trading?<br />
> What are the longer-term effects of increasing algorithmic trading intensity?<br />
Alternative Investments<br />
A New Class of Volatility Indices for <strong>Asia</strong><br />
> The specificities of volatility and volatility hedging on <strong>Asia</strong>n equity markets<br />
> Introducing a new set of efficient and tractable proxies of idiosyncratic volatility for <strong>Asia</strong>n equity markets<br />
> Providing reliable proxies for volatility when option-based implied volatility measures are not available<br />
Skewness as an Asset Class<br />
> Exploring the empirical properties of skewness<br />
> Understanding implied and realised skewness and the informational content of skewness indicators<br />
> Measuring the benefits of skewness exposure<br />
The State and Challenges of Infrastructure Financing and Investing<br />
> What exactly is an infrastructure asset?<br />
> The infrastructure risk/return mismatch<br />
> Recent hurdles, the credit cycle and long-term solutions<br />
Long-Short Commodity Investing: Implications for Portfolio <strong>Risk</strong> and Market Regulation<br />
> Measuring the returns earned by long-short commodity investors<br />
> Long-short commodity portfolios as a hedge against extreme equity risk<br />
> Are long-short investors destabilising commodity markets by increasing volatility and cross market linkages?<br />
New Evidence on the Performance of Private Equity<br />
> Analysing the return drivers of more than 10,000 private-equity investments (speed, firm structure, investment size, business<br />
cycle, exit route)<br />
> Are quick-flips the norm?<br />
> Which firm characteristics impact returns most?<br />
> Do private-equity firms add value? And if so, how?<br />
Allocating to Hedge Funds – A View from the Buy Side<br />
> Looking at the current state of the hedge fund industry<br />
> Reviewing the myths and limits of hedge fund investing<br />
> Including hedge funds into strategic asset allocation<br />
> Managing the liquidity and operational risks of hedge fund investments<br />
Non-parametric Hedge Fund Modelling and Implications for Hedge Fund Performance Evaluation and Asset<br />
Allocation Decisions<br />
> Limitations of traditional approaches to modelling hedge fund payoffs<br />
> Advantage of a stochastic discount factor approach to modelling hedge fund risks<br />
> Aligning allocation decisions with performance measurement in the hedge fund universe<br />
<strong>EDHEC</strong>-<strong>Risk</strong> <strong>Days</strong> <strong>Asia</strong> <strong>2012</strong> l 7 l Bringing Research Insights to Investment Professionals
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