Programme

Organizers: George Kapetanios (QMUL) and George Skiadopoulos (QMUL & University of Piraeus)

Download the programme brochure in a pdf format

Registration opens at 08:00

09:10

Dean Curtis, Queen Mary's Chief Strategy Officer, will formally open the conference.

Refreshment breaks will be served on the lower ground floor in room LG.2 Lunch will be served on the third floor in room 3.2 Room LG.1 on the lower ground floor will be an open area for laptop use.

Session 1: Financialization of commodities & Markets integration
Chair: Stewart Hodges, City University London
09:20
A model of financialization of commodities
* Suleyman Basak, London Business School
Anna Pavlova, London Business School
10:00
The stock market price of commodity risk
* Martijn Boons, Nova School of Business and Economics
Frans deRoon, Tilburg University
Marta Szymanowska, Erasmus University
10:40 - 11:00
BREAK

 

Session 2: Determinants of commodity returns
Chair: Bahattin Buyuksahin, Bank of Canada
11:00
Limits to arbitrage and hedging: Evidence from commodity markets
Viral Acharya, New York University
Lars Lochstoer, Columbia University
* Tarun Ramadorai, University of Oxford
11:40
Convective risk flows in commodity futures markets
Ing-Haw Cheng, University of Michigan
* Andrei Kirilenko, MIT
Wei Xiong, Princeton University
12:20 - 13:20
LUNCH

 

Session 3: Empirical asset pricing for commodities
Chair: Anthony Lynch, New York University
13:20
Asset pricing models that explain the cross-section and time-series of commodity returns
Gurdip Bakshi, University of Maryland
Xiaohui Gao, University of Maryland
* Alberto Rossi, University of Maryland
14:00
Are there common factors in individual commodity futures returns?
Charoula Daskalaki, University of Piraeus
* Alexandros Kostakis, University of Manchester
George Skiadopoulos, University of Piraeus & QMU
14:40 - 15:00
BREAK

 

Session 4: Asset Management & Risk management
Chair: Carol Alexander, University of Sussex
15:00
Momentum strategies in futures markets and trend-following funds
Akindynos-Nikolaos Baltas, Imperial College
* Robert Kosowski, Imperial College
15:40
Modelling commodity prices with dynamic conditional beta
* Robert Engle, New York University
16:20 - 16:35
BREAK

 

Panel on recent advances in commodities: A view from the industry
Moderator:

Constantine Thanassoulas, Premier European Capital, Toledo Mining, & Eilon Associates

Panelists:
Benoit Gourisse, ISDA
Robert Greer, PIMCO
Michael Masters, Better Markets & Masters Capital Management
17:35 - 17:40
CLOSE OF CONFERENCE

*: Presenter

Time Allocation: Presenters have 25 minutes for their presentation and 15 minutes for Q&As