Conferences / Workshops

Current CREAR events:

July 26-27, 2018: 4th SAS ERM & ESSEC CREAR Conference on "Cyber risks – Threats and Opportunities for the Asia Pac Insurance Industry" at ESSEC Asia Pacific. See the program and discover the 4 interviews (videos) posted online (Sept.5, 2018) by the magazine Asia Insurance Review 

May 4, 2018: Public Conference on "High Frequency Financial Data, 30 years later" by Michel Dacorogna (co-author of the book published by Academic Press: Introduction to High Frequency Financeat Institut Henri Poincaré (IHP) - Paris, Amphi Darboux, 1pm to 2pm. At 2pm, you are cordially invited for a coffee breakThis event is co-organized with the group BFA of SFdS. 

 
 
What Can We Learn From High Frequency Data in Finance -

Thirty Years Later?


In 1986, Olsen & Associates started collecting tick by tick Foreing Exchange (FX) data published by Reuters on their FXFX page. It was the starting of the high frequency adventure in Finance. Everything was new at the time, new methodology was needed to treat unevenly spaced time series, prices that came as bid and ask instead of one price. The data presented seasonality in volatility and not in the values themselves. We had to develop concepts like business time scales or intrinsic time to help model these time series. The sheer number of data was a challenge to filter in order to do meaningful statistics. It was a time for discovering scaling laws, fat tails, long memory and all those regularities that are now common knowledge.


Today 80% of the trades in the developed markets are due to high frequency traders. They use these data to build sophisticated algorithms for improving their business. In thirty years, the world of trading has completely changed, bringing up questions to wether they still play their roles for price discovery.


In this presentation, we will review the main advances that the high frequency data have brought to light and the approach that we developed over the years to understand the dynamics of financial markets. We will conclude on the recent advances and the questions that these new developments have brought to research both in market micro-structure as well as for macro-economics. We will also discuss the new risk landscape that has emerged from the advances of technology in finance.


Past CREAR events:

October 20, 2016

Financial Risk: 
Black Swan or Opportunities?

Information on: crear.essec.edu/Oct20event-2016


July 3-8, 2016 

Concluding international "RARE" (Risk Analysis, Ruin theory, Extremesconference

Information on : crear.essec.edu/rare-conference

Organization: Marie Kratz for CREAR-RARE

Sponsors: Amies-IA, Bank of England, FP7-RARE project, Institut des Actuaires, Institute and Faculty of Actuaries, Foundation SCOR for Science, SWISS RE.  

Support of the group BFA-SFdS.

Annals of Actuarial Science (AAS - IFoA) - 'RARE' Special Issue.                                                                                           Call for papers: Contributions are welcome from participants in the concluding RARE workshop, non-necessarily part of the RARE consortium. Submission deadline: Dec. 22, 2016


June 10, 2015 

International round table on "New IFRS rules: when Actuaries meet Accountants" 

Information and registration 

Organization: ESSEC CREAR, with the financial support of the LabEx MME-DII and Institut des Actuaires, and with the support of the group BFA-SFdS.

ESSEC - campus La Défense (CNIT), room 202, 5:00 pm - 8:00 pm, 




May 29, 2015

Workshop CREAR (ESSEC) - FiQuant (CENTRALE SUPELEC)

Room 138, EEE, La Défense


December 15 - 17, 2014

Conference Extremes events in Finance, 

Organizer: François LONGIN, ESSEC, CREAR

Abbaye de Royaumont. (Submission deadline: September, 30)

With the Support of CREAR

https://www.youtube.com/playlist?list=PLhlmrcwXrxY27fswhwAhgQ5R4XFMwEKUM


July 8-11, 2014

Summer Institute 2014 : Forecasting & Empirical Methods
The National Bureau of Economic Research, Inc,        
Organizers: Jonathan Wright & Allan Timmermann, 
Cambridge, Massachusetts 
Invited speaker: Guillaume CHEVILLON



7- 9 juillet 2014

Les nouveaux enjeux de l'assurance: Big Data, Eurocroissance, ANI, loi Hamon et dépendance
 
Université d'été de l'Institut des Actuaires 

http://www.universitedetedesactuaires.com/



June  26, 2014

Insurance Risk and Finance Research Conference 2014 

Goodwood Park Hotel, Singapore



June 17, 2014 (10:15 am) 

IWAP 2014 (International Workshop on Applied probability)  

Invited session: Risks Analysis, Ruin and Extremes

Organized by Marie KRATZ, CREAR



February 26-28, 2014

4th Monash-Ritsumeikan Symposium on Probability and Related fields - RARE workshop

Ritsumeikan University, Japan 

Scientific program


January 10, 2014

SCOR&IDEI Conference

Scientific Program


December 14, 2013

7th International Conference on Computational and Financial Econometrics  (CFE 2013) 

Organized Session CS59 by J. Rombouts 

Scientific program


November, 19, 2012

Conference on RISK, INSURANCE AND LONGEVITY

ESSEC Executive Education - Room 104

Organization: Working Group on Risk - ESSEC & Swiss Life, with the support of the BFA group (SFdS) and IA.

Scientific program

Download the talks here.

 

April, 9, 2010

WORKSHOP on FINANCIAL REGULATION - Institut Henri Poincaré, Paris.

Organization: BFA - SFdS  & Working Group on Risk - ESSEC

Scientific program


January, 26, 2009

EUROPEAN WORKSHOP on FINANCIAL RISK ANALYSIS & EXTREME VALUES -

ESSEC campus at CNIT 92 Paris La Défense

Scientific program