4th Annual OptionMetrics Research Conference Brings Together Academia, Financial Professionals For Insights On Using Options Data To Help Analyze Financial Trends

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ORC2015 draws financial leaders on options/derivatives data insights at the Intrepid Sea, Air & Space Museum Complex on October 19th in New York City

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ORC provides a great opportunity for academia and financial professionals to explore options data strategies to monitor risk exposure and make more informed, profitable investment decisions.

OptionMetrics, a leading source for quality historical option pricing data, tools and analytics, will draw together academics and financial professionals from across the globe at its Fourth Annual OptionMetrics Research Conference (ORC2015). The event will be held on October 19th from 8:30 a.m. to 6:30 p.m. at the Intrepid Sea, Air & Space Museum Complex in New York City. Leading academic researchers and industry practitioners will discuss the latest research on the role of option prices in the world’s financial markets.

Marco Avellaneda, PhD (voted 2010 quant of the year*) has been slated as the keynote speaker. Avellaneda, Professor of Mathematics, Director of the Division of Quantitative Finance at New York University, and Managing Partner of Financial Concepts, will present his most recent research with Dr. Doris Doby - Modeling Volatility Risk in Equity Options Market: A Statistical Approach. He will discuss his analysis of the U.S. options market from 2004 to 2013 and present a model to describe the dynamics of the implied volatilities of U.S. options as one of the most important concepts for financials professionals and traders to understand. Avellaneda has authored over 85 papers on the options industry and been a guest speaker at conferences around the globe, including the International Congress of Mathematicians in Berlin and Scuola Normale Superiore di Pisa in Italy.

“From events in Greece, to China’s Shanghai Stock Exchange experiencing a decrease in value of A-shares, to the Dow Jones Industrial Average plummeting in August--the more finance professionals can learn about events before they occur--the better informed they will be to make educated decisions,” said David Hait, President of OptionMetrics. “ORC provides a great opportunity for academia and financial professionals to explore options data strategies to monitor risk exposure and make more informed, profitable investment decisions.”

Other topics and industry experts scheduled at ORC2015, include:

  • Options Illiquidity: Determinants and Implications for Stock Returns - Ruslan Goyenko, Chay Ornthanalai & Shengzhe Tang
  • Option-Implied Downside Risk Premium -Tong Wang
  • Stock Illiquidity, Option Prices, and Option Returns - Stefan Kanne, Olaf Korn & Marliese Uhrig-Homburg
  • Under Pressure: Using Information from Option Markets to Identify Temporary Stock Mispricing - Bruce Grundy, Thijs van der Heijden & Yichao Zhu
  • The Pricing of Idiosyncratic Risk in Option Markets - Jean-Francois Begin, Christian Dorion & Genevieve Gauthier
  • Option Return Predictability - Jie Cao
  • Optimal Insider Trading in Illiquid Option Markets - Gunnar Grass
  • Rare Disaster Risk Premium and Asset Prices Evidence from Option Panels - Yen-Cheng Chang, Hung-Wen Cheng & Kevin Tseng
  • Pricing Short-Term Market Risk: Evidence from Weekly Options - Torben Andersen, Nicola Fusari & Viktor Todorov
  • Differences in Expectations and the Cross Section of Stock Returns - Panayiotis Andreou, Anastasios Kagkadis, Dennis Philip & Ruslan Tuneshev

Registration includes admission to all sessions, keynote speaker, breakfast, lunch and cocktail reception. Special discounts are available to PhD students and members of the press by contacting ORC2014@optionmetrics.com. For more information or to register please visit http://www.optionmetrics.com/orc2015.html

About OptionMetrics
OptionMetrics provides extensive data, analytics and tools to help financial professionals understand the options markets. Founded in 1999, OptionMetrics distributes its IvyDB historical options database service to over 300 corporate and institutional subscribers worldwide, as well as over half of the top 50 business schools in the world. Leading portfolio managers, equity option traders, and quantitative researchers rely on Ivy DB’s extensive and high-quality data to construct and test options investment strategies, perform empirical research on option prices, and accurately assess risk. Find more information about OptionMetrics at http://www.optionmetrics.com.

*For his classic paper, “A Dynamic Model for Hard to Borrow Stocks” by Risk Magazine

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Hilary McCarthy
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