Programme

  • 9:00 9:20
    Opening Remarks:
    Ege Yazgan (Istanbul Bilgi University)
    Serdar Sayan (TOBB University of Economics)
    Burak Saltoğlu (Bogazici University)

    Morning - Session 1 (Plenary)
    Chair: Thanasis Stengos (University of Guelph)

  • 9:20 10:00
    “The Definition of Time in Finance”
    Richard Olsen (Olsen Associates, Inc.)

  • 10:00 10:20
    Coffee Break

    Morning - Session 2
    Chair: Winfried Pohlmeier (University of Konstanz)

  • 10:20 10:40
    “When are Wavelets Useful Forecasters?”
    Ege Yazgan (Istanbul Bilgi University)

  • 10:40 11:00
    “Designating the Endogeneity in the Cryptocurrency Market Using an Intensity-based Hawkes Process” Alev Atak (City University of London)

  • 11:00 11:20
    “Exchange Rate Pass-Through into Welfare”
    Hakan Yilmazkuday (Florida International University)

  • 11:20 11:30
    Coffee Break

    Morning - Session 3
    Chair: Serdar Sayan (TOBB University of Economics)

  • 11:30 11:50
    “Transmission of Fiscal Stimulus in Small Open Economies: The Role of Finance Channel” Enes Sunel (Sunel & Sunel Law Firm)

  • 11:50 12:10
    “Optimal Trading Strategies with Limit Orders” Rossella Agliardi (University of Bologna)

  • 12:10 12:30
    "High Frequency Trading and Market Quality: A Case Study of Slightly Exposed Market" Cumhur Ekinci (İstanbul Technical University) and Oguz Ersan (Kadir Has University)

  • 12:30 14:00
    Lunch Break

    Afternoon - Session 1
    Chair: Thanasis Stengos (University of Guelph)

  • 14:00 14:20
    “Portfolio Pretesting with Machine Learning”
    Winfried Pohlmeier (University of Konstanz)

  • 14:20 14:40
    “European Cross-border Acquisitions: Long-run Stock Returns and Firm Characteristics” Damiana Rigamonti (University of Aarhus)

  • 14:40 15:00
    “Recovering Cointegration via Wavelets in Presence of Non-linear Patterns” Ignacio Rodríguez Carreño (University of Navarra)

  • 15:00 15:10
    Coffee Break

    Afternoon - Session 2
    Chair: Ege Yazgan (Istanbul Bilgi University)

  • 15:10 15:30
    “A Sentiment Analysis of Twitter Content for Bitcoin Fluctuations”
    M. Emre Bilgiç (Istanbul Technical University)

  • 15:30 15:50
    “The Cost of Switching: Evidence From the Turkish Pension Fund System” Burak Saltoglu (Bogazici University)

  • 15:50 16:10
    "Stochastic Dominance Efficient Spanning: An Application to the Human Development Index" Mehmet Pinar (Edge Hill University)

  • 16:10 16:30
    Coffee Break

    Afternoon - Session 3 (Plenary)
    Chair: Winfried Pohlmeier (University of Konstanz)

  • 16:30 17:10
    “What Can We Learn From High Frequency Data in Finance - Thirty Years Later”
    Michel M. Dacorogna (The Geneva Association)