Conference program

Day One - Thursday 19 June 2025

	9.00 – 9.15	Welcome talk Athanasios A. Pantelous, Monash University, AUS
	9.15 – 10.15	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Lu Zheng, University of California Irvine, USA "Do Mutual Funds Walk the Talk? Evidence from Fund Risk Disclosure"
	10.15 – 10.30	Small break
	10.30 – 11.50	Session 1 Chair: Lu Zheng, University of California Irvine, USA
T1	10.30 – 10.50	Zhaohui Chen, University of Virginia, USA Athanasios A. Pantelous, Monash University, AUS Ruohua Tang, Monash University, AUS Presenter: Yuxin Xie, Southwestern University of Finance and Economics, China "Dusting off the Textual Sentiment: How does Genuine Sentiment Speak to the Crowd"
T2	10.50 – 11.10	Junhuan Zhang, Beihang University, China Jia Zhou, Beihang University, China Jing Chen, Cardiff University, UK Presenter: Jia Shao, University of Birmingham, UK "Investor Sentiment and Stock Price Prediction using Large Language Models and Deep Learning"
T3	11.10 – 11.30	Arun Verma, Bloomberg L.P. USA "Generative Machine Learning in Quantitative Finance"
T4	11.30 – 11.50	Presenter: Haizhou Cui, Monash University, AUS Athanasios A. Pantelous, Monash University, AUS Bonsoo Koo, Monash University, AUS Samuel Vigne, LUISS Business School, Italy "Sequential decision-making for utility-based life-cycle model retirement pension optimization by deep reinforcement learning approach"
	11.50 – 12.20	Small break (Family photo)
	12.20 – 13.20	Session 2 Chair: Bonsoo Koo, Monash University, AUS
T5	12.20 – 12.40	Zefeng Bai, University of Tampa, USA Dessislava Pachamanova, Babson College, USA Victoria Steblovskaya, Bentley University, USA Kai Wallbaum, Allianz Global Investors, Germany "Target Volatility Strategy: Optimal Rebalancing Boundary for Transaction Cost Minimization"
T6	12.40 – 13.00	Gerardo Ferrara, Bank of England, UK Jun Sung Kim, Sungkyunkwan University, South Korea Bonsoo Koo, Monash University, AUS Zijiun Liu, Hong Kong Monetary Authority, Hong Kong SAR, China "Assortative matching and network structure in the over-the-counter credit default swap market"
T7	13.00 – 13.20	Yulia Malitsky, Université Toulouse 1 Capitole, France "Resolving the Weak Correlation between the HML and RMW Factors"
T8	13.20 – 13.40	Wolfgang Schadner, University of Liechtenstein, Liechtenstein "Isolating Event Risk Densities"
	13.40 – 15.40	Lunch break
End of first day

Day Two - Friday 20 June 2025

	9.15 – 10.15	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Andreas Milidonis, University of Cyprus, Cyprus "Desert Dust Storms: Insurability and Financial Solutions"
	10.15 – 10.30	Small break
	10.30 – 11.50	Session 3 Chair: Andreas Milidonis, University of Cyprus, Cyprus
T9	10.30 – 10.50	Stavros K. Stavroglou, University of Edinburgh, UK Athanasios A. Pantelous, Monash University, AUS "History Repeats Itself: Predicting Time Series with Irregular Cyclicality"
T10	10.50 – 11.10	Martino S. Centonze, University of Bologna, Italy Elisa Botteghi, University of Bologna, Italy Davide Pastorello, University of Bologna, Italy Daniele Tantari, University of Bologna, Italy "Network Security under Heterogeneous Cyber-Risk Profiles and Contagion"
T11	11.10 – 11.30	Tim Boonen, The University of Hong Kong, Hong Kong SAR, China Bonsoo Koo, Monash University, AUS Fotios Mourdoukoutas, University College Dublin, Ireland Athanasios A. Pantelous, Monash University, AUS "Competitive insurance pricing in a duopoly"
T12	11.30 – 11.50	Pengyu Liu, University of Edinburgh, UK Stavros K. Stavroglou, University of Edinburgh, UK Saurabh Mishra, Taiyo.Ai, USA Epameinondas Katsikas, University of Kent, UK, Athanasios A. Pantelous, Monash University, AUS Bilal Ayyub, University of Maryland, USA James H. Lambert, University of Virginia, USA "Exploring AI’s Role in Macroeconomic Performance: A Multi-Level Causality Approach in China and the US"
	11.50 – 12.20	Small break
	12.20 – 13.20	Session 4 Chair: Victoria Steblovskaya, Bentley University, USA
T13	12.20 – 12.40	Mohammad Hadi Sehatpour, University of Technology Sydney, AUS Marta Campi, Universite Paris Cite, France Christina S. Nikitopoulos, University of Technology Sydney, Australia Gareth W. Peters, University of California Santa Barbara, USA Kylie-Anne Richard, Australia’s Sovereign Wealth Fund, AUS "Anatomy of Municipal Green Bond Yield Spreads"
T14	12.40 – 13.00	Vicky Zhu, Babson College, USA Bingyue Su, Wells Fargo & Company, USA "To Bootstrap or Not: Evaluating the Impact on Propensity Score Matching Accuracy in Causal Inference"
T15	13.00 – 13.20	Andrew Paskaramoorthy, University of Cape Town, South Africa Terence van Zyl, University of Johannesburg, South Africa Tim Gebbie, University of Cape Town, South Africa "The Bias of Resampled Backtests for Portfolio Selection Rules"
T16	13.20 – 13.40	Hui Wang, Monash University, AUS Stavros K. Stavroglou, University of Edinburgh, UK Athanasios A. Pantelous, Monash University, AUS "Pattern Causality in R"
	13.40 – 15.40	Lunch break
	20.30 – 21.00	Reception
	21.00 – 23.00	Gala dinner
End of second day

Day Three - Saturday 21 June 2025

	9.15 – 10.15	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Sushanta Mallick, Queen Mary University of London, UK "What happens to listed firms after they obtain costly shadow loans?"
	10.15 – 10.30	Small break
	10.30 – 11.50	Session 5 Chair: Sushanta Mallick, Queen Mary University of London, UK
T17	10.30 – 10.50	Douglas Cumming, Florida Atlantic University, USA Shan Ji, Capital Markets CRC Ltd, AUS Carlo Sala, Universitat Ramon Llull, ESADE, Spain "Option Market Manipulation"
T18	10.50 – 11.10	Alejandro Bernales, Universidad de Chile, Chile Louisa Chen, University of Sussex, UK Lorenzo Reus, Universidad Adolfo Ibáñez, Chile Thanos Verousis, Vlerick Business School, Belgium Javiera Azocar, Universidad de Chile, Chile "The Impact of Derivative Security Innovations on Corporate Decisions"
T19	11.10 – 11.30	Reuben Brefo Marfo, Bentley University and Webster Financial Corporation, USA "Forecasting Interest Rates Through Data Partitioning: Evidence from Developed and Emerging Markets"
T20	11.30 – 11.50	Siqin Sun, University of Edinburgh, UK Dimitrios N. Koufopoulos, University of London, UK Athanasios A. Pantelous, Monash University, AUS Stavros K. Stavroglou, University of Edinburgh, UK "The Impact of the Kyoto Protocol on Energy Transition and Public Health in Southeast Asia: A Lead-Lag Analysis"
	11.50 – 12.20	Small break
	12.20 – 13.20	Session 6 Chair: Stavros K. Stavroglou, University of Edinburgh, UK
T21	12.20 – 12.40	Eden Gross, University of the Witwatersrand, South Africa Ryan Kruger, University of Cape Town, South Africa "Risk management in South Africa: Value at risk and equity styles"
T22	12.40 – 13.00	Eden Gross, University of the Witwatersrand, South Africa Ryan Kruger, University of Cape Town, South Africa "Risk management in South Africa: Value at risk and equity styles"
T23	13.00 – 13.20	Zixuan Fang, Monash University, AUS Soosung Hwang, Sungkyunkwan University, South Korea Athanasios A. Pantelous, Monash University, AUS Yuxin Xie, Southwestern University of Finance and Economics, China "An Analysis of Risk Attitudes and Strength of Preference under Narrow Framing"
T24	13.20 – 13.40	Iliuta Cumpanasu, West University Timisoara, Romania "Irregular Immigration and Smuggling at the Serbian-Romanian Border: A Wavelet Approach"
	13.40 – 15.40	Lunch break
End of QFRA 2025