*December 11~12, Renaissance Riverside Hotel Saigon, Ho Chi Minh City, Vietnam
Monday, December 11
| 08:00 ~ 09:00 | Registration |
| 09:00 ~ 10:30 | Session 1 : Asset Pricing and Machine Learning |
| 10:30 ~ 10:45 | Coffee Break |
| 10:45 ~ 12:15 | Session 2 : Financial Markets and Machine Learning |
| 12:15 ~ 13:30 | Lunch / Hotel Restraurant |
| 13:30 ~ 15:00 | Session 3 Chair : Le, Hoanh-Su (Univ. of Economics and Law, VNU-HCM) |
| 15:00 ~ 15:20 | Coffee Break |
| 15:20 ~ 16:50 | Session 4 : Cryptocurrency |
| 18:00 ~ 21:00 | Best Paper Award Ceremony, Keynote Speech, and Dinner |
Tuesday, December 12
| 08:30 ~ 08:40 | Registration |
| 08:40 ~ 10:10 | Session 5 : DeFi |
| 10:10 ~ 10:25 | Coffee Break |
| 10:25 ~ 11:55 | Session 6 : Investment in Crypto Markets |
| 12:00 ~ 12:30 | Industrial Speaker Session |
| 12:30 ~ 13:30 | Lunch / Hotel Restraurant |
| 13:30 ~ 15:00 | Session 7 : Liquidity |
| 13:30 ~ 17:00 | Poster Session for Students |
December 11, 9:00 ~ 10:30 (Vietnam Time)
Session 1 : Asset Pricing and Machine Learning
Chair : Park, Rae Soo (Sookmyung Women's Univ.)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Han, Chulwoo (Sungkyunkwan Univ.)* | Deep Momentum: International Evidence | Kim, Jung Jae (Emory Univ.) |
| Proelss, Juliane (Concordia Univ.)* Schweizer, Denis (Concordia Univ.) Buchwalter, Bastien (SKEMA Business School in Paris) |
Momentum Strategies and Risk Preferences of CryptoAsset Investors | Jhang, Hogyu (Chungnam Univ.) |
| Nguyen, My Tra (Washington Univ. in St Louis)* Filippou, Ilias (Washington Univ. in St Louis) Viswanath-Natraj, Ganesh (Warwick Business School) |
Fundamental Sentiment and Cryptocurrency Risk Premia | Kim, Da-Hea (SKKU) |
December 11, 10:45 -12:15 (Vietnam Time)
Session 2 : Financial Markets and Machine Learning
Chair : Kim, Young S. (Northern Kentucky Univ.)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Kim, Hwagyun (Texas A&M Univ.) Kim, Ju Hyun (Ajou Univ.)* Yang, Nan (The Hong Kong Polytechnic Univ.) |
Betting on Bond Ratings Disagreement | Noh, Joonki (Case Western Reserve Univ.) |
| Kim, Jung Jae (Emory Univ.)* Kim, John Jeong Ho (Florida State Univ.) |
Machine-Learning the Information Set of Mutual Fund Investors | Baek, Chang Ryong (SKKU) |
| Adelino, Manuel (Duke Univ.) Choi, Jaewon (Univ. of Illinois Urbana-Champaign) Cheong, Sophia Chiyoung (City Univ. of Hong Kong) Oh, Ji Yeol Jimmy (Sungkyunkwan Univ.)* |
Mutual Fund Flows and the Supply of Capital in Municipal Financing | Alan Kwan (Univ. of Hong Kong) |
December 11, 13:30 - 15:00 (Vietnam Time)
Session 3 Chair : Le, Hoanh-Su (Univ. of Economics and Law, VNU-HCM)
Chair : Le, Hoanh-Su (Univ. of Economics and Law, VNU-HCM)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Charoenwong, Ben (National Univ. of Singapore)* Wang, Yiyao (Shanghai Advanced Institute of Finance) |
Data Sharing in a Fintech Lending Ecosystem | Oh, Ji Yeol Jimmy (SKKU) |
| Chatjuthamard, Pattanaporn (Northern Kentucky Univ.) Jiraporn, Pornsit (Northern Kentucky Univ.) Lee, Sang Mook (Northern Kentucky Univ.) Kim, Young Sang (Northern Kentucky Univ.)* |
Climate change and shareholder value: Evidence from textual analysis and Trump’s unexpected victory | Wang, Shu-Feng (Ajou Univ.) |
| Jang, Ga-Young (SusFin Research) Kang, Hyoung-Goo (Hanyang Univ;)* Park, Jaesung (Korea SMEs & Startups Institute) Choi, Hyung-Suk (Ewha Womans Univ.) |
Unveiling the Impact of Alternative Credit Scoring Systems on Small and Medium-sized Enterprises | Kim, Yong Suk (SKKU) |
December 11, 15:20 - 16:50 (Vietnam Time)
Session 4 : Cryptocurrency
Chair : Choi, Jaewon (UIUC)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Ahn, Dong-Hyun (Seoul National Univ.) Choi, Jaewon (Univ. of Illinois at Urbana-Champaign)* Kang, Kyu Ho (Korea Univ.) Ko, Seongdeok (Seoul National Univ.) |
Domestication of Cryptoassets: Theory and Evidence | Charoenwong, Ben (NUS) |
| Nguyen, My Tra (Washington Univ. in St Louis)* Eichengreen, Barry (Univ. of California at Berkeley) Viswanath-Natraj, Ganesh (Warwick Business School) |
Stablecoin Devaluation Risk | Lim, Byung Hwa (SKKU) |
| Choi, Kyoung Jin (Univ. of Calgary) Jeon, Junkee (Kyung Hee Univ.) Lim, Byung Hwa (Sungkyunkwan Univ.)* |
Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets | Huisu Jang (Soongsil Univ.) |
December 11, 18:00 - 21:00 (Vietnam Time)
Best Paper Award Ceremony, Keynote Speech, and Dinner
Moderated by Prof. Oh, Ji Yeol Jimmy (SKKU)
Atrium Lounge
 |
Keynote Speech: “How Safe is DeFi? Systemic Risk and Fragility”, Christine A. Parlour (UC Berkeley) Sylvan C. Coleman Chair in Finance and Accounting, Haas School of Business, University of California, BerkeleyChristine A. Parlour is the Sylvan C. Coleman Chair of Finance and Accounting at Berkeley Haas. Most of her work is in institutionally complex areas, such as market microstructure and banking. Her current work focuses on changes in the payments system and the effects on bank balance sheets. She has written for major finance and economics journals. She has been on the Nasdaq Economic Advisory Board and is currently on the steering committee for the New Special Study of Securities Markets. |
December 12, 08:40 - 10:10 (Vietnam Time)
Session 5 : DeFi
Chair : Kim, Noolee (Hanyang Univ.)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Cong, Lin William (Cornell Univ.) Prasad, Eswar (Cornell Univ.) Rabetti, Daniel (National Univ. of Singapore)* |
Financial and Informational Integration Through Oracle Networks | Han, Chulwoo (SKKU) |
| Li, Tao (Univ. of Florida) Lee, Jongsub (Seoul National Univ.)* Han, Jungsuk (Seoul National Univ.) |
DAO Governance | Rabetti, Daniel (NUS) |
| Campello, Murillo (Cornell Univ.) Jin, Peiyi (National Univ. of Singapore)* Rabetti, Daniel (National Univ. of Singapore) |
The Market for Crypto Zombies: Over-Collateralization in DeFi Lending |
Do, Thuat (HKUST) |
December 12, 10:25 -11:55 (Vietnam Time)
Session 6 : Investment in Crypto Markets
Chair : Phan, Phuong Thi Thanh (Ton Duc Thang Univ.)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Kong, De-Rong (National Taiwan Univ.)* Lin, Tse-Chun (Univ. of Hong Kong) |
Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible Token (NFT) | Luong, Long Kim (TDTU) |
| Do, Thuat (Hong Kong Univ. of Science and Technolog, FPT Univ.)* Pham, Anh Tuan (Derivable Labs) Tran, Tuan (FPT Univ.) |
Derivable: a Novel Derivatives Pricing Markets based on a Family of Asymptotic Power Curves | Lee, Hangsuck (SKKU) |
| Mazur, Mieszko (ESSCA School of Management)* Polyzos, Efstathios (Zayed Univ.) |
Financial Impact of Washtrading in the NFT Market: An Algorithmic Approach | Lee, Jaeram (Gachon Univ.) |
December 12, 12:00 - 12:30 (Vietnam Time)
Industrial Speaker Session
“Data Driven Approach in Commodities Trading”, Vinh Nguyen (Kevin), CEO of Tuan Loc Commodities
Room : Me Linh 1, 2
December 12, 13:30 - 15:00 (Vietnam Time)
Session 7 : Liquidity
Chair : Kim, Ju Hyun (Ajou Univ.)
Room : Me Linh 1, 2
| Author | Title | Discussant |
|---|---|---|
| Lee, Albert (Hanyang Univ.)* | Buy-Sell Imbalances On and Around Round Numbers and High-Frequency Trading | Pantalfini, Matteo (HKU) |
| Cookson, J. Anthony (Univ. of Colorado at Boulder) Moon, S. Katie (Univ. of Colorado at Boulder) Noh, Joonki (Case Western Reserve Univ.)* |
Speculative and Informative: Lessons from Market Reactions to Speculation Cues | Lee, Albert (Hanyang Univ.) |
| Pantalfini, Matteo (Univ. of Hong Kong)* | Hide Information and Seek Liquidity: A Game of Strategic Triangular Trading | Kim, Daejin (SKKU) |
December 12, 13:30 - 17:00 (Vietnam Time)
Poster Session for Students
Chair : Song, Kyojik "Roy" (SKKU)
Room : Me Linh Foyer
| Author | Title |
|---|---|
| Kim, Geon Woo (Sungkyunkwan Univ.) | Analysis of Capital Structure Dynamics of Korean Manufacturing Companies Using Explainable AI |
| Lee, Jun Young (Sungkyunkwan Univ.) Yoo, Chae Eun (Sungkyunkwan Univ.) |
Determining Investment Types Using Data Clustering of Customers and Markets |
| Kim, You Kyum (Sungkyunkwan Univ.) | Do Value Shifts of Corporate Financial Assets Affect Stock Returns of Non-Financial Firms? |
| Kim, Kyeong Hun (Sungkyunkwan Univ.) | Stock Market Prediction using Attention U-Net |
| Khil, Meen Seok (Sungkyunkwan Univ.) | Corporate Culture from the Bottom |
| Ko, Dong Won (Sungkyunkwan Univ.) Jang, Han Gyeol (Sungkyunkwan Univ.) |
Analysis of Crypto Asset Market Abuse Activities and its Regulatory Implications in Korea |
| Seol, Jun Hyung (Sungkyunkwan Univ.) | Predictability of Machine Learning Algorithms of Cryptocurrency Returns |
| Im, Chang Min (Sungkyunkwan Univ.) | SME Default Prediction with C-GAN Oversampling? |