À l’occasion de cette conférence organisée par l’Institut Europlace de Finance et la Fondation Banque de France, Béatrice SAGNA (PSL Paris-Dauphine) et Marcus OPP (School of Economics, Stockholm) présenteront leurs travaux de recherche :

« Forecasting Intra-daily Volume for Large Panels of Assets »,
Béatrice SAGNA (PSL Paris-Dauphine)

« Backtesting Systemic Risk Measures »,
Marcus OPP (School of Economics, Stockholm)

Béatrice SAGNA (PSL Paris-Dauphine)

Béatrice Sagna is a PhD candidate in Finance at Université PSL Paris-Dauphine. Her research interests include financial econometrics, microstructure of financial markets and forecasting techniques. She is interested in understanding how trading volume evolves on an intra-daily frequency and how one can better model it in view of implementation of trading strategies such as Volume Weighted Average Prices (VWAP). She hold a Msc in Finance – Master 104- from Université PSL Paris-Dauphine.

 

Marcus OPP (School of Economics)

Marcus’s research spans dynamic contracting, financial intermediation, and international finance. His most recent work on financial intermediation analyzes the interplay between financial regulation and risk-taking incentives in the financial sector. The corresponding papers are published in top general interest journals (Econometrica) and leading field journals such as the Journal of Economic Theory, the Journal of Financial Economics and the Journal of International Economics. The paper “Target revaluation after failed takeover attempts – Cash versus stock” won the 2016 Jensen prize for the best paper published in the Journal of Financial Economics in the areas of corporate finance and organizations (first place). His favorite papers are “Impatience versus incentives,” “Only time tell: A theory of deferred compensation and its regulation,” and ”Rating agencies in the face of regulation.” He has been a board member of the Finance Theory Group since September 2016. He has achieved teaching excellence at Berkeley Haas (Median score = 6 / 7) in every section since 2010 across a variety of degree programs (undergraduate, M.B.A. and Ph.D.). Last rating: 6.3 / 7 in MBA core finance course in Spring 2016. He wons the 2017 Poets and Quants “Top 40 under 40” award for professors of world-wide business schools.

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