16 May 2018 9.00-10.00 Registration Lobby, 2nd floor 10.00-10.30 10:30-12:00 12:00-13.30 13.30-14.00 14.00-14.20 14.20-14.40 14:40-15:00 Opening Room 2 Audrius Kabasinskas - welcome speech Plenary Talk 1 Miloš Kopa (Charles University, Czech Republic) Portfolio optimization with stochastic dominance constraints Lunch Time SESSION 1 Room 2 Session chairs: Paolo Giudici and Miloš Kopa Invited Talk Andrius Adamonis (Bank of Lithuania) BlockChain Impact on FinTech Paolo Giudici, Iman Abu-Hashish and Kamonchai Rujirarangsan (University of Pavia, Italy) What Determines Bitcoin Exchange Prices? A Network VAR Approach Rasa Skendelyte and Alfreda Sapkauskiene (Kaunas University of Technology, Lithuania) Exploring the Determinants of Bitcoin s Price Silvia Facchinetti 1, Paolo Giudici 2 and Silvia Angela Osmetti 1 ( 1 Department of Statistical Science, Universita` Cattolica del Sacro Cuore, Italy; 2 Department of Economics and Management, University of Pavia, Italy) Cybersecurity Risk Measurement with Ordinal Data 15.00-15.30 Coffee Break Lobby, 2nd floor Invited Talk Room 2 15:30-16:00 Georg Pflug (University of Vienna, Austria) Measuring systemic risk PARALEL SESSIONS Parallel session 2 Parallel session 3 Room 1 Room 2 Session chairs: David Salazar Volkmann and Zuzana Kubascikova Session chairs: Mantas Landauskas and Krzysztof Echaust Sebastiano Vitali 1, Milos Kopa 1 and Vittorio Moriggia 2 ( 1 Charles University, Dadewabo Mbhele and Kayode Ayankoya (Nelson Mandela University, South 16.00-16.20 Czech Republic; 2 University of Bergamo, Italy) Africa) Pension Fund Management with Hedging Derivatives, Stochastic Dominance Relative Importance Analysis of Factors Driving Grain Commodity Price Volatility and Nodal Contamination in South Africa David Salazar Volkmann (Georg-August University of Göttingen, Germany) Krzysztof Echaust, Malgorzata Just (Poznan University of Life Sciences, Poland) 16.20-16.40 Explaining S&P500 Option Returns an Implied Risk-Adjusted Approach 16.40-17.00 Markku Kallio 1 and Aein Khabazian 2 ( 1 Aalto University, Finland; 2 University of Houston, United States of America) Cooperative Mitigation of Contagion in Financial Networks Sergio Ortobelli Lozza and Noureddine Kouaissah (University of Bergamo, Italy) 17.00-17.20 Parametric and Non-Parametric Multivariate Stochastic Dominance Synthetic Correlation Index: an Application in Stock and Commodity Futures Markets Mantas Landauskas and Eimutis Valakevicius (Kaunas University of Technology, Lithuania) Hybrid Model for Prediction of Asset Dynamics Based on Markov Property and Kernel Density Estimate Tomas Rusy and Miloš Kopa (Charles University, Czech republic) Optimal Loan Performance Management via Stochastic Programming 17.20-19 Meeting of EU MOpt Fin 1
9:30-11:00 17 May 2018 PLENNARY SESSION Room 2 Session chairs: Audrius Kabasinskas and Stan Uryasev Plenary Talk 2 Gerhard-Wilhelm Weber (Poznan University of Technology, Poland) Stochastic optimal control of impulsive systems with regime switches and paradigm shifts for finance, economics and science 11:00-11:30 Coffee Break Lobby, 2nd floor 11.30-11.50 11.50-12.10 12.10-12.30 SESSION 4 Room 2 Ana Uspuriene and Leonidas Sakalauskas (Vilnius Gediminas Technical University, Lithuania) Portfolio VAR Management by the Monte-Carlo Method Zuzana Kubascikova, Milos Tumpach and Zuzana Juhaszova (Ekonomicka Univerzita in Bratislava, Slovakia) Blockchain Technology and Verification of Information from Financial Statements Rita Laura D Ecclesia (Sapienza University of Rome, Italy) Value and Momentum in Energy Markets 12:30-13:30 Lunch Time 13:30-13.50 13.50-14:10 14.10-14.30 14.30-14.50 SESSION 5 Room 2 Session chairs: Martin Glanzer and Mario Lefebvre Martin Glanzer and Georg Pflug (University of Vienna, Austria) Incorporating Statistical Model Error into the calculation of Acceptability Prices of Contingent Claims Giorgio Consigli, Davide Lauria, Francesca Maggioni, Daniel Kuhn (University of Bergamo, Italy) Distributionally robust chance-constrained dynamic pension fund management Wei Cheng Chen and Wei-Ho Chung (Research Center for Information Technology Innovation Academia Sinica, Taiwan) Option Pricing via Multi-Path Autoregressive Monte Carlo Approach Mario Lefebvre (Polytechnique Montreal, Canada) An Exact Formula for the Value of a Portfolio at a Random Final Time 15:00-19.00 Excursion and Conference Dinner
18 May 2018 9.00-9.30 Morning Coffee and Tea Lobby, 2nd floor 9.30-11.00 PLENNARY SESSION Room 2 Session chairs: Miloš Kopa and Vladimir Holy Plenary Talk 3 Stan Uryasev (University of Florida, USA) Risk Management with POE, VaR, CVaR, and bpoe: Applications in Finance 11.00-11.30 Coffee Break 11.30-11.50 11.50-12.10 12.10-12.30 12.30-12.50 12.50-14.00 SESSION 6 Room 2 Session chairs: Evelina Darvidaite and Michal Pieter Stefania Scocchera 1, Guglielmo D'Amico 1, Philippe Regnault 2 and Loriano Storchi 1 ( 1 Università degli studi "G. D'Annunzio" di Chieti, Italy; 2 UFR Sciences Exactes et Naturelles Université de Reims Champagne-Ardenne, France) Measuring Financial Inequality Dynamically: A Markov Process Based Approach Audrius Kabasinskas, Evelina Darvidaite (Kaunas University of Technology, Lithuania) Passivity Analysis in Stock and Fund Markets Vladimir Holy and Petra Tomanova (University of Economics, Czech Republic) Discrete Trade Durations Michal Pieter (University of Economics, Czech Republic) Bank Evaluation Using Data Envelopment Analysis with Networks Structures Lunch Time SESSION 7 Room 2 Session chairs: Mantas Landauskas and Kristina Kundeliene 14.00-14.20 Kristina Kundeliene, Evaldas Stankevicius, Vytautas Janilionis, Audrius Kabasinskas (Kaunas University of Technology, Lithuania) Investigation of Taxpayers Behaviour by Big Data Analytics 14.20-14.40 Audrius Kabasinskas, Borisas Seminogovas (Kaunas University of Technology, Lithuania) VAT Gap Estimation by Bottom-Up Methodology: Case Study from Lithuania 14.40-15.00 Lukas Holsanskis and Robertas Alzbutas (Kaunas University of Technology, Lithuania) Bond Market and Equity Market Multi-Layer Relationship Analysis 15.00-15.20 Kristina Sutiene 1 and Alfreda Sapkauskiene 2 (Kaunas University of Technology, Lithuania) Personal Income Tax Evasion: Survey of Identification Technique 15.20-15.30 Closing speech - Audrius Kabasinskas