Volatility of financial markets: theoretical models, forecasting and trading

The volatility of financial markets is not only anomalously large, it is also time dependent, with very peculiar statistical properties (fat tails, long range memory, asymmetry ...). The detailed understanding of the origins of market volatility is of crucial importance both from a fundamental point of view, since it reflects the intimate mechanisms of price formation and price dynamics, and from the point of view of financial institutions and hedge funds, since the engineering of risk management, and risk trading (through option markets) require complex and accurate volatility models.

Many interesting methods and results have been developed in the past few years in different academic and professional circles: simple agent based, behavioral models leading to complex volatility dynamics, new statistical models for the volatility that generalize and improve the GARCH framework, new tools to price options and compute the risk of large portfolios, and recent detailed investigation of trade by trade and order book data, that unveil the microstructural origin of volatility.

The aim of this workshop is to gather together researchers of different communities (economics, finance, mathematical finance, physics and finance practitioners), in order to review recent results, exchange ideas and methods and confront different view points on financial markets. The ambition of the organizers is to promote open-minded, fruitful, cross-fertilizing exchanges between renown academics and practitioners. The format of the workshop (two weeks, with a light schedule, several review talks and ample time for informal discussions) should help achieving this goal.