Date: July 3rd, 2025

Place: ENSAE Paris

Programme:

12h30 – 13h30: Déjeuner cocktail (espace de convivialité du 4ème étage coté pôle finance)

13h30 – 14h00: Ioane Muni-Toke (CentraleSupéléc) « Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets »

14h00 – 14h30: Caroline Hillairet (CREST) « Multivariate Self-Exciting Process with Dependencies and application for risk quantification »

14h30 – 15h00: Jean-David Fermanian (CREST) « Model-based vs. agnostic methods for the prediction of time-varying covariance matrices »

15h00-15h30: Pause

15h30 – 16h00: Christian Bongiorno (CentraleSupéléc) « Optimal Covariance Matrix Cleaning with Machine Learning »

16h00 – 16h30: Gaoyue Guo (CentraleSupéléc) «  Does mutual holding reduce systemic risk? »

16h30 – 17h00: Jean-François Chassagneux (CREST) « An optimal transport approach to multiple quantile hedging problems »