Speakers

A. Prof. Yahua Xu

Central University of Finance and Economics, China

Research Area: Asset Pricing (Empirical), Derivatives Markets, Risk Management, Financial Modeling, Quantitative Analysis, Option Pricing, Energy Finance

Brief: Yahua Xu is an associate professor of Finance in Central University of Finance and Economics. Her main research interests include asset pricing, empirical derivatives market risk management, quantitative analysis of financial models, and option pricing. She has published many papers in high-quality journals in the fields of quantitative finance, derivatives and energy finance such as Journal of Futures Markets, Energy Economics, Economic Modelling, Applied Economics, International Review of Economics and Finance and so on, and she also served as an anonymous referee for several academic journals. 

Title: Intraday momentum and return predictability: Evidence from the crude oil market

Abstract: Using high-frequency United States Oil Fund data firom 2006 to 2018, we find intradaymomentum in the oil market, where the first half-hour returns positively predict the last halfhour returns. A market timing strategy based on these findings generates substantial profits. Wefurther decompose the first half-hour return into its overnight and open half-hour componentsand find that the former contains more predictive information. The economic mechanisms ofinfrequent portfolio rebalancing and the presence of late-informed investors explain ourfindings.

Notably, unlike equity markets, the oil market exhibits a unique intraday tradingvolume pattern due to the release of two routine oil inventory announcements. However, theinformation contained in the inventory announcements does not offer predictability for the lasthalf-hour returns. Our findings provide practical implications for high-firequency traders andregulators and should be of interest to researchers. 

Assoc. Prof. Vasilii Erokhin

Harbin Engineering University, China

Research Area: Vasilii Erokhin is an Associate Professor, School of Economics and Management, Harbin Engineering University, China. Since 2017, Dr. Erokhin is a research fellow at the Center for Russian and Ukrainian Studies (CRUS) and Arctic Blue Economy Research Center (ABERC), Harbin Engineering University, China. Dr. Erokhin is an author of many publications in the areas of macroeconomics, sustainable development, and agricultural economics with a focus on emerging markets, developing countries, and economies in transition. His major book titles include “Contemporary Macroeconomics: New Global Disorder” (2023), “Shifting Patterns of Agricultural Trade: The Protectionism Outbreak and Food Security” (2021), and “Handbook of Research on Globalized Agricultural Trade and New Challenges for Food Security” (2020). Dr. Erokhin is a guest editor and an editorial board member at many peer-reviewed journals and publications. Dr. Erokhin is a holder of the honorary awards from the Ministry of Agriculture of the Russian Federation and the Ministry of Education and Science of the Russian Federation.

Title: Environmental Dimension of Digital Economy: Regional Variations in China

Abstract: China' s rapid economic growth in past decades has been accompanied by the advancements in the digital economy. Technologies such as big data, cloud computing, and artificial intelligence, among others, have revolutionized development models. However, this economic and technological progress has also resulted in substantial environmental challenges. In his speech, Dr. Erokhin will discuss the spatial relationship and regional variations between the digital economy, investment, and environmental pollution in selected provinces and cities in China, as well as he will outline insights into the complex interactions between economic activities and environmental sustainability, emphasizing the need for territory-specific policies to effectively address environmental challenges in the digital era.