Invited Speaker (Chair-Stan Hurn)

        -  Professor Gael Martin (Monash University)

           Computing Bayes in Finance

Session 1 : High Frequency Econometrics (Chair - Shuping Shi)

        -  Robust Estimation of Realized Correction

                     Yiyao Luo and Peter Hansen

        -  Disentangling Seasonality from a Self-exciting Process with Time-varying Baseline

                     Yoann Potiron, Oliver Scaillet, and Seunghyeon Yu

        -  The Refinement of Signed Jumps for Drift Bias and its Implication to Volatility Prediction

                     Kefu Liao, Kevin Evans, and Dudley Glider

Session 2 : Asset Pricing (Chair - Gael Martin)

        -  iCOS: Option-Implied COS method

                     Evgenii Vladimirov

        -  Flow-Based Asset Pricing: A Factor Framework of Cross-Sectional Price Impacts

                     Yinan Su, Yu An and Chen Wang

        -  Uncovering the Incremental Information Content of HIgh-Frequency Options

                     Mattia Bevilacqua, Lykourgos Alexiou and Rodrigo Hizmeri

Session 3 : Econometric Modelling and Inference (Chair - Andrew Patton)

        -  An Order-invariant Score-driven Dynamic Factor Model

                     Mariia Artemova

        -  Consistent Causal Inference for High Dimensional Time Series

                     Francesco Cordoni and Alessio Sancetta