{"id":168,"date":"2019-07-03T11:02:51","date_gmt":"2019-07-03T15:02:51","guid":{"rendered":"http:\/\/goyenko.vascoweb.biz\/home\/"},"modified":"2019-09-05T14:15:21","modified_gmt":"2019-09-05T18:15:21","slug":"home","status":"publish","type":"page","link":"http:\/\/goyenko.vascoweb.biz\/fr\/","title":{"rendered":"Accueil"},"content":{"rendered":"

[vc_row][vc_column][vc_empty_space height=\u00a0\u00bb35px\u00a0\u00bb][\/vc_column][\/vc_row][vc_row disable_element=\u00a0\u00bbyes\u00a0\u00bb][vc_column][vc_custom_heading text=\u00a0\u00bbStock Picks\u00a0\u00bb font_container=\u00a0\u00bbtag:h1|text_align:center\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbMorbi in sem quis dui placerat ornare. Pellentesque odio nisi, euismod in, pharetra a, ultricies in, diam.\u00a0\u00bb font_container=\u00a0\u00bbtag:div|font_size:17PX|text_align:center|color:%23007925|line_height:20PX\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][\/vc_column][\/vc_row][vc_row disable_element=\u00a0\u00bbyes\u00a0\u00bb][vc_column width=\u00a0\u00bb1\/4″]

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Insert your content here<\/div><\/div><\/div>\n[\/vc_column][\/vc_row][vc_row disable_element=\u00a0\u00bbyes\u00a0\u00bb][vc_column][vc_separator color=\u00a0\u00bbcustom\u00a0\u00bb accent_color=\u00a0\u00bb#65b57e\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1562350777453{margin-top: 80px !important;margin-bottom: 80px !important;}\u00a0\u00bb][\/vc_column][\/vc_row][vc_row css=\u00a0\u00bb.vc_custom_1562352331458{margin-bottom: 0px !important;}\u00a0\u00bb][vc_column width=\u00a0\u00bb1\/3″ offset=\u00a0\u00bbvc_hidden-lg vc_hidden-md vc_hidden-sm\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbBlogue\u00a0\u00bb font_container=\u00a0\u00bbtag:h1|text_align:right\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_column_text]<\/p>\n

Je ne suis pas un blogueur professionnel, mais un vrai passionn\u00e9 de recherche en finance. Au fur et \u00e0 mesure que divers projets progressent, de nombreuses informations me semblent autant pertinentes pour le milieu universitaire que pour les professionnels de l\u2019industrie de la finance.<\/strong><\/p>\n

Le but de ce blog est de partager ces informations de mani\u00e8re plus concise et de rendre les connaissances issues de la recherche plus accessible en ne faisant pas n\u00e9cessairement appel aux r\u00e9f\u00e9rences acad\u00e9miques, aux citations ou au vocabulaire sp\u00e9cifique. Le blog couvre des sujets aussi vari\u00e9s que la FinTech et ses applications en finance, ainsi que les r\u00e9sultats de mes diverses implications acad\u00e9miques. Bonne lecture!<\/p>\n

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juillet 5, 2019<\/div>
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<\/i> juillet 5, 2019<\/span><\/span><\/div><\/div><\/div>

The students from my Risk management class (Winter 2019) won PRMIA annual risk challenge<\/a><\/h2><\/div>
[vc_row][vc_column][vc_column_text]On March 29, 2019, ten international team finalists met in Montr\u00e9al QC at PSP Investments to participate in the final championship round of the PRMIA Risk [\u2026]<\/span><\/div>
Aimez-vous?<\/span><\/div>
<\/i> Lire la suite<\/a><\/div><\/div><\/div><\/div><\/div>
juillet 5, 2019<\/div>
<\/div>\"\"<\/a>
<\/i><\/a><\/i><\/a><\/div><\/div><\/div>
<\/i> juillet 5, 2019<\/span><\/span><\/div><\/div><\/div>

Risk Management and Financial Innovation Conference<\/a><\/h2><\/div>
[vc_row][vc_column][vc_column_text]The joint McGill- Desautels and Rotman (University of Toronto) Risk management and Financial Innovations conference took place in Fairmont Mont Tremblant, March 8 \u2013 10, 2019. [\u2026]<\/span><\/div>
Aimez-vous?<\/span><\/div>
<\/i> Lire la suite<\/a><\/div><\/div><\/div><\/div><\/div><\/div><\/div>\n<\/div>\n[\/vc_column][vc_column width=\u00a0\u00bb1\/3″ offset=\u00a0\u00bbvc_hidden-xs\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbBlogue\u00a0\u00bb font_container=\u00a0\u00bbtag:h1|text_align:right\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_column_text]<\/p>\n

Je ne suis pas un blogueur professionnel, mais un vrai passionn\u00e9 de recherche en finance. Au fur et \u00e0 mesure que divers projets progressent, de nombreuses informations me semblent autant pertinentes pour le milieu universitaire que pour les professionnels de l\u2019industrie de la finance.<\/strong><\/p>\n

Le but de ce blog est de partager ces informations de mani\u00e8re plus concise et de rendre les connaissances issues de la recherche plus accessible en ne faisant pas n\u00e9cessairement appel aux r\u00e9f\u00e9rences acad\u00e9miques, aux citations ou au vocabulaire sp\u00e9cifique. Le blog couvre des sujets aussi vari\u00e9s que la FinTech et ses applications en finance, ainsi que les r\u00e9sultats de mes diverses implications acad\u00e9miques. Bonne lecture!<\/p>\n

[\/vc_column_text][vc_btn title=\u00a0\u00bbVoir tout\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb align=\u00a0\u00bbright\u00a0\u00bb link=\u00a0\u00bburl:http%3A%2F%2Fgoyenko.vascoweb.biz%2Ffr%2Fnouvelles%2F|title:Nouvelles||\u00a0\u00bb][\/vc_column][\/vc_row][vc_row][vc_column][vc_separator color=\u00a0\u00bbcustom\u00a0\u00bb border_width=\u00a0\u00bb2″ accent_color=\u00a0\u00bb#00519e\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567707247204{margin-top: 0px !important;margin-bottom: 80px !important;}\u00a0\u00bb][\/vc_column][\/vc_row][vc_row][vc_column width=\u00a0\u00bb1\/3″][vc_custom_heading text=\u00a0\u00bbRecherche en bref\u00a0\u00bb font_container=\u00a0\u00bbtag:h1|text_align:left\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_column_text]Mes recherches r\u00e9centes visent\u00a0\u00e0 comprendre comment les pressions de la demande des investisseurs modifient les strat\u00e9gies de gestion du risque d\u2019inventaire des teneurs du march\u00e9 des options sur actions.<\/strong><\/p>\n

Les produits d\u00e9riv\u00e9s, contrairement aux stocks, ont une offre nette nulle. Ainsi, les pressions de la demande positives ou n\u00e9gatives et l’incapacit\u00e9 \u00e0 se couvrir parfaitement peuvent entra\u00eener divers \u00e9carts par rapport aux prix implicites des mod\u00e8les. Ces \u00e9carts ne sont pas anodins et entra\u00eenent diff\u00e9rentes qualit\u00e9s d’ex\u00e9cution en fonction de l’heure \u00e0 laquelle vous n\u00e9gociez. En collaboration avec LiveVol \/ CBOE, nous travaillons \u00e0 attirer l’attention des universitaires et des praticiens du secteur sur l’importance d’utiliser des donn\u00e9es sur les options de n\u00e9gociation intra-journali\u00e8res plut\u00f4t que sur les cours de cl\u00f4ture de fin de journ\u00e9e.[\/vc_column_text][vc_btn title=\u00a0\u00bbVoir tout\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb align=\u00a0\u00bbleft\u00a0\u00bb link=\u00a0\u00bburl:http%3A%2F%2Fgoyenko.vascoweb.biz%2Ffr%2Frecherche%2F|title:Recherche||\u00a0\u00bb][\/vc_column][vc_column width=\u00a0\u00bb2\/3″][vc_custom_heading text=\u00a0\u00bbDisagreement in the Equity Options Market and Stock Returns\u00a0\u00bb font_container=\u00a0\u00bbtag:h2|text_align:left|color:%23161922″ use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_column_text]There is no agreement yet in the literature about the effect of investors\u2019 disagreement about cash flow news on future stock returns. High investors\u2019 disagreement has been shown to either negatively or positively predict stock returns. We show empirically, for the first time, that both, positive and negative effects co-exist. The sign depends on the positive vs negative information about cash flow news, and the absence of short-sale constraints.[\/vc_column_text][vc_btn title=\u00a0\u00bbDownload PDF\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb align=\u00a0\u00bbleft\u00a0\u00bb link=\u00a0\u00bburl:http%3A%2F%2Fgoyenko.vascoweb.biz%2Fwp-content%2Fuploads%2F2019%2F09%2Fdisagreement-in-the-equity-options-market-and-stock-returns.pdf|title:Disagreement%20in%20the%20Equity%20Options%20Market%20and%20Stock%20Returns|target:%20_blank|\u00a0\u00bb][vc_separator color=\u00a0\u00bbcustom\u00a0\u00bb border_width=\u00a0\u00bb2″ accent_color=\u00a0\u00bb#f29400″][vc_row_inner equal_height=\u00a0\u00bbyes\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567707116781{margin-bottom: 25px !important;}\u00a0\u00bb][vc_column_inner width=\u00a0\u00bb3\/4″ css=\u00a0\u00bb.vc_custom_1567707172036{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbInformed Trading of Options, Option Expiration Risk, and Future Stock Returns\u00a0\u00bb font_container=\u00a0\u00bbtag:h2|font_size:111%25|text_align:left|color:%23626262|line_height:125%25″ google_fonts=\u00a0\u00bbfont_family:Ubuntu%3A300%2C300italic%2Cregular%2Citalic%2C500%2C500italic%2C700%2C700italic|font_style:700%20bold%20regular%3A700%3Anormal\u00a0\u00bb el_class=\u00a0\u00bbquote-embed\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1562262879522{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_column_text css=\u00a0\u00bb.vc_custom_1562262871535{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb]with Martijn Cremers (Notre Dame), Paul Schultz (Notre Dame) and Stephen Szaura (McGill)[\/vc_column_text][\/vc_column_inner][vc_column_inner width=\u00a0\u00bb1\/4″ css=\u00a0\u00bb.vc_custom_1567707180573{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_btn title=\u00a0\u00bb\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb i_icon_fontawesome=\u00a0\u00bbfa fa-download\u00a0\u00bb add_icon=\u00a0\u00bbtrue\u00a0\u00bb link=\u00a0\u00bburl:http%3A%2F%2Fgoyenko.vascoweb.biz%2Fwp-content%2Fuploads%2F2019%2F09%2Finformed-trading-of-options-option-expiration-risk-and-future-stock-returns.pdf||target:%20_blank|\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567606667090{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_btn title=\u00a0\u00bb\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb i_icon_fontawesome=\u00a0\u00bbfa fa-external-link\u00a0\u00bb add_icon=\u00a0\u00bbtrue\u00a0\u00bb link=\u00a0\u00bburl:https%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D3347194||target:%20_blank|\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567606618818{margin-top: 0px !important;margin-bottom: 0px !important;margin-left: 15px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][\/vc_column_inner][\/vc_row_inner][vc_separator color=\u00a0\u00bbcustom\u00a0\u00bb border_width=\u00a0\u00bb2″ accent_color=\u00a0\u00bb#f29400″][vc_row_inner equal_height=\u00a0\u00bbyes\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567707116781{margin-bottom: 25px !important;}\u00a0\u00bb][vc_column_inner width=\u00a0\u00bb3\/4″ css=\u00a0\u00bb.vc_custom_1567707172036{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbOptions Illiquidity: Determinants and Implications for Stock Returns\u00a0\u00bb font_container=\u00a0\u00bbtag:h2|font_size:111%25|text_align:left|color:%23626262|line_height:125%25″ google_fonts=\u00a0\u00bbfont_family:Ubuntu%3A300%2C300italic%2Cregular%2Citalic%2C500%2C500italic%2C700%2C700italic|font_style:700%20bold%20regular%3A700%3Anormal\u00a0\u00bb el_class=\u00a0\u00bbquote-embed\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1562262892622{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_column_text css=\u00a0\u00bb.vc_custom_1562262901102{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb]with Chay Ornthanalai (University of Toronto) and Shengzhe Tang (University of Toronto)[\/vc_column_text][\/vc_column_inner][vc_column_inner width=\u00a0\u00bb1\/4″ css=\u00a0\u00bb.vc_custom_1567707180573{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_btn title=\u00a0\u00bb\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb i_icon_fontawesome=\u00a0\u00bbfa fa-download\u00a0\u00bb add_icon=\u00a0\u00bbtrue\u00a0\u00bb link=\u00a0\u00bburl:http%3A%2F%2Fgoyenko.vascoweb.biz%2Fwp-content%2Fuploads%2F2019%2F09%2Foptions-illiquidity-determinants-and-implications-for-stock-returns.pdf||target:%20_blank|\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567606711042{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][vc_btn title=\u00a0\u00bb\u00a0\u00bb style=\u00a0\u00bboutline-custom\u00a0\u00bb outline_custom_color=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_background=\u00a0\u00bb#65b57e\u00a0\u00bb outline_custom_hover_text=\u00a0\u00bb#ffffff\u00a0\u00bb size=\u00a0\u00bblg\u00a0\u00bb i_icon_fontawesome=\u00a0\u00bbfa fa-external-link\u00a0\u00bb add_icon=\u00a0\u00bbtrue\u00a0\u00bb link=\u00a0\u00bburl:https%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2492506||target:%20_blank|\u00a0\u00bb css=\u00a0\u00bb.vc_custom_1567606610962{margin-top: 0px !important;margin-bottom: 0px !important;margin-left: 15px !important;padding-top: 0px !important;padding-bottom: 0px !important;}\u00a0\u00bb][\/vc_column_inner][\/vc_row_inner][\/vc_column][\/vc_row]<\/p>\n<\/div>","protected":false},"excerpt":{"rendered":"

[vc_row][vc_column][vc_empty_space height=\u00a0\u00bb35px\u00a0\u00bb][\/vc_column][\/vc_row][vc_row disable_element=\u00a0\u00bbyes\u00a0\u00bb][vc_column][vc_custom_heading text=\u00a0\u00bbStock Picks\u00a0\u00bb font_container=\u00a0\u00bbtag:h1|text_align:center\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbMorbi in sem quis dui placerat ornare. Pellentesque odio nisi, euismod in, pharetra a, ultricies in, diam.\u00a0\u00bb font_container=\u00a0\u00bbtag:div|font_size:17PX|text_align:center|color:%23007925|line_height:20PX\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][\/vc_column][\/vc_row][vc_row [\u2026]<\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-168","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/pages\/168","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/comments?post=168"}],"version-history":[{"count":16,"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/pages\/168\/revisions"}],"predecessor-version":[{"id":383,"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/pages\/168\/revisions\/383"}],"wp:attachment":[{"href":"http:\/\/goyenko.vascoweb.biz\/fr\/wp-json\/wp\/v2\/media?parent=168"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}