Second Liverpool Workshop in Option Markets

Join our 'Liverpool Workshop in Option Markets' and discover the latest insights from world-leading experts in option contracts and trading.

Date: Thursday 4 July 2025

Time: 9am-5pm

Place: University of Liverpool Management School - Seminar Room 1

The event

Hosted by the Management School's Accounting and Finance Group, the 'Liverpool Workshop in Option Markets' brings together a number of internationally recognised academics to present their latest papers and discuss the latest research developments in this area.

Option Markets have attracted the attention of investors in recent years due to low-cost electronic trading, improved pricing models and online analysis tools, as well as for offering unique advantages, including portfolio protection and additional income when used prudently.

As the popularity of these derivatives increases, this one-day workshops offers researchers and PhD students specialised in financial markets, a fantastic opportunity to learn about cutting-edge methodologies and network with like-minded individuals.

Programme

Time	Agenda
9:15am	Welcome – Chardin Wese Simen (University of Liverpool)
9:30am	Following the Footprints: Towards a Taxonomy of the Factor Zoo by J. Böll, F. Meng, J. Thimme and M. Uhrig-Homburg Presenter: Julian Thimme (Karlsruhe Institute of Technology) Discussant: Xiao Xiao (Cambridge Judge Business School)
10:15am	Factor Dispersions by D. Gerchik, V. Ruffo, L. Schönleber and G. Vilkov Presenter: Vittorio Ruffo (Frankfurt School of Finance & Management) Discussant: Rodrigo Hizmeri (University of Liverpool)
11:00am	Refreshments Break
11:30am	Dissecting Excess Volatility: The Impact of Intermediary Constraints by T. Gruenthaler and J. Koëter Presenter: Thomas Gruenthaler (Tilburg University) Discussant: Ferenc Horvath (University of Liverpool)
12:15pm	Investor Disagreement in the Options Market by T. Bali, B. Kelly and M. Moerke Presenter: Mathis Moerke (University of St. Gallen) Discussant: Anastasios Kagkadis (University of Liverpool)
1:00pm	Lunch Break
2:00pm	Keynote Speaker: Lucio Sarno (Cambridge Judge Business School) Large Moves in the Foreign Exchange Market
2:45pm	Refreshments Break
3:15pm	From Options to Fractions: The Effects of Fractional Trading on the Options Market by J. A. Crego and P. A. Garcia-Ares Presenter: Julio Crego (Nova School of Business & Economics) Discussant: Arie Gozluklu (Warwick Business School)
4:00pm	The Early Bird Catches the Worm: Evidence from VVIX Intraday Patterns by M. Bevilacqua and R. Hizmeri Presenter: Mattia Bevilacqua (University of Liverpool) Discussant: Ser-huang Poon (Alliance Manchester Business School)
4:45pm	Closing Remarks