Geometrie et Analyse sur des Espaces Singuliers

Krzysztof Kurdyka

Description

Niveau: Supérieur, Master, Bac+5
Geometrie et Analyse sur des Espaces Singuliers Lille / 26–28 mai 2005 Salle de Reunions – Batiment M2 Jeudi 26 9:30-10:00 Accueil et cafe 10:00-11:00 K. Kurdyka 11:15-12:15 D. D'Acunto 14:00-15:00 V. Grandjean 15:15-16:15 L. Gavrilov 16:15-17:00 Pause cafe 17:00-18:00 Nguyen Tien Zung 18:15- · · · Cocktail Vendredi 27 9:00-9:50 G. Capitanio 10:00-11:00 R. Soufflet 11:00-11:15 Pause cafe 11:15-12:15 J.N. Damon 14:00-15:00 J. Schurmann 15:15-16:15 H. Hamm 16:15-17:00 Pause cafe 17:00-18:00 R. Uribe-Vargas Samedi 28 9:00-10:00 J.-M. Lion 10:00-10:15 Pause 10:15-11:15 G. Comte 11:30-12:30 J.N. Damon Fin Gianmarco CAPITANIO (Paris VII), Singularites d'enveloppes et familles tangentielles Une famille tangentielle est une famille de courbes emanees tangentiellement par une autre courbe.

• validite du theoreme de zariski-lefschetz pour les varietes projectives


• polynome de rn de degre


• restriction aux arcs analytiques


• borne pour l'exposant de lojasiewicz apparaissant dans l'inegalite du gradient


• analyticite en restriction


• inegalite du gradient de lojasiewicz effective

Sujets

• Schürmann
• Soufflet
• Picard
• Grandjean

Informations

• Publié par: rasum
• Publié le: 01 mai 2005
• Nombre de lectures: 31
• Langue: Français
• Poids de l'ouvrage: 1 Mo

Extrait

January 27, 20

8.30-9.00 

9.00-11.00   

     

     

        11.00-11.30 

11.30-12.30         

12.30-14.00 

14.00-1.00                      1.00-1.30 

1.30-1.0                  18.00-19.00       

Registration

Groupement d’intérêt Scientifique ENSAE - HEC - X

The 3 rd Annual Conference on Hedge Funds “Market intermediaries, financial markets, and the real economy”

Paris - January 27 th - 28 th , 20

Organizers: erge arolles yor A and CT Christian ouriérou CT and niersity of Toronto aid Thesar HC Paris

Session 1: Equities and Leverage Chair: R. Sadka (Boston College) T. Adrian (Federal Reserve Bank of New York), E. Etula (Federal Reserve Bank of New York), . uir (Northwestern niversit) Broker-Dealer Leverage and the Cross-Section of Stock Returns isussant: . ilson (niversit of ford)

. ng (Coluia niversit),S. Gorovyy (Columbia niversiy), S. an nwegen (v sset anageent) Hedge Fund Leverage isussant: R. Savona (niversit of Bresia)

. Benavid (hio State niversit), F. Franoni (niversit of ugano),A. andier (Toulouse Sool of onomis), R. oussawi (niversit of ennslvania) Stock Price Manipulation b Hedge Funds isussant: .ero (Evr niversit and CRES) eaCoffee

Keynote Speaker Chair: . Cordell (NYSE iffe)   . Aarya (New York niversiy) Sovereign Credit Risk

unh

Session 2: arkets and oatiity Chair: C.ourierou (niversit of oronto and CRES) T. Ramadorai (niversiy of ford) nvestor nterest and Hedge Fund Returns isussant: . oert (EC aris) B. ovanovi (New York niversit),A. enkveld ( niversiy Amserdam) Middleen in Liit-rder Markets isussant: . e Fol (auhine niversit and CRES) N. ang (Boston College), . ondor (Central Euroe niversit),R. Sadka (Boson Collee) diosncratic Return olatilit in the Cross-Section of Stocks isussant: R. aria (EEC) eaCoffee

Session 3: noration rodution and edge unds Chair: R. aria (EEC)   R. Sadka (Boston College),G. ik (C) Media and nvestent Manageent isussant: C. érignon (EC aris) S. Chung (Singaore anageent niversit),. Teo (Sinaore anaemen niversiy) Hedge Funds and nalst ptiis isussant: . eilethe (oard dier) Keynote Speaker Chair: : Seer (or ) Supported by . . Bouaud (Caial Fund anaemen)

January 28, 20

Groupement d’intérêt Scientifique ENSAE - HEC - X

9.00-11.00 Session 4: edge und isk and Surviva  Chair: . outain (oods)  N. Bollen (anderbil niversiy)  Hedge Fund R hat’s under the Hood  isussant: . ui (Erasus niversit Rotterda)  . ragon (riona State niversit),. Nanda (Georia Te niversiy)  n ournaent Behavior in Hedge Funds High ater Marks Fund Liuidation and the Backfilling Bias  isussant: . Nag (niversit of Neuhâtel)  S. arolles (or  and CRES), . agliardini (Swiss Finane nstitute and niversit of ugano),C. Gourierou (niversiy of Torono and CRST)  Survival of Hedge Funds Frailt vs Contagion  isussant: . Sion (Caital Fund anageent)

11.00-11.30 

11.30-12.0         

     

12.0-14.00 

14.00-1.00               

     

         

 

eaCoffee

Session : unds o edge unds Chair: S. arolles (or  and CRES) . Billio (niversiy of enie), . ao (niversit of oronto), . elion (niversit of enie) Hedge Funds ail Risk and Marginal Risk Contribution in Fund of Hedge Funds isussant: .. Feranian (ENSE and CRES) G. Crion (ombard dier), . Saillet (Swiss Finane nstitute at ECniversit of eneva) nsupervised Risk Factor Clustering  Construction Fraeork for Funds of Hedge Funds isussant: R. ouad (Riskdata)

unh

Session : Liquidity and te inania risis Chair: . hesar (EC aris) C. Cao (enn Sae niversiy)iang (niversit of assahusetts at herst), . o ( Sloan Shool of anageent), Y. Chen (irginia eh niversit), B. Can Hedge Funds ie Market Liuidit isussant: . oenväärä (niversit of ulu) C. Chua (Singaore anageent niversit),. au (NSA and CR), S. ai (Singaore anageent niversit) Role of uit Funds in the Financial Crisis Propagation isussant: . Siegann ( niversit sterda) C. Cella (Stokhol Shool of Eonois), . Ellul (ndiana niversit),. Gianei (Sokolm Sool of onomis CR and CG) nvestors’ Horions and the plification of Market Shocks isussant: . seselidakis (oethe niversit Frankfurt)

Scientific Committee: . Brav (uke niversit), S. arolles (or  and CRES), . oldstein (harton Shool), C. ourierou (niversit of oronto and CRES), . atton (uke niversit), R. Sadka (Boston College), . hesar (EC aris).

he udated rogra is availale on the CRES wesite:thr.rest.ft:www

Supported by

ATACT Adrian, Etula and uir  ‘Leverage and the Cross-Section of Stock ReturnsBroker-Dealer ’ e find that a stoks’ eeted returns is largel elained  its ovariane with rokerdealer leverage. ur single leverage fator odel oetes with standard ultifator odels on the  sie and ooktoarket ortfolios and outerfors suh odels when onsidering the industr and oentu ortfolios. e show how to tie leverage to the first order onditions of ative investors’ ortfolio hoie role and derive leverage as a state variale in an C fraework. ng,Gorovyyand van nwegen  ‘Hedge Fund Leverage’ e investigate the leverage of hedge funds using oth tieseries and rosssetional analsis. edge fund leverage is ounterlial to the leverage of listed finanial interediaries and dereases rior to the start of the finanial risis in id. edge fund leverage is lowest in earl  when the leverage of investent anks is highest. Changes in hedge fund leverage tend to e ore reditale  eonowide fators than  fundseifi harateristis. n artiular, dereases in funding osts and inreases in arket values foreast inreases in hedge fund leverage. ereases in fund return volatilities also inrease leverage. Benavid, Franoni,Landierand oussawi  ‘Stock Price Manipulation b Hedge Funds’ e find evidene for signifiant rie aniulation at the stok arket  hedge funds. e douent that stoks that are held  hedge funds eeriene anoral returns at the end of the onth (tie at whih hedge funds reort to investors), and a reversal in the following da. sing intrada data, we trae anoral uing ativit in these stoks ust efore the ell. e douent siilar atterns, although soewhat weaker, in short selling ativit. Finall, we reort that investors do not distinguish etween real returns and aniulated ones. Ramadorai ‘nvestor nterest and Hedge Fund Returns’ Eloing a new dataset of over , eressed deands for over  hedge funds fro a seondar arket for hedge funds, this aer finds evidene that hedge fund investors rationall antiiate future hedge fund erforane. Both deand and sul indiations of interest arrive following eriods of fund outerforane. eand (sul) indiations foreast inreases (dereases) in strategadusted hedge fund returns over the suseuent ear, and large dollaraount indiations are etter foreasters than salldollar aount indiations. ndiationased aital alloation strategies are otentiall useful to realworld investors: the ield high alhas when ileented using alendartie ortfolios. ovanovi andenved  Middleen in Liit-rder Markets’ ‘   liitorder arket enales an earl investor to trade with a late investor. But, uli news in the interarrival eriod reates adverseseletion ost and haers trade.  high freuen trader (F) ight restore trade through its uniue ailit to uikl udate its uote on news arrival. But, F entr ight in itself worsen adverse seletion if seed is used to adversel selet investors’ uotes. his aer studies F entr oth theoretiall and eiriall. he entr of an Ffriendl new arket is used as an instruent. iddleen arrival oinides with a  redution in the idask sread and a  dro in volue. ang, ondor andSada ‘diosncratic Return olatilit in the Cross-Section of Stocks’ his aer unovers tie trends of idiosnrati volatilit in the rosssetion of stoks over the eriod . ighidiosnrati volatilit stoks have eoe ore volatile over tie while lowidiosnrati volatilit stoks have eoe less volatile, relative to total arket idiosnrati volatilit. he trends are roust to industr, liuidit, and sie, as well as sign of rie hange. e test whether atterns in idiosnrati ashflow volatilit, hedgefund assets under anageent, and overall institutional ownershi an elain the effet. he uward trend in highidiosnrati volatilit an e elained  the inrease in idiosnrati ashflow volatilit, while the downward trend in lowidiosnrati volatilit an e attriuted to ongShortEuit hedgefund ativit. here is soe evidene that ongShortEuit funds at as liuidit deanders while nonongShortEuit funds and other institutions at as liuidit roviders. iand Sadka  ‘Media and nvestent Manageent’ e lassif news ites aout euit hedge funds over  into three soure grous: eneral newsaers, Seialied againes, and Cororate Couniation. ling a tetual analsis to news ites, we unover three tes of edia iases. First, a reorting stle ias, that is, when a fund is overed  ultile soures at the sae tie, the sentient is ost ositive in Cororate overage and least in eneral overage. he differenes in soure sentient are ore signifiant in ases of elusive overage, indiating a seond ias, editorial seletion. Finall, eaining ostoverage erforane, we douent that Cororateovered funds outerfor and eneralovered funds undererfor, with a erfor ane differene of aout  annuall. his result suggests a ontent ias, onsistent with fund anagers resenting onservative foreasts, while reorters resent relativel ore lenient views. owever, investor fund flow does not reat to this inforation, whih suggests that investors do not see to eloit valuale inforation eedded in edia overage.

Chung andeo ‘Hedge Funds and nalst ptiis’ his stud elores the relationshi etween hedge fund euit holdings and sellside analst reoendations. e find that analsts are ore likel to issue favorale reoen dations for stoks redoinantl owned hedge funds. oreover, these otiisti reoendations translate into oorer stok erforane over the net three to si onths. edge funds take advantage of these flattering reorts  onurrentl offloading their stok holdings. he findings are stronger for seasoned analsts and for high dollar turnover hedge funds. ur results suggest that analsts are relutant to downgrade stoks held  their ost iortant lients. oen ‘Hedge Fund R hat’s under the Hood’ Returns of individual hedge funds generall feature low orrelation with oth risk fators and stle fators, onsistent with the goal of offering an alternative investent. e identif “low R” hedge funds for whih the otial fator odel R is insignifiantl different fro ero. hen live funds are sorted ased on alha, over  of the to deile onsists of low R funds.  roortional haard rate odel indiates that low R funds feature an inreased roailit of suseuent fund failure. hese results indiate that low R funds a ose an iortant risk to investors who selet funds ased on rior erforane. ragon andNanda ‘n ournaent Behavior in Hedge Funds High ater Marks Fund Liuidation and the Backfilling Bias’ e anale risk shifting  oorl erforing hedge funds  and test reditions on the etent to whih risk hoies are related to the fund’s inentive ontrat, risk of fund losure and disseination of erforane inforation. Consistent with theoretial arguents, we find that the roensit for losing funds to inrease risk is signifiantl weaker aong those that tie the anager’s inentive a to the fund’s highwater ark ()  suggesting a ossile enefit fro suh inentive strutures  and aong funds that fae little iediate risk of liuidation. Risk shifting ehavior is affeted  oth asolute and relative fund erforane and is found to e ore revalent in the akfilled eriod, when soe funds a e at an inuation stage. verall, the oination of fators suh as highwater ark rovisions, low risk of fund losure and the reorting of erforane to a dataase aear to ake oorl erforing funds ore onservative with regard to riskshifting. arolles, agliardini andGourierou ‘Survival of Hedge Funds Frailt vs Contagion’ he rather short lifeties of a aorit of hedge funds and the reasons of their liuidation elain the interest of investors and aadeis in hedge fund survival analsis. n this aer we are interested in the deendene etween liuidation risks of individual hedge funds. his deendene an result fro oon eogenous shoks (frailt) or e due to ontagion henoena when an endogenous ehaviour of a fund anager iats the Net sset alues of other funds. e introdue dnai odels ale to distinguish etween frailt and ontagion henoena, and to test for the resene and agnitude of suh deendene effets, aording to the age, anageent stle, registration ountr of the fund. iio, ao and elion  ‘Hedge Funds ail Risk and Marginal Risk Contribution in Fund of Hedge Funds’ his aer studies hedge fund tail risk fro the investor oint of view, ore seifiall for funds of hedge funds. s funds of hedge funds riaril invest in hedge funds, we develo a risk anageent tehniue that atures the risk eosure of the individual hedge fund strategies and the tails risk ontriution of these hedge fund strategies toward the overall ortfolio risk, seiall in light of the  and  rises. e show that, ostl during risis, there is no sae to hide, all the different hedge fund strategies are ontriuting to the tail risk of the ortfolio of hedge funds, ostl eause of the eosure hedge fund strategies fae to liuidit and redit risk. Even the dediated short ias strateg is ontriuting to tail risk rather than reduing it during risis.

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Critonand Saillet  ‘Risk Factor Clustering  Construction Fraeork for Funds of Hedge Fundsnsupervised ’ e suggest to lassif edge Funds ased on risks instead of returns. e use a ultifator odel and otain a set of estiated eta. hen, we al a lustering aroah to irove on edge Fund lassifiation. e show that our ethodolog outerfor standard lassifiation ased on returns. Sine edge Funds are often arket neutral, we assess the luster risk  aling the ethodolog of atton and sine the erforane of a edge Fund is related to “alha», we assess the erforane of our luster  aling the False isover Rate aroah of Barras, Saillet and erers. ith these ethodologies, we uild of Funds of edge Funds whih are ver erforative with a liited risk eosure. e show that the risk oniresent in edge Funds is harateried  the interest rate risk and the redit sread risk. oreover we show that the ost aggressive lusters otained a igger roortion of true alha. ur reliinar results show that hedge funds aear to onsue liuidit rather than to rovide liuidit. t ties of low liuidit in the arket, hedge funds redue their euit holdings, and in artiular in illiuid stoks. his result is roust to liuidit definitions, oth at the arket level and at the stok level.

Cao, Chen, iang and o  ‘Can Hedge Funds ie Market Liuidit’ his aer eaines how hedge funds anage their arket risk  resonding to hanges in aggregate liuidit onditions. sing a large sale of euitoriented hedge funds during the eriod of –, we find strong evidene that hedgefund anagers ossess the ailit to tie arket liuidit at oth the stle ategor level and the individual fund level. he inrease (derease) their ortfolios’ arket eosure when euitarket liuidit is high (low). his liuidit tiing ailit is asetri, and deends on arket liuidit onditions: hedge funds redue their ortfolios’ arket eosure signifiantl when arket liuidit is etreel low, ut the do not inrease their arket eosure when arket liuidit is unusuall high. Finall, we find that investing in to liuidit tiing funds an generate eonoiall signifiant rofits. ur results ersist after ontrolling for alternative enhark odels, various data iases, and returntiing and volatilittiing ailities.

Chua,Hauand ai  ‘uit Funds in the Financial Crisis PropagationRole of ’ he earl stage of the reent finanial risis was arked  large value losses for ank stoks. his aer identifies euit funds ost affeted  this valuation shok and eaines its onseuenes for nonfinanial stoks owned  the sae funds. e find that stoks with a large ownershi share  eosed funds eeriened onsideral lower risis returns relative oarale stoks in the sae industr and ountr. Based on a orehensive gloal fund level holding data, we also show that the risis was roagated to nonfinanial stoks through euit fire sales  the ost ank eosed euit funds. owever, noneosed euit funds ontriuted to finanial stailit as stoks with a large share of fund owners generall erfored uh etter throughout the risis.

Cella, Ellul andGiannetti ‘nvestors’ Horions and the plification of Market Shocks’ fter negative shoks, investors with short trading horions are inlined or fored to sell their holdings to a larger etent than investors with longer trading horions. his a alif the effets of arketwide shoks on stok ries. e test the relevane of this ehanis  eloiting the negative shok aused  ehan Brothers’ ankrut in Seteer . Consistent with our oneture, we find that shortter investors sell signifiantl ore than longter investors around and after the ehan Brothers’ ankrut. ost iortantl, we show that stoks held  short ter institutional investors eeriene ore severe rie dros and larger rie reversals than those held  longter investors. Sine the are otained after ontrolling for the stoks’ eosure to volatilit, various firs’ and investors’ harateristis, inluding the oentu effet or the roensit of institutional investors to follow an inde, our results annot e elained  harateristis of the institutions’ investent stles other than their investent horions. e also show that the effet of shareholder trading horion eerges during other large arket delines. verall, the eirial evidene strongl indiates that investors’ short horions alif the effets of arketwide negative shoks.

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