Futures market liquidity and the trading cost of trend following strategies

Charles Chevalier and Serge Darolles
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Charles Chevalier: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: The 38th International Conference of the French Finance Association (AFFI) will be held at Saint-Malo on May 23-25, 2022. The conference will be jointly organized by Université de Rennes 1 (CREM & IGR – IAE Rennes) and Rennes School of Business.After the COVID19 episode, the conference is planned to be organized in-person at "Le Palais du Grand Large" in Saint-Malo, Brittany, France. Saint-Malo is a very famous corsair city in France situated near the Mont-Saint-Michel - an UNESCO world heritage.Members and Friends of the French Finance Association are invited to participate in this 2022 International AFFI Conference. Interested scholars and practitioners are welcome to submit papers in all areas of Finance and/or to participate in the discussion of the latest theoretical and empirical research. This conference offers a forum for exchanging on important research topics, networking and advancing knowledge.The International AFFI Conference is one of the main European conferences in Finance. The event typically brings together scholars and experts specialized in finance in a broad sense as well as, where relevant, other disciplines concerned with financial topics and issues. The conference welcomes central bankers and aims to attract practitioners and policy makers interested in the field of finance.The conference includes, on the May 25, 2022, a PhD workshop for doctoral students engaged in financial research.

Date: 2022-05
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Published in 38th International Conference of the French Finance Association (AFFI), May 2022, Saint Malo, France

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