2014 Session

Monday 8th December 2014

OPENING

MARKET STABILITY
09h00 - 09h45 Robert ENGLE, New York University, "Forecasting Illiquidity"
09h45 - 10h30 Albert MENKVELD, VU University Amsterdam, "Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties"

Coffee Break

11h00 -11h45 Vladimir FILIMONOV, ETH Zurich, "Exogenous versus Endogenous Dynamics in the Price Discovery Process"
11h45 -12h30 Jonathan BROGAARD, University of Washington, "Trading Fast and Slow: Colocation and Liquidity"

Lunch

14h00 -16h00 Poster Session and Information on Market Data

Coffee Break

HIGH FREQUENCY TRADING
16h15 - 17h00 Katya MALINOVA, University of Toronto, "The Impact of High Frequency Traders on Retail and Institutional Traders"
17h00 - 17h45 Yacine AIT-SAHALIA, Princeton University, "Principal Component Analysis of High Frequency Data"
17h45 - 18h30 Mao YE, University of Illinois, "Tick Size Constraints, High-Frequency Trading and Liquidity"

Tuesday 9th December 2014

MARKET IMPACT
09h00 - 09h45 Fabrizio LILLO, Scuola Normale Superiore di Pisa, "Market Impact and Optimal Execution of Large Trades"
09h45 - 10h30 Eric BUDISH, University of Chicago (Booth School of Business), "The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response"

Coffee Break

11h00 - 11h45 Henri WAELBROECK, Portware LLC, "Market Impact and Information of Institutional Metaorders"
11h45 - 12h30 Iacopo MASTROMATTEO, Ecole Polytechnique, "Latent Liquidity Models: An Universal Mechanism for Concave Price Impact"

Lunch

OPTIMAL TRADING
14h15 - 15h00 Nicolae GARLEANU, University of California, "Dynamic Portfolio with Frictions"
15h00 - 15h45 Alvaro CARTEA, UCL London, "Algorithmic Trading Under the Effects of Order Imbalance"

Coffee Break

16h15 - 17h00 Alexander SCHIED, University of Mannheim, "Market Impact Games"
17h00 - 17h45 Olivier GUEANT, Université Paris Diderot, "Optimal Execution Beyond Optimal Liquidation"
 

Wednesday 10th December 2014

LATENCY and VOLATILITY
09h00 - 09h45 Austin GERIG, U.S. Securities and Exchange Commission, “Too Fast or Too slow? Determining the Optimal Speed of Financial Markets”
09h45 - 10h30 Jérôme DUGAST, Banque de France, "Limited Attention and News Arrival in Limit Order Markets"

Coffee Break

11h00 - 11h45 Sasha STOIKOV, Cornell University, "Time is Money: Estimating the Cost of Latency in Trading"
11h45 - 12h30 Mathieu ROSENBAUM, Université Pierre & Marie Curie, "Volatility is Rough"

Lunch

14h00 - 16h00 Roundtable : MARKET DESIGN IN THE 21rst CENTURY
Anthony ATTIA, Euronext Paris
Marcos CARREIRA, HSBC Brazil
Graham DICK, Aquis MTF
Philippe GUILLOT, AMF - Autorité des Marchés Financiers
Remco LENTERMAN, IMC & FIA
Grégoire NAACKE, World Federation of Exchanges

Coffee Break

STATISTICS OF HIGH FREQUENCY DATA
16h15 - 17h00 Torben ANDERSEN, Kellogg School of Management, "Invariance in the Trading Patterns of Equity-Index Futures"
17h00 - 17h45 Nikolaus HAUTSCH, University of Vienna, "Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?"
17h45 - 18h30 Ciamac MOALLEMI, Columbia University, "The Value of Queue Position in a Limit Order Book"

Thursday 11th December 2014

REGULATING HIGH FREQUENCY TRADING
09h00 - 09h45 Sophie MOINAS, Toulouse School of Economics, "Fast Trading and Prop Trading"
09h45 - 10h30 Laurence LESCOURRET, ESSEC, "Liquidity Supply Accross Multiple Trading Venues"

Coffee Break

11h00 - 11h45 Terrence HENDERSHOTT, University of California, "High Frequency Trading and the 2008 Short Sale Ban"
11h45 - 12h30 Charles M. JONES, Columbia Business School, "Potential Pilot Problems"

Lunch

14h00 - 16h00 Roundtable : FOCUS ON PRACTITIONERS VIEWPOINTS
Paul BESSON, Kepler-Cheuvreux
Stéphane TYC, McKay Brothers
Stephen MC GOLDRICK, Deutsche Bank
Robert ALMGREN, Quantitative Brokers and NYU
 

Coffee Break

EMPIRICAL MICROSTRUCTURE
16h15 - 17h00 Jean-Edouard COLLIARD, HEC Paris, "Sand in the Chips? Evidence and Taxing Transactions in Modern Markets"
17h00 - 17h45 Barbara RINDI, Bocconi University, "Tick Size: Theory and Evidence"
17h45 - 18h30 Carole COMERTON-FORDE, University of Melbourne, "Dark Trading and Price Discovery"