2016 Session

Tuesday 6th December 2016

NEW MARKET STRUCTURES, NEW QUESTIONS
9h00 - 9h45   Opening talk: Larry HARRIS, University of Southern California, "Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets"
9h45 - 10h30 Haoxiang ZHU, Massachusetts Institute of Technology (MIT), "Welfare and Optimal Trading Frequency in Dynamic Double Auctions"

Coffee Break

11h00 -11h45 Clara VEGA, US Fed, “Unintended Consequences of Market Structure Changes” 
11h45 -12h30 Olivier GUÉANT, ENSAE and Université Paris 1, "The Behavior of Dealers and Clients on the European Corporate Bond Market: the Case of Multi-Dealer-to-Client Platforms"

Lunch Time

14h00 -16h00 POSTER SESSION

Coffee Break

INFORMATION, INVENTORIES EFFECTS AND FAST TRADING
16h30 - 17h15 Pamela MOULTON, Cornell University, "Earnings Announcements and Attention Effects in a High-Frequency World"
17h15 - 18h00 Brian WELLER, Duke University, "Measuring Tail Risks at High Frequency"
18h00 - 18h45 Johannes MUHLE-KARBE, University of Michigan, "Information and Inventories in High-Frequency Trading"

Wednesday 7th December 2016

STATISTICS OF ORDERBOOKS
09h00 - 09h45 Takaki HAYASHI, Keio University, "A Multiresolution Approach to High-Frequency Lead-Lag Analysis"
09h45 - 10h30 Mike LUDKOVSKI, University of California Santa Barbara, "Order Flows and Liquidity at the Meso-Scale"

Coffee Break

11h00 - 11h45 Ioane MUNI TOKE, CentraleSupélec, "High-Frequency Estimation and Modeling of Order Flows in a Limit Order Book"
11h45 - 12h30 Thomas GUHR, Universität Duisburg-Essen, "Price Response in Correlated Financial Markets"

Lunch Time

14h00 - 16h00 ROUNDTABLE: FORESEEING NEW FIXED INCOME MARKETS
Robert ALMGREN, Quantitative Brokers
Philippe GUILLOT, Autorité des Marchés Financiers
Gherardo LENTI CAPODURI, Banca IMI (Italy)
Nathalie MASSET, Euronext

Coffee Break

MARKET MAKING and MARKET IMPACT
16h30 - 17h15 Umut CETIN, London School of Economics, "Markovian Nash Equilibrium in Financial Markets with Asymmetric Information"
17h15 - 18h00 Bart YUESHEN, INSEAD, "Uncertain Market Making"
18h00 - 18h45 Sebastian JAIMUNGAL, University of Toronto, "Algorithmic Trading with Partial Information and Learning"

Thursday 8th December 2016

MARKET STABILITY
09h00 - 09h45 Khalil DAYRI, Bloomberg, "How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program"
09h45 - 10h30 Mark VAN ACHTER, Erasmus University Rotterdam, "Trading Speed Competition: Can the Arms Race Go Too Far?"

Coffee Break

11h00 - 11h45 Felix PATZELT, Capital Fund Management (CFM), "Instability from Information Efficiency"
11h45 - 12h30 Ryan RIORDAN, Queen's University, "High-Frequency Trading and Extreme Price Movements”

Lunch Time

14h00 - 16h00 ROUNDTABLE: ARE BUY SIDE THE NEW LIQUIDITY PROVIDERS?
Nej DJELAL, Barclays
Zoltan EISLER, Capital Fund Management (CFM)
Nicolas MEGARBANE, Autorité des Marchés Financiers (AMF)
Yazid SHARAIHA, Norges Bank Investment Management

Coffee Break

EMPIRICAL MICROSTRUCTURE
16h30- 17h15 Anna OBIZHAEVA, New Economic School, "Dimensional Analysis and Market Microstructure Invariance"
17h15 - 18h00 Michael BENZAQUEN, Capital Fund Management (CFM), "Dissecting Cross-Impact on Stock Markets: An Empirical Analysis"
18h00 - 18h45 Fabrizio LILLO, Scuola Normale Superiore di Pisa, "Detection of Intensity Bursts Using Hawkes Processes: an Application to High Frequency Financial Data"

SPEAKERS DINNER (by invitation only)
Talk: Donald McKENZIE, University of Edinburgh

Friday 9th December 2016

OPTIMAL TRADING and ORDERBOOK DYNAMICS
09h00 - 09h45 Aurélien ALFONSI, Ecole Nationale des Ponts et Chaussées, "Optimal Execution in a Hawkes Price Model and Calibration"
09h45 - 10h30 Rama CONT, Imperial College, London, "High Frequency Dynamics of Limit Order Markets"

Coffee Break

11h00 - 11h45 Paul BESSON, Kepler Cheuvreux, "To Cross or not to Cross the Spread: That is the Question!"
11h45 - 12h30 Henri WAELBROECK, Portware LLC,"How the Market Digests Earnings Announcements: can we Reconcile Options Prices, Fat-Tailed Earnings Shocks and Fair Pricing of Institutional Metaorders?"

Lunch Time

UNDERSTANDING TRADING STRATEGIES
14h00 - 14h45 Sophie MOINAS, Toulouse School of Economics, "The Role of Pre-Opening Mechanisms in Fragmented Markets"
14h45 - 15h30 Matthew BARON, Cornell University, "Risk and Return in High-Frequency Trading"

CLOSING TALK
15h30 - 16h00 Albert MENKVELD, VU University Amsterdam, "A Network Map of Information Percolation"

End of the conference