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"
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"
14h00 -16h00 POSTER SESSION
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"
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"
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"
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
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"
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?"
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”
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
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
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"
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?"
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"
15h30 - 16h00 Albert MENKVELD, VU University Amsterdam, "A Network Map of Information Percolation"
End of the conference