Program

Wednesday 5th December 2018

MARKET DESIGN
9h00 - 9h45   Evangelos BENOS, Bank of England, "Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act"
9h45 - 10h30 Anders TROLLE, HEC Paris, "Market Structure and Transaction Costs of Index CDSs"

10h30 - 11h00
Coffee Break

11h00 -11h45 Thibaut MASTROLIA, Ecole polytechnique, “Optimal Make-Take Fees for Market Making Regulation” 
11h45 -12h30 Joshua MOLLNER, Northwestern University, "Trading in Fragmented Markets"

12h30 - 13h30
Lunch Break

13h30 -15h00 POSTER SESSION

15h00 - 15h30
Coffee Break

OPTIMAL TRADING
15h30 - 16h15 Agostino CAPPONI, Columbia University, "The Term Structure of Liquidity: a Liquidation Game Approach"
16h15 - 17h00 Hedi BENAMAR, Federal Reserve Board, "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News"
17h00 - 17h45 Alvaro CARTEA, University of Oxford, "The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets"

Thursday 6th December 2018

HIGH FREQUENCY DATA
9h00 - 9h45   Ernst SCHAUMBURG, AQR Capital Management, “High-Frequency Cross-Market Trading: Model Free Measurement and Applications” 
9h45 - 10h30 Othmane MOUNJID, Ecole polytechnique, "A Ranking Methodology for Market Making Activity"

10h30 - 11h00
Coffee Break

11h00 -11h45 Marcello RAMBALDI, Capital Fund Management and Université Paris-Dauphine, PSL, "Disentangling and Quantifying Market Participant Volatility Contributions"
11h45 -12h30 Xiaofei LU, BNP Paribas, "Order Book Modelling and Market Making Strategies"

12h30 - 14h00
Lunch Break

ROUNDTABLE
14h00 -15h15 Will Artificial Intelligence and Machine Learning Change the Market Structure?

15h15 - 15h45
Coffee Break

MARKET IMPACT
15h45 - 16h30 Michael BENZAQUEN, Ecole polytechnique, "Price Formation in Financial Markets, Insights from Agent-based Latent Order Book Models"
16h30 - 17h15 Zoltan EISLER, Capital Fund Management, "Co-impact: Crowding Effects in Institutional Trading Activity"
17h15 - 18h00 Julius BONART, Imperial College Business School, "Is There an Optimal Tick Size? Some Evidence From High-Frequency Data"

Friday 7th December 2018

MICROSTRUCTURE TO MACROSTRUCTURE
9h00 - 9h45   Torben ANDERSEN, Northwestern University, "Intraday Trading Invariance in FX Futures"
9h45 - 10h30 Luis GARCIA DEL MOLINO, Capital Fund Management, "The Multivariate Kyle Model and Cross-Impact Estimation"

10h30 - 11h00
Coffee Break

11h00 -11h45 Ulrich HORST, Humboldt Universität, "Implementing Portfolio Liquidation Models"
11h45 -12h30 Paul JUSSELIN, Ecole polytechnique, "No-Arbitrage Implies Power Law Market Impact and Rough Volatility"

12h30 - 14h00
Lunch Break

ELECTRONIC MARKETS
14h00 -14h45 Francis BREEDON, Bank of England, "Judgement Day: Algorithmic  Trading Around the Swiss Franc Cap Removal"
14h45 -15h30 Filip ZIKES, Federal Reserve Board, "What Do Low-Frequency Measures of Transaction Costs Really Measure? Evidence from Equity and FX Markets"

15h30 - 16h00
Coffee Break

16h00 - 16h45 Paul BESSON, Kepler-Cheuvreux, "The Rise of Periodic Auctions in Europe"
16h45 - 17h30 Jonathan BROGAARD, University of Utah, "What Moves Stock Prices? The Role of News, Noise, and Information"

17h30
End of the Market  Microstructure 2018