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, "Title TBC"


10h30 - 11h00
Coffee Break


11h00 -11h45 Omar EL EUCH, 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, Federal Reserve Board, “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, Ecole polytechnique, "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 BENZAQUEM, 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, Xxxxx, "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 Misako TAKAYASU, Tokyo Institute of Technology, "Order-Book Trading Data Analysis and Modeling Dealers' Strategies"


10h30 - 11h00
Coffee Break


11h00 -11h45 Ulrich HORST, Humboldt Universität, "Title TBC"
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, Banque 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-Chevreux, "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