Monday, December 6th 2010
Poster Session
Chair: Mathieu ROSENBAUM, Ecole Polytechnique
Selected posters:
- A comparison of Realised Variance Decomposition Methods for Foreign Exchange Rate Markets - Wu Shiau-Shu, University of Essex
- Skewness from High-Frequency Data Predicts the Cross-Section of Stock Returns - Amaya Diego , HEC Montreal
- Disentangling crashes from tail events - Aboura Sofiane , Paris Dauphine
- Inside the Black Box: Why are Orders Flow models of Exchange Rate more competitive than Tradiotional Models of Exchange Rate? - Di Filippo Gabriele , Université Paris IX Dauphine
- Rational Herding in Financial Markets - Chen Gongyu, University of Cambridge
- Cojumping: Evidence from the US Treasury Bond and Futures Markets - Hvozdyk Lyudmyla, Centre for Financial Analysis and Policy, Judge Business School, Cambridge
- Optimal Execution Size in Algorithmic Trading - Kumar Pankaj , IGIDR, Mumbai, India
- Transaction Taxes in a Price Maker/Taker Market - Thomas Nordia , University of Illinois at Chicago
- Informed Trading in the Euro Money Market for Term Lending - Marzo Massimiliano , University of Bologna
- Optimal order execution with dark pools - Klock Florian, Mannheim University
- Securities market structure, trading fees and investor’s welfare - Colliard Jean-Edouard , ENS
- The nature of price returns during periods of high market activity - Al Dayri K, Ecole Polytechnique
- What is Ramdom in Financial Markets? - Mastromatteo Iacopo, SISSA
- A mathematical approach to order book modelling - Jedidi Aymen , Ecole Centrale Paris
- Optimal trading algorithms and selfsimilar processes: a p-varaiation approach - Labadie Mauricio, Paris VI et CAMS EHESS
- Running for the exit: feedbacks effects and endogenous correlation - Wagalath Lakshithe, UPMC
- Price jump detection in an open limit order book - ZHENG Ban, Ecole Centrale Paris
- Trade throughs: empirical facts and application to lead-lag measure - POMPIONO Fabrizio , Ecole Centrale Paris
- Joint dynamics of equity and option markets: an empirical investigation - ZAATOUR Riadh , Ecole Centrale Paris
Tuesday, December 7th 2010
Workshop: New trends and challenges in market structures
Chair: Thierry FOUCALT, HEC
Topics
- Competition between trading platforms
- Market fragmentation
- High frequency trading
- Market transparency
Wednesday, December 8th 2010
Workshop: Towards better answers to industrial needs: from performance analysis to optimal high frequency trading
Chair: Charles-Albert LEHALLE, Crédit Agricole Cheuvreux
Topics
- Pre trade analysis, Large portfolio monitoring and post trade analysis
- Transaction Cost Analysis
- Optimal Scheduling in practice
- Optimal liquidity seeking across visible and anonymous pools
Thursday, December 9th 2010
Workshop: High Frequency Data
Chair: Frédéric ABERGEL, Ecole Centrale Paris
Topics
- data management and storage
- timestamping
- from micro to macro
- simulation tools