Talks

• Welcome Address
  Jean-Philippe BOUCHAUD, Capital Fund Management

Market Design, Limit Order Books and Regulation

• Opening Lecture - Rational Expectations and Market Microstructure, a Primer
  Pete KYLE, University of Maryland
• Closing lecture - Equity Trading in the 21st Century
  Lawrence HARRIS, University of Southern California
• Algorithmic Trading - Biais
  Bruno BIAIS, Toulouse School of Economics
• What We Know about Short Sales
  Charles JONES, Columbia University
• Limit Order Markets: an Economic Perspective
  Christine PARLOUR, UC Berkeley
• Liquidity and Information in Order Driven Markets
  Ioanid ROSU, University of Chicago
• Estimating Models of Limit Order Markets
  Patrick SANDAS, University of Virginia

Analysis of High Frequency Data

• Microstructure Noise and Epps Effect: a Point Process Approach
  Emmanuel BACRY, Ecole Polytechnique
• Econometrics of Limit Order Book Markets
  Nikolaus HAUTSCH, HU-Berlin. School of Business and Economics
• Linking Price Volatility with Order Book Events: Diffusion Asymptotics
  Rama CONT, CNRS & Columbia University

Statistics of High Frequency Data

• Volatility Estimation with High-Frequency Data: Three Approaches and Three Horizonst
  Eric RENAULT, University of North Carolina
• Forecasting Volatility by Using High Frequency Data
  Nour MEDDAHI, Toulouse School of Economics
• Some Recent Results on High-Frequency Statistics, when Jumps are Present (I)
  Jean JACOD, University Paris 6
• Some Recent Results on High-Frequency Statistics, when Jumps are Present (II)
  Yacine AIT SAHALIA, Princeton University
• Between Data Cleaning and Inference Preaveraging and Robust Estimators of the Efficient Price
  Per MYKLAND, Oxford University and University of Chicago
• Quasi-likelihood Analysis and Limit Theorems for Stochastic Differential Equations
  Nakahiro YOSHIDA, University of Tokyo

Market Impact

• Price pressures
  Terrence HENDERSCHOTT, UC Berkeley
• Market impact in models of the order book
  Jim GATHERAL, City University of New York
• Dynamical Aspects of Price Impact: Resiliency and Liquidity Fluctuations
  Bernd ROSENOW, Koln University
• The Price Impact of Order Book Events
  Zoltan EISLER, Capital Fund Management
• On the origin of different types
  Fabrizio LILLO, University of Palermo and Santa Fe institute
• An Empirical Study into the Temporal Structure of Market Impact
  WESTRAY, Deutsche Bank
• Evidence of Collective Trader Optimizing Behaviour from Brokering Data
  Damien CHALLET, Fribourg University
• Liquidity, Long-Memory and Market Impact
  Doyne FARMER, Sante Fe Institute

Optimal Trading

• Electronic Markets and High Frequency trading: Same Wine in New Jars?
  Albert MENKVELD, Vrije Universiteit, Amsterdam
• Empirical Limitations on High Frequency Trading Profitability
  Michael KEARNS, University of Pennsylvania & SAC Capital
• Liquidity Dynamics and Optimal Trading Strategies
  Jiang WANG, MIT Sloan School of Management
• Optimal Execution in the Presence of Hidden Order Arbitrage
  Henry WAELBROUCK, Pipeline Financial Group, Inc
• Heterogeneous Expectations and Behavioral Rationality Some Evidence from the Lab
  Cars HOMMES, Amsterdam University
• Special Microstructural Features of Interest Rate Futures
  Robert ALMGREN, Quantitative Brokers and New York University

Working Sessions

• Poster Session
  Chair: Mathieu ROSENBAUM, Ecole Polytechnique
• Workshop: New trends and challenges in market structures
  Chair: Thierry FOUCAULT, HEC
• Workshop: Towards better answers to industrial needs: from performance analysis to optimal high frequency trading
  Chair: Charles-Albert LEHALLE, Crédit Agricole Cheuvreux
• Workshop: High frequency data
  Chair: Frédéric ABERGEL, Ecole Centrale Paris