PROGRAM

The workshop will consist of invited talks from some of the world’s most prominent researchers in the field, round-table discussions of key questions related to market microstructure in industry, and a poster session designed to provide young researchers with a platform to present and discuss their work.

 

DAY 1 – MONDAY 14 DECEMBER 2015

For members of the World Federation of Exchanges, the Statistics Advisory Group (SAG) annual meeting will take place between 08:00-12:00.

 

MARKET IMPACT

09:00-09:10 Welcome

09:10-10:00 IAN DOMOWITZ (Investment Technology Group, New York): Tales of Liquidity, Cost, and Volatility in the FX Market

10:00-10:50 DOYNE FARMER (University of Oxford): Network Effects and Dynamics of Systemic Risk

10:50-11:20 Coffee Break

11:20-12:10 ROBERT ALMGREN (Quantitative Brokers and NYU): Electronic Trading in US Treasury Market

12:10-13:00 Lunch Break

 

ROUND-TABLE DISCUSSION

13:00-14:30 Are High-Frequency Traders The Last Resort Market Makers?

  • STEPHEN MCGOLDRICK (Director, Market Structure, Deutsche Bank)
  • MARK HEMSLEY (CEO, BATS Chi-X Europe)
  • GRÉGOIRE NAACKE (Head of Operations, World Federation of Exchanges)
  • EDWIN SCHOOLING LATTER (Head of Market Infrastructure & Policy, Financial Conduct Authority)
  • FRANK HATHEWAY (Chief Economist, Nasdaq)

 

OPTIMAL TRADING

14:30-15:20 ALVARO CARTEA (University College London): Foreign Exchange Markets with Last Look

15:20-15:50 Coffee Break

15:50-16:40 UMUT CETIN (London School of Economics): Risk Averse Market Makers and Asymmetric Information

16:40-17:30 RAMA CONT (Imperial College London): Algorithmic Trade Execution and Intraday Market Dynamics

 

DAY 2 – TUESDAY 15 DECEMBER 2015

 

LIMIT ORDER BOOKS AND PRICE FORMATION

09:00-09:50 IOANID ROSU (HEC Paris): Fast and Slow Informed Trading

09:50-10:40 ANDREI KIRILENKO (Imperial College London): Latency and Asset Prices

10:40-11:10 Coffee Break

11:10-12:00 EMMANUEL BACRY (Ecole Polytechnique, Paris): Estimation of Hawkes Kernels of High-Frequency Dynamics

12:00-12:50 LARRY HARRIS (USC Marshall School of Business): Trade-Throughs and Riskless Principal Trading in Corporate Bond Markets

12:50-13:40 Lunch Break

 

POSTER SESSION

13:40-14:40 (London Room)

 

HIGH-FREQUENCY DATA

14:40-15:30 ALBERT KYLE (University of Maryland): Dimensional Analysis and Market Microstructure Invariance

15:30-16:00 Coffee Break

16:00-16:50 JULIEN KOCKELKOREN (CFM, Paris): Market Impact: A Practitioner’s Viewpoint

16:50-17:40 GIUSEPPE DI GRAZIANO (Deutsche Bank and Imperial College, London): Trading: how to stop?

17:40-17:50 Closing Remarks