Program
Thursday, December 12
08:55 – 9:00 Welcome Note
09:00 – 09:45 Roel Oomen (Deutsche Bank)
"The Practice of Electronic Trading in OTC Markets"
09:45 – 10:30 Stefan Zohren (University of Oxford)
"Deep Learning Applied to Limit Order Book Data"
10:30 – 11:00 Coffee Break
11:00 – 11:45 Yajun Wang (Baruch College)
11:45 – 12:30 Sergey Nadtochiy (Illinois Institute of Technology)
"Explaining the Nonlinear Price Impact"
12:30 – 14:00 Lunch and Poster Presentations
14:00 – 14:45 Pierre Collin-Dufresne (EPF Lausanne)
"Liquidity, Volume, and Volatility"
14:45 – 15:30 Panel Discussion "AI Ethics and Interpretability in Finance" :
Hanna Assayag (HSBC)
Tomaso Aste (UCL), Moderator
Paris Pennesi (HSBC)
Kimmo Soramäki (Financial Network Analytics)
James Tromans (Google)
Stefan Zohren (University of Oxford)
15:30 – 16:00 Coffee Break
16:00 – 16:45 Albina Danilova (London School of Economics)
"Risk Aversion of Market Makers and Asymmetric Information"
16:45 – 17:30 Emiliano Pagnotta (Imperial Business School)
"Becker meets Kyle: Inside Insider Trading"
19:00 – 22:00 Conference Dinner for Invited Speakers
Friday, December 13
09:00 – 09:45 Mikko Pakkanen (Imperial College)
"Modelling State-Dependent Endogeneity in in High-Frequency Limit Order Book Data"
09:45 – 10:30 Nikolaus Hautsch (University of Vienna)
"Limits to Arbitrage in Markets with Stochastic Settlement Latency"
10:30 – 11:00 Coffee Break
11:00 – 11:45 Alexander Barzykin (HSBC)
"Dealing with Uncertainty of Execution in Delocalized High-Frequency Liquidity Landscape"
11:45 – 12:30 Pamela Saliba (Pictet Asset Management)
"From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation"
12:30 – 14:00 Lunch Break and Poster Presentations
14:00 – 14:45 Olivier Gueant (Sorbonne University)
"Neural Networks for Optimal Control in Finance: Three Stories"
14:45 – 15:30 Mathieu Rosenbaum (Ecole Polytechnique)
"Some Recent Advances in Market Design"
15:30 – 15:45 Concluding Remarks and Closing of the Conference