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 1MONDAY 11 DECEMBER 2017


09:00 – 09:30
Registration

09:30 – 09:45 Welcome by Jean-Philippe Bouchaud

 

OPTIMAL TRADING & MARKET IMPACT 

09:45 – 10:30 DAMIANO BRIGO (Imperial College London): Optimal Execution Under Different Dynamics, Criteria and Solutions Class

10:30 – 11:15 JOSE FIGUEROA-LOPEZ (Washington University): Optimal Placement of a Small Order in a Diffusive Limit Order Book

11:15 – 12:00 JOHANNES MUHLE-KARBE (University of Michigan): Equilibrium Price Impact

 

12:00 – 13:30 LUNCH 

 

ROUNDTABLE 

13:30 – 15:30 What Will European Market Structure Look Like After Mifid II?

Moderation by Charles-Albert Lehalle

  • MIKE BELLARO (Global Head of Equity Trading – Deutsche Asset Management and Co-Chair – Plato Partnership)
  • YANN COUELLAN (Head of Trade Execution Income – AXA Investment Management)
  • NEJ D’JELAL (Head of Electronic Equities Product, EMEA, Barclays &  Co-Chair and Managing Director – Plato Partnership)
  • PHILIPPE GUILLOT ( Executive director of the Markets Directorate – AMF Paris)
  • ANDREI KIRILENKO (Director of the Centre for Global Finance and Technology – Imperial College Business School)
  • CHINEDUM NZELU (Managing Director, Head of FX Automated Trading Strategies – JP Morgan)
  • YAZID SHARAIHA (Global Head of Investment Strategies, Norges Bank Investment Management)

 

15:30 – 16:15 COFFEE BREAK

 

ORDERBOOK DYNAMICS AND PREDICTIVE SIGNALS

16:15 – 17:00 MARVIN MULLER (ETH Zurich)Limit Order Books: Tractable SPDE Models

17:00 – 17:45 SASHA STOIKOV (Cornell University)The Micro-Price

 

17:45 – 19:30 COCKTAILS 

19:45 – ……… DINNER (additional £40)

 

DAY 2TUESDAY 12 DECEMBER 2017

 

PREDICTIVE SIGNALS AND THEIR OPTIMAL USE

09:45 – 10:30 EYAL NEUMAN (Imperial College London): Incoporating Signals Into Optimal Trading

10:30 – 11:15 DAVID FELLAH (J.P. Morgan): Active Learning in Trading Algorithms 

11:15 – 12:00 KHALIL DAYRI (Bloomberg Tradebook): Practical Considerations For Trading In Dark Pools

 

12:00 – 14:15 LUNCH & POSTER SESSION 

 

HIGH FREQUENCY TRADERS’ BEHAVIOUR

14:15 – 15:00  PAMELA SALIBA (AMF and Université Pierre et Marie Curie): The Behaviour of High-Frequency Traders Under Different Market Stress Scenario

15:00 – 15:45 CARLA YSUSI (FCA London): Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market


15:45
 – 16:15 COFFEE BREAK

 

CROSS MARKET IMPACT

16:15 – 17:00 IACOPO MASTROMATTEO (CFM, Paris): Limit Order Books: Tractable SPDE Models

17:00 – 17:45 FABRIZIO LILLO (Univerista’ di Bologna): A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics