The workshop consisted 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.
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
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)
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
13:40-14:40 (London Room)
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