Market Microstructure

The CFM-Imperial Workshop

11-12 December 2017

Hosted by J.P.Morgan

J.P. Morgan

60 Victoria Embankment




11 December 2017

High Timber

Broken Wharf House

8 High Timber St.




J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $22.1 trillion of assets under custody and $404.9 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at

The CFM-Imperial Institute of Quantitative Finance was established in 2014 through a partnership between Imperial College’s Mathematical Finance Group and Capital Fund Management (CFM), with the objective of promoting interdisciplinary research focusing on understanding financial market complexity and quantitative modelling and management of financial risks. The Institute’s interdisciplinary research team aims at exploring innovative solutions to complex problems in the risk management and regulation of financial markets and training the next generation of researchers and risk managers, through a unique collaboration between academics and practitioners.

CFM is a quantitative, fully systematic investment firm founded in 1991, based in Paris with offices in London, New York and Tokyo. The firm focuses on developing trading strategies based on a global and quantitative approach to financial markets. CFM’s methodology relies on the in-depth statistical analysis of terabytes of financial data for asset allocation, trading decisions and order execution. CFM’s group entities are registered with the CFTC, the SEC, the AMF in France, the Japanese FSA and the UK FCA.