Committee | THE CFM-IMPERIAL WORKSHOP 2017
About the Workshop
In recent decades, the widespread uptake of electronic trading has facilitated the recording of high-quality data that describes the actions and interactions of market participants at the microscopic scale. Analysis of this data has revealed striking regularities that challenge many long-standing theories regarding financial markets.
The field of market microstructure seeks to establish connections between activity at the ultra-fast, microscopic scales and the emergent properties that appear on longer time scales. In this way, market microstructure is a bottom-up approach to understanding financial markets. Recent developments in this direction have helped to provide new insight into many important questions regarding price formation, market stability and macroeconomics. For example, recent market microstructure analyses yield convincing explanations – and, importantly, make testable quantitative predictions – on issues such as unusual price returns, volatility clustering, price impact and liquidity fluctuations. These important advances have clear practical implications for far-reaching issues such as market design, optimal execution and regulation.
Correspondingly, market microstructure has been vigorously investigated in many different communities, including economics, financial mathematics, econometrics, computer science and physics. Typically, researchers in this field have been scattered in academic institutions, banks and hedge funds. As a result, overlap between the community often remains limited, and several important advances in the field suffer from a lack of visibility.
After the very successful first edition in 2015, where topic related to Market Impact, Optimal Trading, Limiter Order Books and Prices Formation as well as High-Frequency Data were discussed throughout “Market Microstructure: The CFM-Imperial Workshop” is back for a two-day event on 11-12 December. The aim of the workshop is to bring together again a wide range of academics and practitioners, to facilitate discussion of the many different ideas that have blossomed in these communities during the past decade, and to provide an overview of the state-of-the-art research in market microstructure.
The workshop will be organized by the CFM-Imperial Institute for-Quantitative Finance, and will be hosted by J.P. Morgan in their Victoria Embankment offices, in City of London. The event will unite several of the world’s leading researchers in quantitative finance around specialized research talks and round-table discussions, and will also provide young researchers with the opportunity to present their work in poster sessions. Overall, we seek to provide an opportunity for diverse and stimulating intellectual exchange on a wide range of topics highly relevant to modern financial markets.
The Organising Committee
Jean-Philippe Bouchaud is Co-Director of the CFM-Imperial Institute of Quantitative Finance, President and Head of Research at CFM and Professor at Ecole Polytechnique.
Jean-Philippe was born in France in 1962. After studying at the French Lycée of London, he graduated from the Ecole Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS until 1992. After a year spent in the Cavendish Laboratory (Cambridge), he joined the Service de Physique de l’Etat Condensé (CEA-Saclay), where he worked on the dynamics of glassy systems and on granular media. He became interested in economics and theoretical finance in 1991.
His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. In 1994, he founded the company Science & Finance, which later merged with Capital Fund Management (CFM) in 2000. He was awarded the IBM young scientist prize in 1990 and the CNRS Silver Medal in 1996. He has published over 250 scientific papers and several books in physics and in finance.
Rama CONT is Professor of Mathematics and Chair in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance. and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing.
He joined Imperial College in 2012 after holding teaching and research positions at Ecole Polytechnique (France), Columbia University (New York) and Université Pierre & Marie Curie (Paris VI).
Rama Cont’s research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012).
Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance.
He holds a Doctorat from Université de Paris Sud (Orsay), a Masters degree in Theoretical Physics from Ecole Normale Supérieure (Paris) and a BSc from Ecole Polytechnique (France).
Charles-Albert Lehalle is Senior Research Advisor at Capital Fund Management (CFM) and a member of the CFM-Imperial Institute of Quantitative Finance. He was formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank.
With a Ph.D. in applied mathematics on stochastic processes, information theory and nonlinear control, Charles- Lehalle lectures at “Paris 6 (El Karoui) Master of Finance” (Ecole Polytechnique, ESSEC, Ecole Normale Supérieure) and MASEF/ENSAE one.
Since the financial crisis, Charles-Albert has studied market microstructure evolution and regulatory changes in Europe and the US, and has provided research and expertise on these topics to investors, intermediaries and policy-makers such as the European Commission, the French Senate and the UK Foresight Committee. He belongs to the Consultative Workgroup on Financial Innovation of the ESMA and to the Scientific Committee of the French regulator (AMF).
He has published many academic papers about the use of stochastic control and stochastic algorithms to optimize trading flows with respect to flexible constraints. He has also authored papers on post-trade analysis, market impact estimation and modelling the dynamics of limit order books. He also authored the book “Market Microstructure in Practice” and co-edited the book “Market Microstructure: Confronting Many Viewpoints”.
Eyal Neuman is a Research Associate at the Department of Mathematics at Imperial College London. His research interests are in the area of probability and stochastic processes. He is mainly working on stochastic partial differential equations and mathematical finance. Previously he was a Visiting Assistant Professor at the University of Rochester. Eyal received his PhD in stochastic processes from the Technion in 2014.