Program

Program | THE CFM-IMPERIAL WORKSHOP 2017

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 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 (Carnegie Mellon University): 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

• YANN COUELLAN (Head of Fixed Income Execution – BNP Paribas Asset Management)
• NEJ D’JELAL (Managing Director, Co-Head of Electronic Equities, EME – Barclays)
• 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 – J.P. 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 EYAL NEUMAN (Imperial College London): Incoporating Signals Into Optimal Trading

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

17:45 – 19:30 COCKTAILS

19:45 – ……… DINNER (additional £40)

DAY 2 – TUESDAY 12 DECEMBER 2017

PREDICTIVE SIGNALS AND THEIR OPTIMAL USE

09:45 – 10:30 MARVIN MULLER (ETH Zurich): Limit Order Books: Tractable SPDE Models

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): Insights From Cross-Impact: What Really Is a Financial Instrument?

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