Program

Program

Thursday, December 12

08:55 – 9:00 Welcome Note

09:00 – 09:45 Roel Oomen (Deutsche Bank)

"The Practice of Electronic Trading in OTC Markets"

09:45 – 10:30 Stefan Zohren (University of Oxford)

"Deep Learning Applied to Limit Order Book Data"

10:30 – 11:00 Coffee Break

11:00 – 11:45 Yajun Wang (Baruch College)

"Trading in Crowded Markets"

11:45 – 12:30 Sergey Nadtochiy (Illinois Institute of Technology)

"Explaining the Nonlinear Price Impact"

12:30 – 14:00 Lunch and Poster Presentations

14:00 – 14:45 Pierre Collin-Dufresne (EPF Lausanne)

"Liquidity, Volume, and Volatility"

14:45 – 15:30 Panel Discussion "AI Ethics and Interpretability in Finance" :

Hanna Assayag (HSBC)

Tomaso Aste (UCL), Moderator

Paris Pennesi (HSBC)

Kimmo Soramäki (Financial Network Analytics)

James Tromans (Google)

Stefan Zohren (University of Oxford)

15:30 – 16:00 Coffee Break

16:00 – 16:45 Albina Danilova (London School of Economics)

"Risk Aversion of Market Makers and Asymmetric Information"

16:45 – 17:30 Emiliano Pagnotta (Imperial Business School)

"Becker meets Kyle: Inside Insider Trading"

19:00 – 22:00 Conference Dinner for Invited Speakers

Friday, December 13

09:00 – 09:45 Mikko Pakkanen (Imperial College)

"Modelling State-Dependent Endogeneity in in High-Frequency Limit Order Book Data"

09:45 – 10:30 Nikolaus Hautsch (University of Vienna)

"Limits to Arbitrage in Markets with Stochastic Settlement Latency"

10:30 – 11:00 Coffee Break

11:00 – 11:45 Alexander Barzykin (HSBC)

"Dealing with Uncertainty of Execution in Delocalized High-Frequency Liquidity Landscape"

11:45 – 12:30 Pamela Saliba (Pictet Asset Management)

"From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation"

12:30 – 14:00 Lunch Break and Poster Presentations

14:00 – 14:45 Olivier Gueant (Sorbonne University)

"Neural Networks for Optimal Control in Finance: Three Stories"

14:45 – 15:30 Mathieu Rosenbaum (Ecole Polytechnique)

"Some Recent Advances in Market Design"

15:30 – 15:45 Concluding Remarks and Closing of the Conference