Program 

Monday, December 11

9:00-9:50        Pete Kyle: Flow Trading

9:50-10:40      Mathieu Rosenbaum: The Two Square-Root Laws of Market Impact and the Role of Sophisticated Market Participants

10:40-11:10    Coffee Break

11:10-12:00    Roel Oomen: Pre-Hedging

12:00-13:30    Lunch Break

13:30-14:20    Alvaro Cartea: Spoofing with Learning Algorithms

14:20-15:10    Olivier Gueant: Market Making and Inventory Management Models: Where do We Stand?

15:10-15:40    Coffee Break (with Poster Presentation by PhD students)

15:40-16:30    Mihai Cucuringu: Cross-impact, Decomposition, and Co-Occurrence of Order Flow in Equity Limit Order Books

16:30-17:20    Dimitri Vayanos: Long-Horizon Investing in a Non-CAPM World

17:30-19:00   Drinks Reception (with Poster Presentation by PhD students)

19:30-22:30    Conference Dinner for Invited Speakers

Tuesday, December 12

9:00-9:50        Thierry Foucault: Algorithmic Pricing and Liquidity in Securities Markets

9:50-10:40      Ciamac Moallemi: The Economics of Automated Market Making and Decentralized Exchanges

10:40-11:10    Coffee Break

11:10-12:00    Barbara Rindi: Optimal Tick Size

12:00-13:30    Lunch Break

13:30-14:20    Wei Xiong: Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion

14:20-15:10    Victor Le Coz: When is Cross Impact Relevant?

15:10-15:40    Coffee Break

15:40-16:30    Fabrizio Lillo: Online Learning of Market Liquidity

16:30-17:20    Paul Besson: When and at What Price are European Systematic Internalisers Providing Passive Liquidity?