PROGRAM

 

The workshop will consist 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 1MONDAY 14 DECEMBER 2015

 

For members of the World Federation of Exchanges, the Statistics Advisory Group (SAG) annual meeting will take place between 08:00-12:00.

 

MARKET IMPACT

09:00-09:10  Welcome

09:10-10:00  IAN DOMOWITZ (Investment Technology Group, New York): Tales of Liquidity, Cost, and Volatility in the FX Market

10:00-10:50  DOYNE FARMER (University of Oxford): Network Effects and Dynamics of Systemic Risk

10:50-11:20  Coffee Break

11:20-12:10  ROBERT ALMGREN (Quantitative Brokers and NYU): Electronic Trading in US Treasury Market

12:10-13:00  Lunch Break

 

ROUND-TABLE DISCUSSION

 13:00-14:30  Are High-Frequency Traders The Last Resort Market Makers?  

  • STEPHEN MCGOLDRICK (Director, Market Structure, Deutsche Bank)
  • MARK HEMSLEY (CEO, BATS Chi-X Europe)
  • GRÉGOIRE NAACKE (Head of Operations, World Federation of Exchanges)
  • EDWIN SCHOOLING LATTER (Head of Market Infrastructure & Policy, Financial Conduct Authority)
  • FRANK HATHEWAY (Chief Economist, Nasdaq)

 

OPTIMAL TRADING

14:30-15:20  ALVARO CARTEA (University College London): Foreign Exchange Markets with Last Look

15:20-15:50  Coffee Break

15:50-16:40  UMUT CETIN (London School of Economics): Risk Averse Market Makers and Asymmetric Information

16:40-17:30  RAMA CONT (Imperial College London): Algorithmic Trade Execution and Intraday Market Dynamics

 

DAY 2 TUESDAY 15 DECEMBER 2015

 

LIMIT ORDER BOOKS AND PRICE FORMATION

09:00-09:50  IOANID ROSU (HEC Paris): Fast and Slow Informed Trading

09:50-10:40  ANDREI KIRILENKO (Imperial College London):  Latency and Asset Prices

10:40-11:10  Coffee Break

11:10-12:00  EMMANUEL BACRY (Ecole Polytechnique, Paris): Estimation of Hawkes Kernels of High-Frequency Dynamics

12:00-12:50  LARRY HARRIS (USC Marshall School of Business):Trade-Throughs and Riskless Principal Trading in Corporate Bond Markets

12:50-13:40  Lunch Break

 

POSTER SESSION

13:40-14:40 (London Room)

 

HIGH-FREQUENCY DATA

14:40-15:30  ALBERT KYLE (University of Maryland): Dimensional Analysis and Market Microstructure Invariance

15:30-16:00  Coffee Break

16:00-16:50  JULIEN KOCKELKOREN (CFM, Paris): Market Impact: A Practitioner's Viewpoint

16:50-17:40  GIUSEPPE DI GRAZIANO (Deutsche Bank and Imperial College, London): Trading: how to stop?

17:40-17:50 Closing Remarks