Market Microstructure Conference
10/12/2012Well known experts from various
fields, coming from academic institutions, government agencies,
banks and hedge funds, have accepted to come and confront their
ideas about several important issues that appeared in the last few
years. These include both theoretical and practical problems,
ranging from execution costs and price impact to high-frequency
data, high-frequency trading and market stability.
The accumulation of high frequency market data in recent years has revealed many surprising results. These results are interesting both from theoretical and practical standpoints. The mechanism of price formation is at the very heart of economics; it is also of paramount importance to understand the origin of the well-known anomalous “stylized facts” in financial price series (heavy tails, volatility clustering, etc.). These issues are of obvious importance for practical purposes (organisation of markets, execution costs, price impact, etc.). This activity is also crucial to help the regulators, concerned with the organisation of liquidity in electronic markets and the issues raised by “high frequency trading”.
The accumulation of high frequency market data in recent years has revealed many surprising results. These results are interesting both from theoretical and practical standpoints. The mechanism of price formation is at the very heart of economics; it is also of paramount importance to understand the origin of the well-known anomalous “stylized facts” in financial price series (heavy tails, volatility clustering, etc.). These issues are of obvious importance for practical purposes (organisation of markets, execution costs, price impact, etc.). This activity is also crucial to help the regulators, concerned with the organisation of liquidity in electronic markets and the issues raised by “high frequency trading”.
The organising
committee
F. Abergel, JP. Bouchaud, T.
Foucault, CA. Lehalle and M. Rosenbaum