MARKET MICROSTRUCTURE - ​THE CFM-IMPERIAL WORKSHOP 2015

PROGRAM

Monday 14 December, Morning Session: Market Impact

• Ian Domowitz (Investment Technology Group, New York) - Tales of Liquidity, Cost, and Volatility in the FX Market
• Doyne Farmer (University of Oxford) - Network Effects and Dynamics of Systemic Risk
• Robert Almgren (Quantitative Brokers and NYU) - TBA

 

Monday 14 December, Round-Table Discussion: Are High-Frequency Traders the Last Resort Market Makers?

Confirmed Panelists:

• Stephen McGoldrick (Director, Market Structure, Deutsche Bank)
• Mark Hemsley (CEO, BATS Chi-X Europe)
• Grégoire Naacke (Senior Analyst, World Federation of Exchanges)
• Edwin Schooling Latter (Head of Market Infrastructure & Policy, Financial Conduct Authority)
• Frank Hatheway (Chief Economist, Nasdaq)

Moderator: C.-A. Lehalle (Capital Fund Management)

 

Monday 14 December, Afternoon Session: Optimal Trading

• Alvaro Cartea (UCL, London) - Foreign Exchange Markets with Last Look
• Umut Cetin (LSE, London) - Risk Averse Market Makers and Asymmetric Information
• Giuseppe di Graziano (Deutsche Bank and Imperial College, London) - TBA

 

Monday 14 December, Evening: Conference Dinner

 

Tuesday 15 December, Morning Session: Limit Order Books and Price Formation

• Rama Cont (Imperial College, London) - Algorithmic Trading and Intraday Market Dynamics
• Mathieu Rosenbaum (Université Pierre & Marie Curie, Paris) - Volatility is Rough: Microstructural Foundations
• Ioanid Rosu (HEC Paris) - Fast and Slow Informed Trading
• Larry Harris (USC Marshall School of Business) - Trade-Throughs and Riskless Principal Trading in Corporate Bond Markets

 

Tuesday 15 December, Poster Session
We welcome the submission of posters from young researchers, for consideration by the organizing committee. Selected applicants will be invited to present their work during the poster session. For more information, please contact Marta Guzzon at iqf-events@imperial.ac.uk

 

Tuesday 15 December, Afternoon Session: High-Frequency Data

• Emmanuel Bacry (Ecole Polytechnique, Paris) - Estimation of Hawkes Kernels of High-Frequency Dynamics
• Julien Kockelkoren (CFM, Paris) - Market Impact: A Practitioner's Viewpoint