18th Annual Workshop on Financial Engineering: High Frequency Trading and Market Microstructure
10/21/2011
High Frequency Trading and
Market Microstructure
Friday, October 21, 2011
8:45 AM- 6:30 PM
Uris Hall, Room 301
Columbia University,
New York
Sponsored by: Bank of America-Merrill Lynch and One Tick.
The advent of electronic trading has transformed financial markets markets, which are now faced with a flow of supply and demand at various frequencies across a fragmented range of venues. This new high-frequency environment has created a new set of quantitative challenges for investors, market makers, and regulators. In this conference, we will seek to explore and understand some of these challenges.
Topics :
Market microstructure, Market making, High-frequency trading, Limit order markets, algorithmic trading, optimal trade execution, dark pools, econometrics of high-frequency data.
Program : ( Download full program with abstracts )
8:00 - 8:45 Registration and coffee
8:45 - 9:00 Introduction
9:00 - 9:45 Matt Cushman (Citadel)
High Frequency Market Making
9:45 - 10:30 Jim Gatheral (Baruch College)
Optimal order execution
9:00 - 11:00 Coffee break
11:00-11:45 Robert Almgren (Quantitative Brokers)
The Microstructure of Interest rate futures markets
11:45 - 12:30 Ciamac Moallemi (Columbia University)
Optimal Order Flow Routing, Exchange Competition, and the Effect of Make/Take Fees
12:30 - 14:00 LUNCH
Price dynamics in limit order markets: linking volatility with order flow
14:45 - 15:30 Sasha Stoikov (Cornell University)
15:30 - 16:00 Coffee break
16:00 - 16:45 Albert Kyle (University of Maryland)
Market Microstructure Invariants
16:00 - 16:45 Albert Kyle (University of Maryland)
Market Microstructure Invariants
16:45 - 17:45 Panel Discussion:
High Frequency trading: market reality, perspectives and regulation
Brad Banks (Athena Capital Research)
Larry Glosten (Columbia University)
Costis Maglaras (Columbia University)
Michael Sotiropoulos (Bank of America Merrill Lynch)
High Frequency trading: market reality, perspectives and regulation
Brad Banks (Athena Capital Research)
Larry Glosten (Columbia University)
Costis Maglaras (Columbia University)
Michael Sotiropoulos (Bank of America Merrill Lynch)
Registration:
Corporate delegates: $500 / Academic : $175
Corporate delegates: $500 / Academic : $175
Non-Columbia Students: $100 / Columbia University Students: Free
Online registration at: https://www.wepay.com/tickets/view/76109
Online registration for Columbia University Students: Registration closed.
Student status will be verified during check-in; please present your student ID with the Fall 2011 sticker.
Student status will be verified during check-in; please present your student ID with the Fall 2011 sticker.
Sponsored by
