Market Design and Structure - Agenda: Difference between revisions
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{{Market Design and Structure}} | {{Market Design and Structure}} | ||
'''Market Design and Structure''' September 10-12, 2009, Santa Fe NM | |||
'''Organizers:''' [http://www.santafe.edu/~gerig/ Austin Gerig] (University of Technology, Sydney), [http://www.santafe.edu/~jdf/] Doyne Farmer (Santa Fe Institute), [http://lagash.dft.unipa.it/~lillo/ Fabrizio Lillo] (Santa Fe Institute and University of Palermo), [http://web.mit.edu/alo/www/ Andrew Lo] (MIT), [http://www.pipelinetrading.com/ Henri Waelbroeck] (Pipeline Financial) | |||
'''Agenda''': [[#Thursday, September 10, 2009|Thursday]] [[#Friday, September 11, 2009|Friday]] [[#Saturday, September 12, 2009|Saturday]] | |||
===Wednesday, September 9, 2009=== | |||
:: 6:30 - 8:30pm '''Welcome reception''' (Kiva C Room, Hotel Santa Fe) | |||
===Thursday, September 10, 2009=== | |||
:: 8:00am Hotel Van to SFI | |||
:: 8:15 - 8:45 Buffet Breakfast | |||
:: 8:45 Opening Comments | |||
:: 9:00 - 9:45 Lawrence Glosten, '''Competition Within and Among Exchanges''' | |||
:: 10:00 - 10:30 Break | |||
:: 10:30 - 11:15 Bruce Lehmann, '''Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk''' | |||
:: 11:30 - 12:15 Fabrizio Lillo, '''Order Flow, Market Impact, and Trading Strategies''' | |||
:: 12:30 - 1:30 Lunch | |||
:: 1:30 - 2:15 Andrew Lo, '''Systematic Risk and the Refinancing Ratchet Effect''' | |||
:: 3:30 - 4:00 Break | |||
:: 4:00 - 5:00 Austin Gerig, Discussion: '''High Frequency Arbitrage / Flash Trading''' | |||
:: 5:15 Hotel Van back to Hotel | |||
:: 7:00 - 9:00pm Dinner ([http://www.railyardrestaurantandsaloon.com/ Railyard Restaurant]) | |||
===Friday, September 11, 2009=== | |||
:: 8:15am Hotel Van to SFI | |||
:: 8:30 - 9:00 Buffet Breakfast | |||
:: 9:00 - 9:45 Robert Almgren, '''Special Issues in Trading Interest Rate Futures''' | |||
:: 10:00 - 10:30 Break | |||
:: 10:30 - 11:15 Rosario Mantegna, '''Specialization, Strategic and Herding Behavior of Market Members and Individual Investors in Financial Markets | |||
:: 11:30 - 12:15 Janos Kertesz, '''Price Changes on Small Scales on Different Markets''' | |||
:: 12:30 - 1:30 Lunch | |||
:: 1:30 - 2:15 Erik Sirri, '''Regulation of Market Structure''' | |||
:: 2:30 - 3:30 David Cushing, Discussion: '''Market Structures''' | |||
:: 3:30 - 4:00 Break | |||
:: 4:00 - 4:45 Dmitry Rakhlin, Henri Waelbroeck, '''Measuring and Optimizing Performance from the Perspective of an Institutional Trading Desk | |||
:: 5:15pm Hotel Van back to Hotel | |||
===Saturday, September 12, 2009=== | |||
:: 8:15am Hotel Van to SFI | |||
:: 8:30 - 9:00 Buffet Breakfast | |||
:: 9:00 - 9:45 Chris Stephens, Henri Waelbroeck, ''Order Flow Imbalance and Stock Returns''' | |||
:: 10:00 - 10:45 Zoltan Eisler, '''The Price Impact of Order Book Events: Market Orders, Limit Orders, and Cancellations''' | |||
:: 11:00 - 12:00 Break / Closing Discussion | |||
:: 12:00 - 1:00 Lunch | |||
:: 1:15pm Hotel Van back to Hotel | |||
Revision as of 23:15, 6 September 2009
| Working Group Navigation |
Market Design and Structure September 10-12, 2009, Santa Fe NM
Organizers: Austin Gerig (University of Technology, Sydney), [1] Doyne Farmer (Santa Fe Institute), Fabrizio Lillo (Santa Fe Institute and University of Palermo), Andrew Lo (MIT), Henri Waelbroeck (Pipeline Financial)
Agenda: Thursday Friday Saturday
Wednesday, September 9, 2009
- 6:30 - 8:30pm Welcome reception (Kiva C Room, Hotel Santa Fe)
Thursday, September 10, 2009
- 8:00am Hotel Van to SFI
- 8:15 - 8:45 Buffet Breakfast
- 8:45 Opening Comments
- 9:00 - 9:45 Lawrence Glosten, Competition Within and Among Exchanges
- 10:00 - 10:30 Break
- 10:30 - 11:15 Bruce Lehmann, Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk
- 11:30 - 12:15 Fabrizio Lillo, Order Flow, Market Impact, and Trading Strategies
- 12:30 - 1:30 Lunch
- 1:30 - 2:15 Andrew Lo, Systematic Risk and the Refinancing Ratchet Effect
- 3:30 - 4:00 Break
- 4:00 - 5:00 Austin Gerig, Discussion: High Frequency Arbitrage / Flash Trading
- 5:15 Hotel Van back to Hotel
- 7:00 - 9:00pm Dinner (Railyard Restaurant)
Friday, September 11, 2009
- 8:15am Hotel Van to SFI
- 8:30 - 9:00 Buffet Breakfast
- 9:00 - 9:45 Robert Almgren, Special Issues in Trading Interest Rate Futures
- 10:00 - 10:30 Break
- 10:30 - 11:15 Rosario Mantegna, Specialization, Strategic and Herding Behavior of Market Members and Individual Investors in Financial Markets
- 11:30 - 12:15 Janos Kertesz, Price Changes on Small Scales on Different Markets
- 12:30 - 1:30 Lunch
- 1:30 - 2:15 Erik Sirri, Regulation of Market Structure
- 2:30 - 3:30 David Cushing, Discussion: Market Structures
- 3:30 - 4:00 Break
- 4:00 - 4:45 Dmitry Rakhlin, Henri Waelbroeck, Measuring and Optimizing Performance from the Perspective of an Institutional Trading Desk
- 5:15pm Hotel Van back to Hotel
Saturday, September 12, 2009
- 8:15am Hotel Van to SFI
- 8:30 - 9:00 Buffet Breakfast
- 9:00 - 9:45 Chris Stephens, Henri Waelbroeck, Order Flow Imbalance and Stock Returns'
- 10:00 - 10:45 Zoltan Eisler, The Price Impact of Order Book Events: Market Orders, Limit Orders, and Cancellations
- 11:00 - 12:00 Break / Closing Discussion
- 12:00 - 1:00 Lunch
- 1:15pm Hotel Van back to Hotel