Market Design and Structure - Agenda: Difference between revisions

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Market Design and Structure September 10-12, 2009, Santa Fe NM

Organizers: Austin Gerig (University of Technology, Sydney), 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

@@ Line 3: / Line 3: @@
 '''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)
+'''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)
@@ Line 21: / Line 21: @@
 :: 8:45 Opening Comments
-:: 9:00 - 9:45 Lawrence Glosten, '''Competition Within and Among Exchanges'''
+:: 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'''
+:: 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'''
+:: 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'''
+:: 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'''
+:: 4:00 - 5:00 Austin Gerig, Discussion: ''High Frequency Arbitrage / Flash Trading''
 :: 5:15 Hotel Van back to Hotel
@@ Line 48: / Line 48: @@
 :: 8:30 - 9:00 Buffet Breakfast
-:: 9:00 - 9:45 Robert Almgren, '''Special Issues in Trading Interest Rate Futures'''
+:: 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
+:: 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'''
+:: 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'''
+:: 1:30 - 2:15 Erik Sirri, ''Regulation of Market Structure''
-:: 2:30 - 3:30 David Cushing, Discussion: '''Market Structures'''
+:: 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
+:: 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
@@ Line 75: / Line 75: @@
 :: 8:30 - 9:00 Buffet Breakfast
-:: 9:00 - 9:45 Chris Stephens, Henri Waelbroeck, ''Order Flow Imbalance and Stock Returns'''
+:: 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'''
+:: 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