Market Design and Structure - Agenda
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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