Name: Market Microstructure 2018
From: 05 Dec 2018
To: 07 Dec 2018
Address: Maison de la Chimie
28 Rue Saint-Dominique
Organizer: Institut Louis Bachelier
Key speakers: Evangelos BENOS, Manager, Bank of England Anders TROLLE, Professor, HEC Paris Omar EL EUCH, Professor, Ecole polytechnique Joshua MOLLNER, Professor, Northwestern University Agostino CAPPONI, Professor, Columbia University Hedi BENAMAR, Manager, Federal Reserve Board Alvaro CARTEA, Professor, University of Oxford Ernst SCHAUMBURG, Manager, AQR Capital Management Othmane MOUNJID, Professor, Ecole polytechnique Marcello RAMBALDI, Professor, Ecole polytechnique Xiaofei LU, Manager, BNP Paribas Michael BENZAQUEM, Professor, Ecole polytechnique Zoltan EISLER, Manager, Capital Fund Management Julius BONART, Professor, Imperial College Business School Torben ANDERSEN, Professor, Northwestern University Misako TAKAYASU, Professor, Tokyo Institute of Technology Ulrich HORST, Professor, Humboldt Universität Paul JUSSELIN, Professor, Ecole polytechnique Francis BREEDON, Manager, Banque of England Filip ZIKES, Manager, Federal Reserve Board Paul BESSON, Manager, Kepler-Chevreux Jonathan BROGAARD, Professor, University of Utah
Pricing: - variable, professionals starting at EUR 1000,-
Description: The accumulation of high frequency market data in recent years has revealed many surprising results. These results are interesting both from theoretical and practical standpoints. The mechanism of price formation is at the very heart of economics; it is also of paramount importance to understand the origin of the well-known anomalous “stylized facts” in financial price series (heavy tails, volatility clustering, etc.). These issues are of obvious importance for practical purposes (organisation of markets, execution costs, price impact, etc.). This activity is also crucial to help the regulators, concerned with the organisation of liquidity in electronic markets and the issues raised by “high frequency trading”.
Correspondingly, this problem has been vigourously investigated by at least five different communities (economics, financial mathematics, econometrics, computer science and econo-physics), scattered in academic institutions, banks and hedge funds, with at present limited overlap and sometimes lack of visibility. On the other hand, due to the gigantic amount of available data, precise, quantitative theories can be now be accurately tested.
The organizers thought that it could be extremely fruitful to confront the ideas that have blossomed in those different communities in the past decade. In order to foster this confrontation and ease communication, we have gathered in Paris researchers from these different communities, including professionals, and ask them to give introductory tutorials, reviewing both their recent activity and the problems that, in their eyes, are most relevant to address in the near future. We have insisted on the importance of pedagogy and cross-disciplinary spirit. We are convinced that this event will be a unique opportunity to learn about recent research trends in finance.
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