ILB - Market Microstructure - Confronting Many Viewpoints - Capital Fund Management (CFM) / Reuters France



Market Microstructure - Confronting Many Viewpoints Capital Fund Management (CFM) / Reuters France, 6 Boulevard Haussmann, 75 009 Paris - 6th-10th December 2010 - 9 am



Recent structural and technological evolutions, such as the proliferation of limit order book markets, algorithmic trading or new trading technologies (ECNs, dark pools, MTFs etc…), have dramatically and profoundly changed the nature of securities trading. This evolution raises new questions which are currently at the frontier of research in various fields (financial economics, econometrics and statistics, computer science, econo-physics etc…). The goal of the conference is to gather leading researchers who will discuss and present recent advances in these fields. Topics such as limit order markets, econometrics of high frequency data, optimal trading strategies, short-sales and market design will be covered. The organizers hope that the conference will serve as a catalyst for discussions between researchers and practitioners interested in these questions. The opening speech of the conference will be given by Professor Pete Kyle (University of Maryland) and the closing speech by Professor Lawrence Harris (University of Southern California), two leading researchers in the area of securities markets organization. The conference is sponsored by Capital Fund Management, Deutsche Bank, Research Initiative “Trading and microstructure” sponsored by Credit Agricole Cheuvreux, GIS, BNP Parisbas Ecole Polytechnique and the Institut Louis Bachelier.



Program Monday, December 6th 2010 Opening lecture Rational Expectations and Market Microstructure: a Primer Pete KYLE, University of Maryland Morning: Limit Order Book Limit Order Markets - Christine PARLOUR, UC Berkeley Liquidity and Information in Order Driven Markets - Ioanid ROSU, University of Chicago Afternoon: Statistics of High Frequency Data Volatility Estimation with High-Frequency Data: Three Approaches and Three Horizons - Eric RENAULT, University of North Carolina Microstructure Noise and Epps Effect: a Point Process Approach - Emmanuel BACRY, Ecole Polytechnique Linking Price Volatility with Order Book Events: Diffusion Asymptotics - Rama CONT, CNRS & Columbia University Cocktail More information about the program of the market microstructure conference - 6th-10 December, 2010



Workshops and Posters Young researchers can submit papers for poster sessions that will take place participants at the Palais Brongniart (where the floor of the Paris Bourse was located historically). Read more



Organizing Committee Frédéric ABERGEL (Ecole Centrale Paris) Jean-Philippe BOUCHAUD (Capital Fund Management) Thierry FOUCAULT (HEC, Paris) Charles-Albert LEHALLE (Credit Agricole Cheuvreux) Mathieu ROSENBAUM (Ecole Polytechnique, Paris)



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