Conference on High-Frequency Trading
Conference on High-Frequency Trading
Thu 22 SepFri 23 Sep
09:15 - 09:30

Heinz Engl (Rector of the University of Vienna)

Opening Remarks

09:00 - 10:00

Pete Kyle (University of Maryland)

Dimensional Analysis and Market Microstructure Invariance

09:30 - 10:30

Andrei Kirilenko (Imperial College London)

Latency in Automated Trading Systems

10:00 - 11:00

Torben G. Andersen (Northwestern University)

Intraday Trading Invariance in Foreign Exchange Futures

10:30 - 11:30

Jonathan Brogaard (University of Washington)

High-Frequency Trading Competition

11:00 - 11:30Coffee break
11:30 - 12:00Coffee break11:30 - 12:30

Mathieu Rosenbaum (University Paris 6)

How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program

12:00 - 13:00

Rama Cont (Imperial College London & CNRS, Paris)

Algorithmic trade execution and intraday market Dynamics

12:30 - 14:00Lunch break
13:00 - 14:30Lunch break14:00 - 15:00

Philip Protter (Columbia University)

High Frequency Trading and Insider Trading

14:30 - 15:30

Thierry Foucault (HEC Paris)

Data Abundance and Asset Price Informativeness

15:00 - 16:00

Albert Menkveld (VU Amsterdam)

High-Frequency Trading around Large Institutional Orders

15:30 - 16:30

Terrence Hendershott (UC Berkely)

Price Discovery Without Trading: Evidence from Limit Orders

16:00 - 16:30Coffee break
16:30 - 17:00Coffee break16:30 - 17:30

Mark Podolskij (Aarhus University)

Testing for the maximal rank of the volatility process in noisy diffusion models

17:00 - 18:00

Frank Hatheway (NASDAQ)

We have all become High-Frequency Traders: What are some implications?

17:30 - 18:30

Chris Rogers (University of Cambridge)

High-frequency data: why are we looking at this?

18:00 - 19:00

Jean-Philippe Bouchaud (CFM, Paris)

The square root law of Price Impact and the intrinsic fragility of financial markets

from 20:00Conference dinner at Heurigen

Registration desk will be open for registered participants to collect their name badge and abstracts information from 8:45am on 12th floor of Oskar-Morgenstern-Platz 1.

Due to limited number of seats, early registration is recommended to avoid disappointment.

If you wish to attend - even just parts of the event - registration in advance is absolutely necessary.

HFT2016 | Astrid Kollros  | Unversität Wien  | Oskar-Morgenstern-Platz 1  | 1090 Vienna  | Austria  |