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.
Dates: 6 - 10 December, 2010
Location: Capital Fund Management (CFM), Paris, France
Organising 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)
Programme
Opening lecture
- Rational Expectations and Market Microstructure: a Primer - Pete KYLE, University of Maryland
Limit Order Book
- Limit Order Markets - Christine PARLOUR, UC Berkeley
- Liquidity and Information in Order Driven Markets - Ioanid ROSU, University
of Chicago
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
Statistics of High Frequency Data
- Some Recent Results on High-Frequency Statistics, when Jumps are Present
(I) - Jean JACOD, University Paris 6
- Forecasting Volatility Based on High Frequency Data - Nour MEDDAHI, Toulouse
School of Economics
- Between Data Cleaning and Inference: Preaveraging and Robust Estimators of
the Efficient Price - Per MYKLAND, Oxford University and University of Chicago
- Quasi-likelihood Analysis and Limit Theorems for Stochastic Differential
Equations - Nakahiro YOSHIDA, University of Tokyo
Algorithmic Trading
- Algorithmic Trading - Bruno BIAIS, Toulouse School of Economics
- Econometrics of Limit Order Book Markets - Nikolaus HAUTSCH, HU-Berlin. School
of Business and Economics
- Electronic Markets and High Frequency trading: Same Wine in New Jars? - Albert
MENKVELD, Vrije Universiteit, Amsterdam
Market Impact
- Price pressures - Terrence HENDERSCHOTT, UC Berkeley
- Dynamical Aspects of Price Impact: Resiliency and Liquidity Fluctuations
- Bernd ROSENOW, Koln University
- The Origin of Different Types of Market Impact - Fabrizio LILLO, University
of Palermo and Santa Fe institute
- The Price Impact of Order Book Events - Zoltan EISLER, Capital Fund Management
Market Data Analysis
- Evidence of Collective Trader Optimizing Behaviour from Brokering Data
- Damien CHALLET, Fribourg University
- Some Recent Results on High-Frequency Statistics, when Jumps are Present
(II) - Yacine AIT SAHALIA, Princeton University
- Liquidity, Long-Memory and Market Impact - Doyne FARMER, Sante Fe Institute
Optimal Trading
- Liquidity Dynamics and Optimal Trading Strategies - Jiang WANG, MIT Sloan
School of Management
- Optimal Execution Solutions Accounting for Hidden Order Arbitrage - Henry
WAELBROUCK, Pipeline Financial Group, Inc
- Empirical Limitations on High Frequency Trading Profitability - Michael
KEARNS, University of Pennsylvania & SAC Capital
Market Impact
- Minimising Market Impact: Efficient Trading Techniques in a Volatile Market
- Jose MARQUES, Deutsche Bank
- To be announced - Jim GATHERAL, City University of New York
- Special Microstructural Features of Interest Rate Futures - Robert ALMGREN,
Quantitative Brokers and New York University
Market Design, Limit Order Books and Regulation
- What We Know about Short Sales - Charles JONES, Columbia University
- Heterogeneous Expectations and Behavioral Rationality: Some Evidence from
the Lab - Cars HOMMES, Amsterdam University
- Estimating Models of Limit Order Markets - Patrick SANDAS, University of
Virginia
Closing lecture
- Equity Trading in the 21st Century - Lawrence HARRIS, University of Southern California
Finance Focus
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