Program Committee |
Tarun Chordia, Goizueta School, Emory University |
Updates on the conference and registration will be posted on this page.
The Stern Microstructure Conference is open to everyone with an interest in market microstructure research. The conference will be held at the Kaufman Management Education Center (KMEC), 44 W. 4th St., NYC (near the southeast corner of Washington Square Park). For more complete directions see https://www.stern.nyu.edu/experience-stern/contact-us/visit-stern. There will be a registration desk in the lobby. Sessions will be held in (Room TBA)
Registration Link (If you encounter difficulties, please email me at jh4@stern.nyu.edu)
Please note: Hard copies of the papers will not be available at the conference. Links are available below. The schedule below is tentative and subject to revision. (Please don't make travel plans contingent on any particular ordering of the papers.)
Timing for each paper: 30 min for the presenter; 20 min for the discussant; and 10 min general discussion.
| Thursday, May 22 | |
| 6:00 pm | Elsevier's Journal of Financial Markets - Sponsored Dinner Room TBA. (44 West 4th St. You can enter the building from the smaller plaza on the west side.) Open to program participants and a limited number of registered attendees. First-come first-served, preference for program participants from previous years. Hors d'oeuvres and drinks open at 6:00; dinner at 6:30. |
| Friday, May 23 | |
| 8:30 -
|
Continental Breakfast |
| 8:55 - 9:00 | Welcome. We pass the microphone around the room for short self-introductions (like, "Joel Hasbrouck from Stern Finance.") |
| 9:00 - 10:00 | China Walls Tomy Lee (Central European University) Daniel Nathan (Bank of Israel) ChaojunWang (Wharton School, University of Pennsylvania) Discussant: Terrence Hendershott (Haas School, University of California at Berkeley) |
| 10:00 - 11:00 | Cournot Competition, Informational Feedback, and Real Efficiency Lin William Cong (Johnson College, Cornell University), Xiaohong Huang (SWUFE), Siguang Li (HKUST-GZ), Jian Ni (SWUFE) Discussant: Jesse Davis (Kenan-Flagler School, University of North Carolina) |
| 11:00 - 11:15 | Break |
| 11:15 - 12:15 | Reinforcement learning in a dynamic limit order market Amy Kwan (University of New South Wales), Richard Philip (University of Sydney) Discussant: Ioanid Rosu (HEC Paris) |
| 12:15-1:15
|
Lunch |
| 1:15-2:15
|
Passive Ownership and Corporate Bond Lending Amit Goyal (Swiss Finance Institute, University of Lausanne), Yoshio Nozawa (University of Toronto), Yancheng Qiu (University of Sydney) Discussant: Yi Ming Ma (Columbia University) |
| 2:15-3:15
|
Market and Product Specialization in Financial Markets Milena Wittwer (Boston College), Andreas Uthemann (Bank of Canada) Discussant: Mirela Sandulescu (Kenan-Flagler, University of North Carolina) |
| 3:15-3:30
|
Break |
| 3:30-4:30
|
Trade-Off? What Trade-Off: Informative Prices without Illiquidity Thierry Foucault (HEC Paris), Kostas Koufopoulos (University of Sussex), Roman Kozhan (Warwick Business School, University of Warwick) Discussant: Cecilia Parlatore (Stern School, New York University) |
| 4:30
|
Adjourn |