Preliminary Program for the Stern Microstructure Meeting, Friday, June 1, 2012

Supporting funding is provided by NASDAQ OMX through a grant to the Salomon Center at Stern.

Organizer Joel Hasbrouck, Stern School
Program Committee Tarun Chordia, Goizueta School, Emory University
Amit Goyal, HEC Lausanne
Charles Jones, Columbia University
Bruce Lehmann, UCSD
Avanidhar Subrahmanyam, UCLA

The Stern Microstructure Conference is open to everyone with an interest in market microstructure research. The sessions will be held at the Management Education Center, 44 W. 4th St., NYC (near the southeast corner of Washington Square Park). For more complete directions see There will be a registration desk in the lobby.

Registration Instructions: E-mail with "SMC2012" in the subject line. Please indicate if you will be joining us for the dinner the night before. Other inquiries:

Please note: Hard copies of the papers will not be available at the conference. A single pdf containing the schedule and all papers is available here.

Thursday, May 31  
6:30 pm Dinner (open to all registered conference attendees)
Friday, June 1  

8:30 am - 9:00

Continental Breakfast

  Chair for morning sessions: Bruce Lehmann, UCSD

9:00 - 10:00

Click or Call? Auction versus Search in the Over-the-Counter Market
Terrence  Hendershott, University of California Berkeley
Ananth Madhavan, BlackRock

Discussant: Larry Harris, USC

10:00 - 11:00

Liquidity: What you see is what you get?
Vincent van Kervel, Tilburg University

Discussant: Emiliano Pagnotta, Stern School, NYU

11:00 - 11:15


11:15 - 12:15 CDS Auctions
Mikhail Chernov, London School of Economics
Alexander Gorbenko, London Business School
Igor Makarov, London Business School
Discussant: Raghu Sundaram, Stern School, NYU


Frank Hatheway, NASDAQ OMX
  Chair for afternoon sessions: Avanidhar Subrahmanyam, UCLS


The Effect of Algorithmic Trading on Liquidity in the Options Market
Suchismita (Suchi) Mishra, Florida International University
Robert Daigler, Florida International University
Richard Holowczack, Baruch College

Discussant: Liuren Wu, Zicklin School, Baruch College



News Trading and Speed
Thierry Foucault, HEC Paris
Johan Hombert, HEC Paris
Ioanid Rosu, HEC Paris

Discussant: Pete Kyle, Robert H. Smith School of Business, University of Maryland




How (Un)Informed Is Trading?
(formerly titled: Round-the-Clock News, Trading, and Stock Returns)
Eric Kelley, University of Arizona
Paul Tetlock, Columbia University

Discussant: Clara Vega, Board of Governors, Federal Reserve System