Stern Microstructure Meeting Program

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 http://www.stern.nyu.edu/AboutStern/VisitStern/index.htm. There will be a registration desk in the lobby.

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

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	Break
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
12:15-1:15	Lunch Frank Hatheway, NASDAQ OMX
	Chair for afternoon sessions: Avanidhar Subrahmanyam, UCLS
1:15-2:15	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
2:15-3:15	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
3:15-3:30	Break
3:30-4:30	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
4:30	Adjourn