Supporting funding is provided by NASDAQ OMX through a grant to the Salomon
Center at Stern.
| Organizer | Joel Hasbrouck, Stern School, NYU |
| Program Committee | Tarun Chordia, Goizueta School, Emory University |
| Amit Goyal, HEC Lausanne | |
| Bruce Lehmann, UCSD | |
| Gideon Saar, Johnson School, Cornell University | |
| Avanidhar Subrahmanyam, Anderson School, 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 "SMC2014" 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.
| Thursday, May 8 | |
| 6:30 pm | Dinner (open to all registered conference attendees) |
| Friday, May 9 | |
|
8:30 am |
Continental Breakfast |
| Morning chair: Tarun Chordia | |
| 9:00 - 10:00 |
A Blessing or a Curse? The Impact of High Frequency Trading on
Institutional Investors Lin Tong, University of Iowa Discussant: Craig Holden, Kelley School University of Indiana |
| 10:00 - 11:00 |
High Frequency Quoting, Trading, and the Efficiency of Prices
Jennifer Conrad, University of North Carolina Sunil Wahal, Arizona State University Jin Xiang, Integrated Financial Engineering Discussant: Terry Hendershott, Haas School, Berkeley |
| 11:00 - 11:15 |
Break |
| 11:15 - 12:15 |
Do Informed Investors Time the Horizon? Evidence from Equity Options
Selwyn Yuen, Northwestern University Discussant: Martijn Cremers, Notre Dame |
|
12:15-1:15 |
Lunch Speaker: Jamie Selway, Managing Director, ITG |
| Afternoon chair: Joel Hasbrouck | |
|
1:15-2:15 |
CDS and Sovereign Bond Market Liquidity Batchimeg Sambalaibat, Carnegie Mellon University Discussant: Haoxiang Zhu, Sloan School, MIT |
|
2:15-3:15 |
Dynamic Dispersed Information and the Credit Spread Puzzle Elias Albagli, Central Bank of Chile Christian Hellwig, Toulouse School of Economics Aleh Tsyvinski, Yale University Discussant: Konstantin Milbradt, Kellogg School, Northwestern University |
|
3:15-3:30 |
Break |
|
3:30-4:30 |
Estimating the order flow component of security returns Kerry Back, Jones School, Rice University Kevin Crotty, Jones School, Rice University Tao Li, City University of Hong Kong Discussant: Rob Engle, Stern School, NYU |
|
4:30 |
Adjourn |