Preliminary Program for the Stern Microstructure Meeting, Friday, May 9, 2014

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 There will be a registration desk in the lobby.

Registration Instructions: E-mail with "SMC2014" 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.

Thursday, May 8  
6:30 pm Dinner (open to all registered conference attendees)
Friday, May 9  
8:30 am - 9:00 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