Supporting funding is provided by NASDAQ OMX through a grant to the Salomon
Center at Stern.
| Program Committee | Tarun Chordia, Goizueta School, Emory University Amit Goyal, HEC Lausanne Joel Hasbrouck, Stern School, NYU Bruce Lehmann, UCSD Gideon Saar, Johnson School, Cornell University |
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 "SMC2015" 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 7 | |
| 6:30 pm |
Dinner (open to all registered conference attendees) |
| Friday, May 8 | |
|
8:30 am
|
Continental Breakfast
|
| Morning chair: Gideon Saar, Johnson School, Cornell | |
| 9:00 - 10:00 | Information and Trading Targets in a Dynamic Market Equilibrium Jin Hyuk Choi, Carnegie Mellon University Kasper Larsen, Carnegie Mellon University Duane Seppi, Carnegie Mellon University Discussant: Matthew Spiegel, School of Management, Yale University |
| 10:00 - 11:00 | Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements? Alexander Kurov, West Virginia University Alessio Sancetta, University of London Georg Strasser, Boston College Marketa Halova Wolfe, Washington State University Discussant: Clifton Green, Goizueta School, Emory University |
| 11:00 - 11:15 |
Break
|
| 11:15 - 12:15 | Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims Georgy Chabakauri, London School of Economics Kathy Yuan, London School of Economics Konstantinos E. Zachariadis, London School of Economics Discussant: Liyan Yang, Rotman School, University of Toronto |
|
12:15-1:15
|
Lunch |
| Afternoon chair: Tarun Chordia, Goizueta School, Emory University | |
|
1:15-2:15
|
The Effect of Maker-Taker Fees on Investor Order Choice and Execution Quality in U.S. Stock Markets Shawn O'Donoghue, Indiana University Discussant: Mao Ye, University of Illinois |
|
2:15-3:15
|
Forex Trading and the WMR Fix Martin Evans, Georgetown University Discussant: Carol Osler, Brandeis Powerpoint overheads |
|
3:15-3:30
|
Break |
|
3:30-4:30
|
Regulating Dark Trading: Order Flow Segmentation and Market Quality Carole Comerton-Forde, University of Melbourne Katya Malinova, Copenhagen Business School and the University of Toronto Andreas Park, Copenhagen Business School and the University of Toronto Discussant: Ingrid Werner, Fisher College of Business, Ohio State University |
|
4:30
|
Adjourn
|