Program for the Stern Microstructure Meeting, Friday, May 8, 2015

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 There will be a registration desk in the lobby.

Registration Instructions: E-mail with "SMC2015" 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 7  
6:30 pm

Dinner (open to all registered conference attendees)
The dinner, breakfast and lunch will be at the school. Registration and check-in will be in the first-floor lobby.

Friday, May 8  
8:30 am - 9:00 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

The NASDAQ Access Fee Experiment. First Report. Second Report.
Speaker: Frank Hatheway, NASDAQ Chief Economist Overheads for talk

  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