Program for the Stern Microstructure Meeting, Friday, May 19, 2017 Download all papers as one pdf

Supporting funding is provided by NASDAQ OMX through a grant to the Salomon Center at Stern.

Program Committee

Tarun Chordia, Goizueta School, Emory University
Joel Hasbrouck, Stern School, NYU
Bruce Lehmann, School of Global Policy and Strategy, UCSD
Paolo Pasquariello, Ross School, University of Michigan
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 "SMC2017" 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. The schedule below is tentative and subject to revision. (Please don't make travel plans contingent on any particular ordering of the papers.)

Thursday, May 18


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 19


8:30 am - 9:00

Continental Breakfast

9:00 - 10:00

A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
Alejandro Bernales (University of Chile), Italo Riarte (University of Chile), Satchit Sagade (Goethe University Frankfurt and Research Center SAFE), Marcela Valenzuela (University of Chile), Christian Westheide (University of Mannheim)

Discussant: Sabrina Buti (Dauphine Université Paris)

10:00 - 11:00

Toward a Fully Continuous Exchange
Pete Kyle University of Maryland Mina Lee Washington University in St. Louis

Discussant: Haoxiang Zhu (MIT)

11:00 - 11:15


11:15 - 12:15

Institutional Rigidities and Bond Returns around Rating Changes
Matthew Spiegel (Yale School of Management), Laura Starks (University of Texas at Austin)

Discussant: Kumar Venkataraman (Cox School, SMU)




Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays
Michael Brolley Wilfrid Laurier University David Cimon Bank of Canada

Discussant: Eric Budish, University of Chicago


A Model of Multi-Frequency Trade
Nicolas Crouzet Northwestern University Ian Dew-Becker Northwestern University Charles Nathanson Northwestern University

Discussant: Laura Veldkamp, Stern School, NYU




Secondary Market Trading and the Cost of New Debt Issuance
Ryan Davis (University of Alabama Burmingham), David Maslar (University of Tennessee), Brian Roseman (California State University Fullerton)

Discussant: Carole Comerton-Forde (University of Melbourne)