Program for the Stern Microstructure Meeting, Friday, May 18, 2018 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 "SMC2018" 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 17  
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 18  
8:30 am - 9:00 Continental Breakfast
9:00 - 10:00 Who Supplies Liquidity, and When?
Xin Wang (University of Illinois at Urbana-Champaign) and Mao Ye (University of Illinois at Urbana-Champaign and NBER)

Discussant: Shmuel Baruch (University of Utah)
10:00 - 11:00 Designing Clearinghouse Default Funds
Agostino Capponi (Columbia University), Jessie Jiaxu Wang (Arizona State University), and Hongzhong Zhang (Columbia University)

Discussant: Liyan Yang (University of Toronto)

11:00 - 11:15 Break
11:15 - 12:15 Trading in Crowded Markets
Stepan Gorban (New Economic School), Anna A. Obizhaeva (New Economic School), and Yajun Wang (University of Maryland)

Discussant: Giovanni Cespa (City University of London)
12:15-1:15 Lunch
1:15-2:15 Judgement Day: Alorithmic Trading Around the Swiss Cap Removal
Francis Breedon (Queen Mary University of London), Louisa Chen (University of Sussex), Angelo Ranaldo (University of St. Gallen), and Nicholas Vause (Bank of England)

Discussant: Clara Vega (Board of Governors of the Federal Reserve System)
2:15-3:15 The Sound of Many Funds Rebalancing
Alex Chinco (University of Illinois at Urbana-Champaign) and Vyacheslav Fos (Boston College)

Discussant: Matthew Ringgenberg (University of Utah)
3:15-3:30 Break
3:30-4:30 Information, Liquidity, and Dynamic Limit Order Markets
Roberto Ricco (Bocconi University), Barbara Rindi (Bocconi University and IGIER), and Duane J. Seppi (Carnegie Mellon University)

Discussant: Ioanid Rosu (HEC Paris)
4:30 Adjourn