Program for the Stern Microstructure Meeting, Friday, May 10, 2019 Download all papers as one pdf


Program Committee

Tarun Chordia, Goizueta School, Emory University
Joel Hasbrouck, Stern School, NYU
Paolo Pasquariello, Ross School, University of Michigan
Gideon Saar, Johnson School, Cornell University
Clara Vega, Federal Reserve Board
Haoxiang Zhu, Sloan School, MIT

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 "SMC2019" 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 9  
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 10  
8:30 - 9:00 Continental Breakfast
9:00 - 10:00 Trading Volume, Illiquidity and Commonalities in FX Markets
Angelo Ranaldo (University of St. Gallen) and Paolo Santucci de Magistris (Libera Università Internazionale degli Studi Sociali Guido Carli and CREATES)

Discussant: Alain Chaboud (Federal Reserve Board)

10:00 - 11:00 Statistical Arbitrage with Uncertain Fat Tails
Bo Hu (University of Maryland, College Park)

Discussant: Duane Seppi, Tepper School, Carnegie Mellon University

11:00 - 11:15 Break
11:15 - 12:15 Institutional Brokerage Networks: Facilitating Liquidity Provision
Vikram Nanda, Munhee Han, Sanghyun (Hugh) Kim

Discussant: Terry Hendershott (Haas School, Berkeley)


A conversation with Jamil Nazarali (Global Head of Business Development, Citadel Securities)

1:15-2:15 The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market
Yesol Huh (Federal Reserve Board) and You Suk Kim (Federal Reserve Board)

Discussant: Paul Schultz (Mendoza College of Business, Notre Dame University)

2:15-3:15 Strategic Speed Choice by High-Frequency Traders under Speed Bump
Jun Aoyagi (Haas School, Berkeley)

Discussant: Sophie Moinas (Toulouse School of Economics)

3:15-3:30 Break
3:30-4:30 Dynamic Adverse Selection and Liquidity
Ioanid Rosu

Discussant: Larry Glosten (Graduate School of Business, Columbia University)

4:30 Adjourn