Program Committee |
Tarun Chordia, Goizueta School, Emory 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 "SMC2019" 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. 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 - |
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) |
12:15-1:15
|
Lunch |
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
|