Program for the Stern/Salomon Microstructure Meeting, Friday, May 7, 2021

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/Salomon Microstructure Conference is open to everyone with an interest in market microstructure research.

This year the meeting is virtual, on Zoom. The plan is for six papers arranged in one-hour slots, from 8:55 am to 3:15pm (Eastern US time).
The timing will be 20/15/10 (presenter/discussant/Q&A). After the "formal" ten-minute Q&A, there will be fifteen minutes of extended Q&A/break.

REGISTRATION LINK [If this link is blocked, please RSVP to salomon@stern.nyu.edu]

Further details on the conference and registration will be posted on this site.

Eastern US Time

 

8:55

Welcome

9:00

Session chair: Joel Hasbrouck

Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality
Gregory Eaton, Oklahoma State University; Clifton Greene, Goizueta School, Emory University; Brian Roseman, Oklahoma State University;
Yanbin Wu, Goizueta School, Emory University

Discussant: Xiaoyan Zhang, PBC School of Finance, Tsinghua University

10:00

Session chair: Tarun Chordia

On the Effects of Continuous Trading
Ivan Indriawan, Auckland University of Technology; Roberto Pascual, University of the Balearic Islands; Andriy Shkilko, Wilfrid Laurier University

Discussant: Yu-Jane Liu, Guanghua School of Management, Peking University

11:00

Session chair: Paolo Pasquariello

The Design of a Central Counterparty
John Kuong, INSEAD; Vincent Maurin, Stockholm School of Economics

Discussant: David Murphy, London School of Economics

12:00

Tribute to Craig Holden
Stacey Jacobsen, Cox School, SMU

12:15

Session chair: Clara Vega

Monetary Policy Transmission in Segmented Markets
Jens Eisenschmidt, European Central Bank; Yiming Ma, Columbia Business School; Anthony Lee Zhang, Chicago Booth

Discussant: Benjamin Lester, Philadelphia Federal Reserve Bank

1:15

Session chair: Gideon Saar

The Value of Off-Exchange Data
Thomas Ernst, University of Maryland; Jonathan Sokobin, FINRA; Chester Spatt, Carnegie Mellon University

Discussant: Bobby Bartlett, Berkeley Law

2:15

Session chair: Haoxiang Zhu

Size Discount and Size Penalty: Trading Costs in Bond Markets
Gabor Pinter, Bank of England; Chaojun Wang, Wharton; Junyuan Zou, INSEAD

Discussant: Dan Li, Board of Governors of the Federal Reserve Bank

3:15

Adjourn