Program for the Stern/Salomon Microstructure Meeting, Friday, May 24, 2024

Last updated: Wednesday May 22, 2024 2:48 PM

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
Liyan Yang, Rotman School, University of Toronto

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

The Stern Microstructure Conference is open to everyone with an interest in market microstructure research. The conference will be held at the Kaufman Management Education Center (KMEC), 44 W. 4th St., NYC (near the southeast corner of Washington Square Park). For more complete directions see https://www.stern.nyu.edu/experience-stern/contact-us/visit-stern. There will be a registration desk in the lobby. Sessions will be held in KMEC 1-70.

Registration Link The registration link is no longer active. Email Joel Hasbrouck at jh4@stern.nyu.edu.

Please note: Hard copies of the papers will not be available at the conference. Links are available below. The schedule below is tentative and subject to revision. (Please don't make travel plans contingent on any particular ordering of the papers.) Download set of all papers (7 MB)

For each paper: 30 min for the presenter; 20 min for the discussant; and 10 min general discussion.

Thursday, May 23  
6:00 pm Conference dinner. Place: KMEC 5-50. (44 West 4th St. You can enter the building from the smaller plaza on the west side. Take the elevator to the 5th floor.)
Open to program participants and a limited number of registered attendees. First-come first-served, preference for program participants from previous years.
Hors d'oeuvres and drinks open at 6:00; dinner at 6:30.
Friday, May 24  
8:30 - 8:55 Continental Breakfast, Room KMEC 1-100.
8:55 - 9:00 Welcome. We usually pass the microphone around the room for introductions (like, "Joel Hasbrouck from Stern Finance.")
9:00 - 10:00

Measuring Interest Rate Risk Management by Financial Institutions
Celso Brunetti (Federal Reserve Board) Nathan Foley-Fisher (Federal Reserve Board) Stephane Verani (Federal Reserve Board)

Discussant: Matthew Pritsker (Federal Reserve Bank of Boston)
Chair: Paolo Pasquariello, Ross School, University of Michigan
10:00 - 11:00

Fragmentation and optimal liquidity supply on decentralized exchanges
Alfred Lehar (University of Calgary); Christine Parlour (Haas School of Business at UC Berkeley); Marius Zoican (University of Toronto)

Discussant: Agostino Capponi (Columbia)
Chair: Joel Hasbrouck, Stern School, NYU
11:00 - 11:15 Break
11:15 - 12:15

Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations
Mathias Kruttli (Kelley School of Business, Indiana University); Marco Macchiavelli (Isenberg School of Management, UMass Amherst); Phillip Monin (Federal Reserve Board); Alex Zhou (Cox School of Business, Southern Methodist University)

Discussant: Or Shachar (Federal Reserve Bank of New York)
Chair: Tarun Chordia, Goizueta School, Emory University

12:15-1:15

Lunch, Room KMEC 1-100
1:15-2:15

Trading, Ambiguity and Information in the Options Market
Azi Ben-Rephael (Rutgers University) Tony Cookson (University of Colorado at Boulder) Yehuda Izhakian (Zicklin School of Business, Baruch College)

Discussant: Indira Puri (Stern School, New York University)
Chair: Clara Vega, Federal Reserve Board

2:15-3:15

Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets
Barardehi Yashar (Chapman University) Peter Dixon ( SEC) Liu Qiyu (SEC)

Discussant: Andriy Shkilko (Wilfrid Laurier University)
Chair: Liyan Yang, Rotman School, University of Toronto

3:15-3:30 Break
3:30-4:30 AI-Powered Trading, Algorithmic Collusion, and Price Efficiency
Winston Dou (Wharton) Itay Goldstein (Wharton) Yan Ji (HKUST)

Discussant: Elena Asparouhova (Eccles School, University of Utah)
Chair: Joel Hasbrouck, Stern School, NYU
4:30 Adjourn