Authors, please upload your paper here.
NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Tarun Chordia, Charles Jones, Bruce Lehmann, and Avanidhar
Subrahmanyam, Organizers
Royal Sonesta
Hotel
Parkview Room
7:00 pm Group Dinner
Dante Restaurant, Royal Sonesta Hotel
8:15 am Continental Breakfast
8:45 am J. Doyne Farmer, Santa
Fe Institute
Austin Gerig, Santa Fe
Institute
Fabrizio
Lillo, Santa Fe Institute
Henri
Waelbroeck, Pipeline Financial Group
How Efficiency Shapes Market Impact
Discussant: Ioanid Rosu, HEC Paris
9:35 am Coffee Break
High Frequency Trading and Its Impact on Market Quality
Discussant: Terrence Hendershott, UC, Berkeley
10:40 am Coffee Break
10:55 am Joel
Hasbrouck,
Gideon
Saar,
Discussant: Ciamac Moallemi, Columbia University
11:45 am Lunch
Lunch Speaker: Frank Hatheway, NASDAQ OMX
1:30 pm Andrei Kirilenko, Commodity Futures Trading Commission
Albert
Kyle,
Mehrdad
Samadi, Commodity Futures Trading Commission
Tugkan Tuzun,
The Flash Crash: The Impact of High Frequency Trading on an
Electronic Market
Discussant: Richard Bookstaber, Securities and Exchange
Commission
2:20
pm Coffee Break
2:35 pm Amber Anand,
Paul
Irvine,
Andy Puckett,
Kumar
Venkataraman, Southern
Market Crashes and Institutional
Trading
Discussant: Anna Obizhaeva, University of Maryland
3:25 pm Coffee
Break
3:40 pm Cristina Cella, Stockholm School of Economics
Andrew
Ellul,
Mariassunta Giannetti, Stockholm School of Economics
Investors Horizons and the Amplification of Market Shocks
Discussant: Christian Lundblad,
4:30 pm Adjourn