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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Supported by the NASDAQ-OMX Foundation

Tarun Chordia, Amit Goyal, Joel Hasbrouck, Bruce Lehmann, Gideon Saar, and
Avanidhar Subrahmanyam, Organizers

December 2, 2016

NBER
2nd Floor Conference Room
1050 Massachusetts Avenue
Cambridge, MA

PROGRAM

PARTICIPANT LIST
Thursday, December 1:
7:00 pm	Group Dinner at Dante Restaurant, Royal Sonesta Hotel
Friday, December 2:
8:00 am	Shuttle Bus leaves Royal Sonesta Hotel for NBER
8:15 am	Continental Breakfast
8:45 am	Lin William Cong, University of Chicago Xun Xu, University of Chicago Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design Discussant: Kevin Crotty, Rice University
9:35 am	Break
9:50 am	Paolo Pasquariello, University of Michigan Agency Costs and Strategic Speculation in the U.S. Stock Market Discussant: Vyacheslav Fos, Boston College
10:40 am	Break
10:55 am	Jennifer Conrad, University of North Carolina at Chapel Hill Sunil Wahal, Arizona State University The Term Structure of Liquidity Provision Discussant: Amy Kwan, University of Sydney
11:45 am	Lunch
1:30 pm	Andriy Shkilko, Wilfrid Laurier University Konstantin Sokolov, Wilfrid Laurier University Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs Discussant: Amy Edwards, U.S. Securities and Exchange Commission
2:20 pm	Break
2:35 pm	Haoming Chen, University of New South Wales Sean Foley, University of Sydney Michael Goldstein, Babson College Thomas Ruf, University of New South Wales The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets Discussant: Charles Jones, Columbia University
3:25 pm	Break
3:40 pm	Katya Malinova, University of Toronto Andreas Park, University of Toronto Market Design with Blockchain Technology Discussant: Andrei Kirilenko, Imperial College London
4:30 pm	Adjourn