Market Microstructure Meeting
Organized by Bruce Lehmann, Avanidhar Subrahmanyam, Tarun Chordia, Gideon Saar, and Org MarketMicro
December 2, 2016
NBER, Cambridge

Friday, December 2

8:45 am

Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design

Lin William Cong, Cornell University and NBER
Xun Xu, University of Florida

9:50 am

Agency Costs and Strategic Speculation in the U.S. Stock Market

Paolo Pasquariello, University of Michigan

10:55 am

The Term Structure of Liquidity Provision

Jennifer Conrad, University of North Carolina at Chapel Hill
Sunil Wahal, Arizona State University

1:30 pm

Every Cloud has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Andriy Shkilko, University of Georgia
Konstantin Sokolov, University of Memphis

2:35 pm

The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets

Haoming Chen, University of New South Wales
Sean Foley, The University of Sydney
Michael Goldstein, Babson College
Thomas Ruf, University of New South Wales

3:40 pm

Market Design with Blockchain Technology

Katya Malinova, McMaster University
Andreas Park, University of Toronto