Advancing the Field of Quantitative Finance
formerly the IAFE

High Frequency Trading and Market Microstructure

Date: October 21, 2011
Uris Hall
Columbia University
New York

The International Association of Financial Engineers is pleased to endorse


High Frequency Trading and

Market Microstructure

Columbia Center for Financial Engineering

Friday, October 21, 2011
Uris Hall
Columbia University
New York

Hosted by:
Center for Financial Engineering, Columbia University

Sponsored by:

Bank of America-Merrill Lynch and One Tick.

The advent of electronic trading has transformed financial markets markets, which are now faced with a flow of supply and demand at various frequencies across a fragmented range of venues. This new high-frequency environment has created a new set of quantitative challenges for investors, market makers, and regulators. In this conference, we will seek to explore and understand some of these challenges.

TOPICS : Market microstructure, High-frequency trading, limit order markets, algorithmic trading, optimal trade execution, dark pools, econometrics of high-frequency data.

Speakers / Panelists:

Brad Banks, Athena Capital Research

Rama Cont, Columbia University

Matt Cushman, Citadel

Jim Gatheral, Baruch College

Larry Glosten, Columbia University

Albert Kyle, University of Maryland

Costis Maglaras, Columbia University

Ciamac Moallemi, Columbia University

Michael Sotiropoulos, Bank of America Merrill Lynch

Sasha Stoikov, Cornell University