High Frequency Trading and Market Microstructure
Date: October 21, 2011
The International Association of Financial Engineers is pleased to endorse
Friday, October 21, 2011
Center for Financial Engineering, Columbia University
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