Time: all day Venue: University of Iceland
Organisers: Mathieu Rosenbaum (École Polytechnique), Jean-Pierre Zigrand (London School of Economics), Ásgeir Jónsson (University of Iceland, Central Bank of Iceland), Jon Þór Sturluson (The Financial Supervisory Authority, Iceland) and Hersir Sigurgeirsson (University of Iceland)
Materials available: photos, programme, insights by Kevin Houstoun of Rapid Addition
The conference studies the operations and workings of modern financial markets and their interactions with, and needs for, financial regulations.
Topics include the market microstructure (including algorithmic and high-frequency trading in fast markets), the effects of this microstructure on liquidity, efficiency and stability and the real-world effects and implementations of financial regulations, including regtech. We aim to achieve this by bringing together practitioners, regulators and academic researchers and create a fertile environment for discussion.
Presentations
About the increasing part of fixing: Alexandra Givry (Autorité des marchés financiers) - slides
Large orders in small markets: On optimal execution with endogenous liquidity supply: Agostino Capponi (Columbia University) - slides
Liquidity commonality in low-latency trading platforms: Evidence from the Paris stock market: Patrice Fontaine (CNRS Eurofidai) - slides, paper
High Frequency Measures of Informed Trading and Market Microstructure of Options and Stock Markets: Nimalendran Mahendrarajah (University of Florida) - slides
Quality of tick values: evidence from FX market: Florian Huchedé (Chicago Mercantile Exchange) - slides
The conference is supported by the Financial Supervisory Authority (FME), Economic and Social Research Council (ESRC) [grant number ES/R009724/1], European Research Council (ERC) [679836 STAQAMOF], by the project "Digging into High-Frequency Data: Present and Future Risks and Opportunities (Atlantis)" in the framework of the Trans-Atlantic Platform, and by The chair Analytics and Models for Regulation at École Polytechnique.
For enquiries, please email src@lse.ac.uk.
