High Frequency Trading Conference

Event details

5 December 2014
08:45 - 18:00
Millennium Gloucester Hotel, Kensington, London, SW7 4LH, United Kingdom

With the launch of the new Brevan Howard Centre in September 2014, we are pleased to announce the centre is holding its first conference on High Frequency Trading.

High Frequency Trading is a controversial practice.  Some regard it as an essential part of modern markets that considerably enhances liquidity.  Others regard it as a socially undesirable practice that leads to a waste of resources.  This conference consists of some of the most recent papers on the topic that help throw light on these and other questions concerning how it operates.

Details as Follows
Time Activity
08.45-09.15 Registration
09.15-09.30 Welcome address – Professor G. ‘Anand’ Anandalingam, Dean, Imperial College Business School
09.30-10.15 Speaker: Rama Cont (Imperial College – Department of Mathematics) Paper: Algorithmic trading and market dynamics?
10.15-11.00 Speaker: Peter Cramton (University of Maryland) Paper: The High Frequency Arms Race: Frequent Batch Auctions as a Market Design Response. (Co-authored with Eric Budish and John Shim – Chicago Booth)
11.00-11.30 Tea/Coffee
11.30-12.30 Keynote Address Speaker: Pete Kyle (University of Maryland)Paper: The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
12.30-13.30 Lunch
13.30-14.15 Speaker: Emiliano Pagnotta (Imperial College Business School) Paper: Speed, Fragmentation, and Asset Prices
14.15-15.00 Speaker: Giovanni Cespa (Cass Business School) & Xavier Vives (IESE Business School)
15.00-15.30 Tea/Coffee
15.30-16.15 Speaker : Songzi Du (Simon Fraser University Vancouver) & (co -authored with Haoxiang Zhu – MIT Sloan School of Management) Paper: Welfare and Optimal Trading Frequency in Dynamic Double Auctions
16.15-17.00 Speaker: Albert Menkveld (VU University of Amsterdam) & Co-authored with Marius Zoican –VU University of Amsterdam)Paper: Need for Speed? Exchange Latency and Liquidity
17:00-18:00 Drinks Reception

Event details

5 December 2014
08:45 - 18:00
Millennium Gloucester Hotel, Kensington, London, SW7 4LH, United Kingdom

Event details

Date: 5 December 2014
Time: 08:45 - 18:00
Venue: Millennium Gloucester Hotel, Kensington, London, SW7 4LH, United Kingdom
Contact: