# MARKET MICROSTRUCTURE AND HIGH-FREQUENCY DATA

# Chicago, June 1-3, 2017

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## PROGRAM

Time | Speaker | Title (click for abstract) |
---|---|---|

8:30am | Registration and breakfast | |

9:00am | Conference opening | |

9:10am |
Torben Andersen | Intraday Trading Invariance in Foreign Exchange Futures |

9:50am | Kim Christensen | The Drift Burst Hypothesis |

10:30am | Coffee Break | |

11:00am | Olivier Scaillet | High-Frequency Jump Analysis of the Bitcoin Market |

11:40am | Suzanne Lee | The Impact of Jumps on Carry Trade Return |

12:20pm | Lunch at GCIS | |

1:50pm | George Tauchen | Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale |

2:30pm | Knut Are Aastveit | Bayesian Predictive Density Combinations for Exchange Rate Models |

3:10pm | Coffee Break | |

3:40pm | Dacheng Xiu | When Moving Average Models Meet High-Frequency Data: Uniform Inference on Volatility |

4:20pm | Ruey Tsay | Efficient estimation of Value at Risk by Effective Data Pooling |

5:00pm | Day 1 concludes |

Time | Speaker | Title (click for abstract) |
---|---|---|

9:30am | Registration and breakfast | |

10:00am | Steve Xu | HFT Principles |

10:40am | Mini-Break | |

11:00am | Paul Besson | Main shortcomings of standard volume based trading algorithms and potential improvements of passive-volume indexing |

11:40am | Aurelien Alfonsi | Optimal Execution in a Hawkes Price Model and Calibration |

12:20pm | Lunch at GCIS | |

1:50pm | Lingjiong Zhu | Dark Pool Trading: A Hawkes Process Approach |

2:30pm | Tzu-Wei Yang | A reduced-form model for level-1 limit order books |

3:10pm | Coffee Break | |

3:40pm | Agostino Capponi | Intraday Market Making with Overnight Inventory Costs |

4:20pm | Andrew Papanicolaou | Trading Illiquid Goods: Market Making as a Sequence of Sealed-Bid Auctions, with Analytic Results |

5:00pm | Reception in the Reading Room (down the hallway from the Lecture Room) |

Time | Speaker | Title (click for abstract) |
---|---|---|

9:30am | Registration and breakfast | |

10:00am | Ravi Jagannathan | Frequent Batch Auctions vs Continuous Trading in Stocks: Effect on Volume, Liquidity & Crash Risk |

10:40am | Markus Pelger | Large-dimensional factor modeling based on high-frequency observations |

11:20am | Lunch at GCIS | |

12:50pm | Han Xiao | Autoregressive Model for Matrix Valued Time Series |

1:30pm | Zhengjun Zhang | Generalized Autoregressive Conditional Frechet Models for Maxima |

2:10pm | Coffee Break | |

2:40pm | Viktor Todorov | Nonparametric Option-based Volatility Estimation |

3:20pm | Richard Chen | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data |

4:00pm | Conference concludes |

## ABSTRACTS

### and BIOS (for speakers who do not have web sites)

*Bank of Norway*

*CERMICS*

*Kellogg*

*Kepler Chevreux*

*Bio*

*Columbia*

*Chicago*

*Rutgers*

*Aarhus*

*Kellogg*

*Georgia Tech*

*NYU Tandon*

*Stanford*

*Geneva*

*Duke*

*Kellogg*

*Chicago Booth*

*Chicago Booth*

*Hehmeyer LLC*

*Bio*

*Minnesota*

*Wisconsin*

*Florida State*

University of Chicago Trustee Steve G. Stevanovich, AB '85, MBA '90.