Department of Economics & Finance
College of Business - City University of Hong Kong AACSB International EQUIS - European Quality Improvement System

Market Design and Regulation in the Presence of High-Frequency Trading
December 7-8, 2017
City University of Hong Kong, Hong Kong

Organized by Global Research Unit at Department of Economics and Finance, City University of Hong Kong, and Center for Analytical Finance, University of California, Santa Cruz 
 


Call for Papers 

Program (Updated! 06 Dec 2017)
Papers

Organizers
Global Research Unit, City University of Hong Kong
Center for Analytical Finance, University of California, Santa Cruz
 

About the Conference

Automated, low-latency trading has become prevalent in financial markets during the last decade. Only recently have policy makers and private institutions taken actions aimed to mitigate the negative consequences of aggressive high-frequency trading (HFT). Several examples include (1) in Oct 2015, BATS Chi-X Europe instituted a frequent call market to run in parallel with its traditional continuous limit order book, (2) in June 2016, Investors Exchange LLC (IEX) obtained SEC approval to operate a public exchange which delays all inbound and outbound messages to their system, and (3) in August 2016, the Securities and Exchange Board of India commissioned a study of potential regulations to delay or randomize orders at India’s National Stock Exchange. The impact of new trading mechanisms and regulations, however, is not fully understood and further study by academics, practitioners and regulators is vital. This conference will provide a platform for discussing advances in research related to market design and regulation of high-frequency trading, striking a balance between academic rigor and policy relevance.

We invite researchers to present their original work on topics including, but are not necessarily limited to, the following:

  • High frequency trading and regulatory reforms
  • Financial market (exchange) design
  • The role of order types (specifically hidden orders)
  • Market fragmentation; Dark pools
  • Information content of prices
  • Liquidity/Flash crashes
  • Implications for institutional and retail investors

Those interested in participating should send a complete paper or an extended abstract in WORD or PDF format via email to gruhkg@cityu.edu.hk by September 15, 2017.  Authors of accepted papers will be notified by October 3, 2017. Final versions of the accepted papers will be posted on the conference website (http://www.cb.cityu.edu.hk/ef/conference/2017_HFT/). Presenters may apply for financial support to cover economy class airfare and local accommodation expenses.
 

Keynote Speakers
Peter Bossaerts, University of Melbourne
Allison Bishop, IEX and Columbia University

Conference Committee
Yin-Wong Cheung, City University of Hong Kong
Nirvikar Singh, Center for Analytical Finance, University of California, Santa Cruz 

Organizing Committee
Eric Aldrich, Center for Analytical Finance, University of California, Santa Cruz 
Kristian Lopez-Vargas, Center for Analytical Finance, University of California, Santa Cruz 
Zhong Zhang, City University of Hong Kong

Registration form 

Enquiries: 
Yin-Wong Cheung: yicheung@cityu.edu.hk
Nirvikar Singh: boxjenk@ucsc.edu

Acknowledgement
We thank the Hung Hing Ying and Leung Hau Ling Charitable Foundation (孔慶熒及梁巧玲慈善基金) for their support through the Hung Hing Ying Chair Professorship of International Economics (孔慶熒講座教授(國際經濟)).

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