College of Business
AACSB International EQUIS - European Quality Improvement System

Conference on market regulation in presence of high-frequency trading

The Global Research Unit of the Department of Economics and Finance, CityU and Center for Analytical Finance (CAFIN) of UC Santa Cruz co-organized the conference “Market Design and Regulation in the Presence of High-Frequency Trading” from 7th – 9th December 2017.

Dr Eric Aldrich, Associate Director of CAFIN, gave his welcoming remarks for the conference. A total of 12 speakers from world-renowned universities, including the University of Melbourne, UC Santa Cruz, University of New South Wales, IGIDR, Norwegian School of Economics, Stockholm Business School, INSEAD, Columbia University, and University of Washington, and other financial institutions presented their research findings on the topic of high-frequency trading.

The presentations covered key areas such as order protection, crumbling quote, algo trading and its risks, strategic behaviour of HFT fund, etc. The details are as follow:

Keynote session

  • Designing a platform to research and teach algorithmic trading

Session 1

  • Quotes, trades and the cost of capital
  • When do regulatory hurdles work?
  • Liquidity in FX spot and forward markets

Session 2

  • Coming early to the party
  • Call auction volatility extensions

Session 3

  • Speed acquisition
  • Transparency in the equity market: Evidence from a natural experiment 
  • Practitioner address
  • The Evolution of the crumbling quote signal

Session 4

  • Risk and return in High-Frequency Trading
  • The value of a millisecond: Harnessing information in fast, fragmented markets
  • Order protection through exchange delay

 To learn more about the conference, please visit website.