Department of Economics & Finance
AACSB International EQUIS - European Quality Improvement System
  

Workshop on High-Frequency and

Algorithmic Trading in Financial Markets

Organized by City University of Hong Kong, Department of Economics and Finance, and the Research Center for International Economics (RCIE)
 
June 6, 2014
​P4703, AC1, City University of Hong Kong, Hong Kong
 

Algorithmic and High-frequency Trading use computers to allow traders to connect their servers to the electronic limit order books and react to changes in market conditions within milliseconds. In the U.S. equity market alone, it has been estimated that 70 percent of trading volume originates from computer-driven accounts. Growing figures have been similarly recorded for other asset classes (e.g. FX and fixed income) and across different geographical regions, including Asia-Pacific. Although they have been defined as “one of the most significant market structure developments in recent years”; only very recently academics, market practitioners and regulators have begun to explore the impact of these new forms of trading on financial markets. A one-day workshop is hosted at City University of Hong Kong to provide market practitioners, academics and policy makers with a timely review of the recent literature on automated trading in financial markets and their major implications for asset prices, market efficiency and regulatory actions. 

The Keynote Speaker of the event will be Professor Thierry Foucault (HEC Paris).

Registration form for general participants (closing date: May 23, 2014)

Keynote Speaker

Thierry Foucault, HEC Paris
 
Speakers and Discussants
Matthew Baron, Princeton University
Alejandro Bernales, Universidad de Chile
Jonathan Brogaard, University of Washington
Adam Clark-Joseph, University of Illinois UC
Terrence Hendershott, UC Berkeley
Ingrid Lo, Bank of Canada     
Sophie Moinas, Toulouse University
Richard Payne, Cass Business School
Neil Pearson, University of Illinois UC
Elvira Sojli, Erasmus University
Wing Wah Tham, Erasmus University
 
Panel Session
Moderator
Larry Cao, CFA Institute
Mr. Cao, CFA, is director of content at CFA Institute, where he serves as a thought leader for Asia-focused content, events, and conferences. Previously, he served as senior client education and product communications manager for the Asia-Pacific region at HSBC. Cao also served as a fixed-income portfolio manager at the People’s Bank of China. He also worked at Munder Capital Management, where he managed US and international equity portfolios, and at Morningstar, where he developed financial planning solutions and managed asset allocation strategies for a global financial institution clientele.
 
Speakers
Brian R. Brown, Non-Executive Director Shogi Group
Mr Brown is a former banker, having spent 15 years within investment banking and one of Wall Street's most successful hedge funds. He was an executive at Morgan Stanley, where he participated in numerous industry milestones, such as the IPO of China Construction Bank. He is the author of "Chasing the Same Signals", published by John Wiley & Sons in 2010, a book that is widely recognized as a thought leader in regulation of the financial markets.
Bartt C. Kellermann, Founder and CEO of Global Capital Acquisition
Mr Kellermann is the Founder and CEO of Global Capital Acquisition, a financial consulting firm assisting hedge funds in their marketing efforts. The firm also manages capital introductions meetings around the world and is the host of the Battle of the Quants, an event focused on highlighting cutting edge quantitative trends in the global financial system. Mr. Kellermann is a regular speaker at hedge fund conferences internationally and has appeared on MSNBC and Bloomberg TV reflecting on the current state of the hedge fund industry.
David Li, HKEx
Dr. Li is senior advisor at the Hong Kong Exchanges and Clearing Ltd. He advises senior managers at the exchange on technology, commodities market development, and OTC clearing. Prior to joining HKEx, he was CEO of Global Financial Technology, Chief Technology Officer for the Shanghai Futures Exchange, Chief Architect of Information Services and Director of Software Engineering at the New York Mercantile Exchange.
Bill Morton, Chief Technologies Officer, iSys Capital Technologies and GordianIT
Mr Morton has an extensive career in Information Technology and Business Consulting sectors. His areas of expertise include enterprise facilities management, operations and planning, software development, systems architecture, as well as corporate financial planning and management. His career includes deep technical and consulting background including building extensive facilities management practices, commercial application development, technical software development (operating systems, real-time systems, etc.), and development of “blueprinting” approaches to IT architecture.
 
Organizing Committee
Terrence Hendershott (University of California, Berkeley)
Ingrid Lo (Bank of Canada)
Albert J. Menkveld (VU University Amsterdam)
Dagfinn Rime (Norges Bank)
Giorgio Valente (City University of Hong Kong)
Clara Vega (Federal Reserve Board)
Junbo Wang (City University of Hong Kong)
J. Leon Zhao (City University of Hong Kong)
 

Useful Information

 For enquiries, please email HFAT.2014@cityu.edu.hk