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

Market Design and Regulation in the Presence of High-Frequency Trading Papers 

Dec 7-8, 2017
Room 14-222, 14/F Lau Ming Wai Academic Building (LAU), City University of Hong Kong

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


Papers (in alphabetical order of the family names of the presenters) 
Hard copies will not be provided during the conference. Please print and bring your own copies as needed. Thank you.


Order Protection through exchange delay 

Eric Aldrich (UCSC), Daniel Friedman (UCSC)


The Evolution of the Crumbling Quote Signal

Allison Bishop (Columbia and IEX, LLC)


Designing A Platform To Research And Teach Algorithmic Trading

Peter L. Bossaerts (Melbourne)


Risk and Return in High-Frequency Trading

Jonathan Brogaard (Washington), Matthew Baron (Cornell), Björn Hagströmer (Stockholm Business School) and Andrei Kirilenko (Imperial)


Transparency in the Equity Market: Evidence from a Natural Experiment 

G. Nathan Dong (Columbia), Wan-Jiun Paul Chiou (Northeastern) and Alejandro Serrano (PSU Abington)


Call Auction Volatility Extensions

Ester Félez-Viñas (Stockholm Business School), Björn Hagströmer (Stockholm Business School)


The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets

Thomas Ruf (UNSW), Sean Foley (Sydney), Michael A. Goldstein (Babson) and Haoming Chen (UNSW)


Quotes, Trades and the Cost of Capital with Appendix

Elvira Sojli (UNSW), Ioanid RoČ™u (HEC Paris) and Wing Wah Tham (UNSW)


Liquidity in FX spot and forward markets

Vladyslav Sushko (Bank for International Settlements), Ingomar Krohn (Warwick)


When do regulatory hurdles work?

Susan Thomas (IGIDR), Nidhi Aggarwal (IIM Udaipur) and Venkatesh Panchapagesan (IIM Bangalore)


Coming early to the party

Darya Yuferova (Norwegian School of Economics), Mario Bellia (Goethe), Loriana Pelizzon (Ca'Foscari), Marti G. Subrahmanyam (NYU), Jun Uno (Waseda)


Speed Acquisition 

Bart Zhou Yueshen (INSEAD), Shiyang Huang (HKU)