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.
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 Roșu (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)
Darya Yuferova (Norwegian School of Economics), Mario Bellia (Goethe), Loriana Pelizzon (Ca'Foscari), Marti G. Subrahmanyam (NYU), Jun Uno (Waseda)
Bart Zhou Yueshen (INSEAD), Shiyang Huang (HKU)
