Modeling High-Frequency Trading Activity
Videos from BIRS Workshop
Richard Olsen, Olsen Ltd
Monday Sep 2, 2013 08:59 - 09:04
Introductory Remarks
Larry Harris, University of Southern California
Monday Sep 2, 2013 09:05 - 10:12
High-frequency trading and public policy
Christine Parlour, University of California-Berkeley
Monday Sep 2, 2013 14:52 - 15:21
History of “Ideas”
Eugene Stanley, Boston University
Monday Sep 2, 2013 15:53 - 16:35
Economic Fluctuations & Statistical Physics: Quantifying Rare Events: “What Can We Do Before the Next Economic Crisis?”
Terrence Hendershott, University of California Berkeley
Monday Sep 2, 2013 16:55 - 17:42
Day’s Summary and Discussion Groups, Led by: Terry Hendershott
Albert S. Kyle, University of Maryland
Tuesday Sep 3, 2013 09:08 - 09:50
Flash crash
Alec Schmidt, Kensho Finance
Tuesday Sep 3, 2013 14:05 - 14:41
High-frequency trading in institutional FX
Gilles Zumbach, SwissQuant
Tuesday Sep 3, 2013 14:41 - 15:12
Cross-sectional universalities in financial time series
Robert Almgren, Quantitative Brokers
Tuesday Sep 3, 2013 15:13 - 15:43
Building a market simulator for high frequency trading
Thierry Foucault, HEC Paris
Tuesday Sep 3, 2013 16:15 - 16:52
Toxic arbitrage
Fabrizio Lillo, Scuola Normale Superiore di Pisa
Wednesday Sep 4, 2013 09:47 - 10:23
High frequency trading and market shocks
Alain Chaboud, Federal Reserve Board
Thursday Sep 5, 2013 09:10 - 10:41
Discussion of high-frequency trading (Led by Alain Chaboud, Richard Olsen and Alec Schmidt)
Yacine Ait-Sahalia, Princeton University
Thursday Sep 5, 2013 11:10 - 12:03
Discussion on econometrics of high-frequency data (Led by Yacine Ait-Sahalia and Torben Andersen)
Paul Embrechts, ETH Zurich
Thursday Sep 5, 2013 13:42 - 15:16
Discussion on quantitative risk management in a high-frequency environment (Led by Paul Embrechts and Larry Harris)
Torben Anderson, Northwestern University
Thursday Sep 5, 2013 15:38 - 16:36
Day’s Summary and Discussion Groups, Led by: Torben Andersen
Alain Chaboud, Federal Reserve Board
Friday Sep 6, 2013 09:13 - 11:21
Reflections (Led by Alain Chaboud, Thierry Foucault, Larry Harris, Albert Kyle and Fabrizio Lillo)
