Modeling High-Frequency Trading Activity

Videos from BIRS Workshop 13w5008

, Olsen Ltd
- 09:04
Introductory Remarks
Watch video | Download video: 201309020859-Olsen.mp4 (34M)
, University of Southern California
- 10:12
High-frequency trading and public policy
Watch video | Download video: 201309020905-Harris.mp4 (303M)
, University of California-Berkeley
- 15:21
History of “Ideas”
Watch video | Download video: 201309021452-Parlour.mp4 (82M)
, Boston University
- 16:35
Economic Fluctuations & Statistical Physics: Quantifying Rare Events: “What Can We Do Before the Next Economic Crisis?”
Watch video | Download video: 201309021553-Stanley.mp4 (160M)
, University of California Berkeley
- 17:42
Day’s Summary and Discussion Groups, Led by: Terry Hendershott
Watch video | Download video: 201309021655-Hendershott.mp4 (157M)
, University of Maryland
- 09:50
Flash crash
Watch video | Download video: 201309030908-Kyle.mp4 (137M)
, Kensho Finance
- 14:41
High-frequency trading in institutional FX
Watch video | Download video: 201309031405-Schmidt.mp4 (98M)
, SwissQuant
- 15:12
Cross-sectional universalities in financial time series
Watch video | Download video: 201309031441-Zumbach.mp4 (85M)
, Quantitative Brokers
- 15:43
Building a market simulator for high frequency trading
Watch video | Download video: 201309031513-Almgren.mp4 (73M)
, HEC Paris
- 16:52
Toxic arbitrage
Watch video | Download video: 201309031615-Foucault.mp4 (130M)
, Scuola Normale Superiore di Pisa
- 10:23
High frequency trading and market shocks
Watch video | Download video: 201309040947-Lillo.mp4 (99M)
, Federal Reserve Board
- 10:41
Discussion of high-frequency trading (Led by Alain Chaboud, Richard Olsen and Alec Schmidt)
Watch video | Download video: 201309050910-Chaboud.mp4 (311M)
, Princeton University
- 12:03
Discussion on econometrics of high-frequency data (Led by Yacine Ait-Sahalia and Torben Andersen)
Watch video | Download video: 201309051110-AitSahalia.mp4 (189M)
, ETH Zurich
- 15:16
Discussion on quantitative risk management in a high-frequency environment (Led by Paul Embrechts and Larry Harris)
Watch video | Download video: 201309051342-Embrechts.mp4 (311M)
, Northwestern University
- 16:36
Day’s Summary and Discussion Groups, Led by: Torben Andersen
Watch video | Download video: 201309051538-Andersen.mp4 (240M)
, Federal Reserve Board
- 11:21
Reflections (Led by Alain Chaboud, Thierry Foucault, Larry Harris, Albert Kyle and Fabrizio Lillo)
Watch video | Download video: 201309060913-Chaboud.mp4 (496M)