Time Event Location
8:00 - 8:45 a.m.

Registration and Opening Remarks
Continental Breakfast

Bissinger, Howe Center 4fl
8:45 - 9:30 a.m.

Keynote Lecture  Heterotic Risk Models

Zura Kakushadze, Quantigic Solutions LLC

Bissinger, Howe Center 4fl
9:30 - 9:40 a.m. Break
9:40 - 10:10 a.m.

Talk: Electonic Trading in US Treasury Markets

Robert Almgren, Quantitative Brokers

Bissinger, Howe Center 4fl
10:10 - 10:40 a.m.

Talk:  Forecasting Systemic Risk from a Network Perspective

German Creamer, Stevens Institute of Technology

Bissinger, Howe Center 4fl
10:40 - 10:50 a.m. Break Bissinger, Howe Center 4fl
10:50 - 11:20 a.m.

Talk: Dynamics of Order Positions in a LOB and Related Queues

Xin Guo, UC Berkeley

Bissinger, Howe Center 4fl
11:20 - 11:50 a.m.

Talk:   Impact of Macroeconomic Announcements on US Equity Prices: Do Surprises Matter?

Anatoly B. Schmidt, Kensho; Stevens Institute of Technology

Bissinger, Howe Center 4fl
11:50 a.m. - 1:10 p.m. Lunch Bissinger, Howe Center 4fl
1:10 - 2:00 p.m.

Keynote Lecture:   Does Unusual News Forecast Market Stress?

Paul Glasserman, Columbia University

Bissinger, Howe Center 4fl
2:00 - 2:30 p.m.

Talk: Information Flow Zoning and Architecture for HFF

Khaldoun Khashanah, Stevens Institute of Technology

Bissinger, Howe Center 4fl
2:30 - 2:40 p.m. Break
2:40 - 3:10 p.m.

Talk: The Joint Pricing of Volatility and Liquidity

Claudia Moise, U.S. Securities and Exchange Commission

Bissinger, Howe Center 4fl
3:10 - 3:40 p.m.

Talk: Modelling Executions in a Dark Pool

Vladimir Markov, Bloomberg L.P. Quantitative Finance Research

Bissinger, Howe Center 4fl
3:40 - 4:10 p.m.

Talk:  Genetic Programming Optimization for a Sentiment Feedback Strength Based Trading Strategy

Steve Yang, Stevens Institute of Technology

Bissinger, Howe Center 4fl
4:00 - 6:30 p.m. Poster Session Atrium, Babbio Center
5:00 - 5:15 p.m.

Student Presentation:Evolution of limit order book dynamics: One machine learning high frequency trading model

Jian Wang, Florida State University

Room 122, Babbio Center
5:15 - 5:30 p.m.

Student Presentation: Location Multiplicative Error Model and a Modified QMLE: Asymptotic Inference and Empirical Analysis

Qian Li, University of Missouri

Room 122, Babbio Center
5:30 - 5:45 p.m.

Student Presentation: A No-Arbitrage Model of Liquidity in Financial Markets Involving Brownian Sheets

Ran Zhao/Henry Schellhorn, Claremont Graduate University

Room 122, Babbio Center
5:45 - 6:00 p.m.

Student Presentation: High Frequency Trading: A Cost-Benefit Analysis

Ashraf Noumir

Room 122, Babbio Center
6:00 - 6:15 p.m.

Student Presentation: Stevens High Frequency Trading System: A Presentation

Jinyu Zeng, Stevens Institute of Technology

Room 122, Babbio Center
6:15 - 6:30 p.m.

Student Presentation: Behavioral Study of Liquidity Measures in Stock Market

Amin Salighehdar, Stevens Institute of Technology

Room 122, Babbio Center
7:00 - 9:30 p.m. Dinner
Atrium, Babbio Center
Time Event Location
7:30 - 8:10 a.m. Continental Breakfast
Bissinger, Howe Center 4fl
8:00 - 8:50 a.m.

Keynote LectureAlgorithmic Trade Execution and Intraday Market Dynamics

Rama Cont, Imperial College, UK

Bissinger, Howe Center 4fl
8:50 - 9:00 a.m. Break
9:00 - 9:30 a.m.

Talk: Latency and Asset Prices

Andrei Kirilenko, Imperial College Business School, UK

Bissinger, Howe Center 4fl
9:30 - 10:00 a.m.

Talk: The Evolution of Asset Allocation in the Context of Modern Electronic Markets

Farshid Asl, Goldman Sachs

Bissinger, Howe Center 4fl
10:00 - 10:30 a.m.

Talk:  Information and Trading Targets in a Dynamic Market Equilibrium

Duane Seppi, Carnegie Mellon University

Bissinger, Howe Center 4fl
10:30 - 11:00 a.m.

Talk:   A Pure-Jump Market-Making Model for High-Frequency Trading

Baron Law, Purdue University

Bissinger, Howe Center 4fl
11:00 - 11:00 a.m.

Break

11:10 - 12:00 p.m.

Keynote Lecture: Behand the Scenes: Flash Boys and IEX

John Schwall, IEX Group

Bissinger, Howe Center 4fl
12:00 - 1:00 p.m. Lunch
Bissinger, Howe Center 4fl
1:00 - 1:30 p.m.

Talk: Regulatory Perspectives of Automated Trading

Sayee Srinivasan, U.S. Commodity Futures Trading Commission

Bissinger, Howe Center 4fl
1:30 - 2:00 p.m.

Talk:  Thoughts on Financial Market Phase Transitions, Portfolio Risk Management & Statistical Challenges

Bluford Putnam, CME Group

Bissinger, Howe Center 4fl
2:00 - 2:10 p.m.

Break

2:10 - 5:00 p.m. Networking and Idea Exchange

Room 104, Babbio Center

Atrium, Babbio Center

5:00 - 5:30 p.m. Break
5:30 - 6:00 p.m. Transportation to Dinner Cruise/Boarding Conference Site and Weehawken, New Jersey
6:30 - 9:30 p.m. Dinner Cruise
Weehawken, New Jersey
Time Event Location
8:00 - 8:30 a.m. Continental Breakfast Bissinger, Howe Center 4fl
8:30 - 9:20 a.m.

Keynote Lecture: Arbitraging Convexity Violations via HFT

Peter Carr, Morgan Stanley

Bissinger, Howe Center 4fl
9:20 - 9:30 a.m. Break
9:30 - 10:00 a.m.

Talk: Tick Size and HFT Activity on Russian Stock Market

Vyacheslav Arbuzov, PROGNOZ, Risk Lab, Russia & Ivan Sautenkov, Bank of Russia, Russia

Bissinger, Howe Center 4fl
10:00 - 10:30 a.m.

Talk: Limit Theorems for Linear Markovian Hawkes Processes with Large Intensity

Xuefeng Gao, The Chinese University of Hong Kong, China

Bissinger, Howe Center 4fl
10:30 - 11:00 a.m.

Talk:  Market Trend Visual Bag of Words Informative Patterns in Limit Order Books

Andrea Marcela Cruz Moreno, Universidad Nacional de Colombia, Colombia

Bissinger, Howe Center 4fl
11:00 - 11:10 a.m. Break
11:10 - 11:40 a.m.

Talk: A Closed-Form Execution Strategy to Target VWAP

Alvaro Cartea, University College London, UK

Bissinger, Howe Center 4fl
11:40 a.m. - 12:10 p.m.

Talk: Foreign Exchange Markets with Last Look

Sebastian Jaimungal, University of Toronto, Canada

Bissinger, Howe Center 4fl
12:10 - 12:40 p.m.

Talk:The Cassowary Arbitrage

Sylvain Corlay, Bloomberg L.P. Quantitative Finance Research

Bissinger, Howe Center 4fl
12:40 - 1:30 p.m. Lunch Bissinger, Howe Center 4fl
1:30 - 2:00 p.m.

Talk: Influence of co-jumps on Realized Correlations in Financial and Commodity Markets

Lukas Vecha, Charles University, Czech Republic

Bissinger, Howe Center 4fl
2:00 - 2:30 p.m.

Talk: Quantile Cross-Spectral Measures of Dependence between Economic Variables

Josef Barunik, Charles University, Czech Republic

Bissinger, Howe Center 4fl
2:30 - 3:00 p.m.

Talk: On Distribution of Zero Intelligence Models and its Estimation by L1 Data

Martin Smid, Institute of Information Theory and Automation, Czech Republic

Bissinger, Howe Center 4fl
3:00 - 3:30 p.m.

Talk: Levy Models, Long Memory Effects and Wavelet Analysis Applied to the Study of High Frequency Data Arising in Finance and Geophysics

Maria Pia Beccar Varela, University of Texas at El Paso

Bissinger, Howe Center 4fl
3:30 - 3:45 p.m. Break
3:45 - 4:00 p.m.

Student Presentation:  Stochastic Differential Equations Applied to the Study of Geophysical and Financial Time Series

Osei Kofi Tweneboah, University of Texas

Hanlon Financial Systems Lab, Babbio Center
4:00 - 4:15 p.m.

Student Presentation: Optimal Exposure Problem in Limit Order Book

Yuanyuan Chen, The Chinese University of Hong Kong, China

Hanlon Financial Systems Lab, Babbio Center
4:15 - 4:30 p.m.

Student Presentation: Predicting Order Direction Using Support Vector Machines

Enrique Areyan Viqueira, Brown University

Hanlon Financial Systems Lab, Babbio Center
4:30 - 4:45 p.m.

Student Presentation: High Frequency Trading: Impact of Fragmentation and Hidden Liquidity

Krzysztof Grzegorz Herman, Syracuse University

Hanlon Financial Systems Lab, Babbio Center
4:45 - 5:00 p.m.

Student Presentation: Comparison of Double Auction Bidding Strategies for Automated Trading Agents

Daniel Vach, Charles University, Czech Republic

Hanlon Financial Systems Lab, Babbio Center
5:00 - 5:15 p.m.

Student Presentation:  Measuring the Frequency Dynamics of Financial and Macroeconomic Connectedness

Tomas Krehlik, Institute of Information Theory and Automation Czech Academy of Sciences, Czech Republic

Hanlon Financial Systems Lab, Babbio Center
5:15 - 5:30 p.m.

Break

5:30 p.m. Dinner Atrium, Babbio Center

 

 

 

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