Keynote Speakers:

Name Affiliation Topic
Carr, Peter Head of Quant Research Morgan Stanley Arbitraging Convexity Violations via HFT.
Cont, Rama Imperial College, UK Algorithmic Trade Execution and Intraday Market Dynamics
Kakushadze, Zura
Quantigic Solutions LLC  Heterotic Risk Models
Glasserman, Paul  Columbia University Does Unusual News Forecast Market Stress?
Schwall, John COO at IEX Group  Behand the Scenes: Flash Boys and IEX


Regular Speakers:

Name Affiliation Topic
Almgren, Robert Quantitative Brokers Electronic Trading in US Treasury Markets
Asl, Farshid Head of Strategic and Quantitative Asset Allocation Goldman Sachs The Evolution of Asset Allocation in the Context of Modern Electronic Markets
Barunik, Josef Charles University, Czech Republic Quantile Cross-Spectral Measures of Dependence between Economic Variables
Cartea, Alvaro University College London, UK  A Closed-Form Execution Strategy to Target VWAP
Corlay, Sylvain Bloomberg L.P. Quantitative Finance Research The Cassowary Arbitrage
Creamer, German Stevens Institute of Technology Forecasting Systemic Risk from a Network Perspective
Cruz, Andrea Universidad Nacional de Colombia, Colombia Market Trend Visual Bag of Words Informative Patterns in Limit Order Books
Gao, Xuefeng The Chinese University of Hong Kong, China Limit Theorems for Linear Markovian Hawkes Processes with Large Intensity
Guo, Xin  UC Berkeley  Dynamics of Orer Positions in a LOB and Related Queues
Arbuzov, Vyacheslav & Sautenkov, Ivan

PROGNOZ, Risk Lab, Russia & Bank of Russia, Russia

Tick Size and HFT Activity on Russian Stock Market
Jaimungal, Sebastian  University of Toronto, Canada  Foreign Exchange Markets with Last Look
Khashanah, Khaldoun Stevens Institute of Technology Information Flow Zoning and Architecture for HFF
Kirilenko, Andrew Imperial College Business School, UK Latency and Asset Prices
Law, Baron Purdue University A Pure-Jump Market-Making Model for High-Frequency Trading
Markov, Vladimir  Bloomberg L.P. Quantitative Finance Research Modelling Executions in a Dark Pool
Moise, Claudia U.S. Securities and Exchange Commission The Joint Pricing of Volatility and Liquidity
Putnam, Bluford CME Group Thoughts on Financial Market Phase Transitions, Portfolio Risk Management & Statistical Challenges
Srinivasan, Sayee U.S. Commodity Futures Trading Commission Regulatory Perspectives of Automated Trading
Schmidt, Anatoly. B. Kensho; Stevens Institute of Technology Impact of Macroeconomic Announcements on US Equity Prices: Do Surprises Matters?
Seppi, Duane Carnegie Mellon University Information and Trading Targets in a Dynamic Market Equilibruim
'Smid, Martin Institute of Information Theory and Automation, Czech Republic On Distribution of Zero Intelligence Models by L1 Data
Vacha, Lucas Charles University, Czech Republic Influence of Co-jumps on Realized Correlations in Financial and Commodity Markets
B.Varela, Maria P. University of Texas at El Paso Levy Models, Long Memory Effects and Wavelet Analysis Applied to the Study of High Frequency Data Arising in Finance and Geophysics
Yang, Steve Stevens Institute of Technology Genetic Programming Optimization for a Sentiment Feedback Strength Based Trading Strategy


Student Speakers:

Name Affiliation Topic
Chen, Yuanyuan The Chinese University of Hong Kong, China Optimal Exposure Problem in Limit Order Book
Herman, Krzysztof G. Syracuse University High Frequency Trading: Impact of Fragmentation and Hidden Liquidity
Krehlik, Tomas

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

Measuring the Frequency Dynamics of Financial and Macroeconomic Connectedness
Li, Qian University of Missouri Location Multiplicative Error Model and a Modified QMLE: Asymptotic Inference and Empirical Analysis
Noumir, Ashraf Purdue University High Frequency Trading: A Cost-Benefit Analysis
Salighehdar, Amin Stevens Institute of Technology Behavioural Study of Liquidity Measures in Stock Market
Tweneboah, Osei K. University of Texas Stochastic Differential Equations Applied to the Study of Geophysical and Financial Time Series
Vach, Daniel Charles University, Czech Republic Comparison of Double Auction Bidding Strategies for Automated Trading Agents
Viqueira, Enrique A. Brown University Predicting Order Direction Using Support Vector Machines
Wang, Jian Florida State University Evolution of Limit Order Book Dynamics: One Machines Learning High requency Trading Modelvolution of Limit Order Book Dynamics: One Machines Learning High requency Trading Model
Zhao, Ran & Schellhorn, Henry Claremont Graduate University A No-Arbitrage Model of Liquidity in Financial Markets Involving Brownian Sheets
Zeng, Jinyu Stevens Institute of Technology Stevens High Frequency Trading System: A Presentation

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