Contrats de Recherche

Algorithmic Trading


PhD Workshop, 31 août 2010

• Jean-Edouard Colliard (PSE)
• Hannah Ding (CRM)
• Peter Hoffman (Pompeu Fabra)
• Paula Margaretic (CRM)


PhD Workshop, 5 décembre 2011

• Hannah Ding (CRM)
• Marco Heinmann (CRM)
• Jieying Hong (TSE)
• Liviu Andronic (CRM)
• Jamel Jaballah (CRM)
• Paula Margaretic (CRM)
• Nina Yin (TSE)


PhD Workshop, 14 décembre 2012

• Liviu Andronic (CRM)
• Clément Lyon-Caen (TBS)
• Karoll Gomez (TSE)
• Mattia Girotti (TSE)
• Jamil Jaballah (CRM)
• Jieying Hong (TSE)
• Hannah Ding (CRM)
• Anton van Boxtel (Tilburg University)


PhD Workshop, 6 décembre 2013

• Nordine ABIDI (TSE)
• Selma BOUSSETTA (CRM)
• Karoll GOMEZ (TSE)
• Mattia GIROTTI (TSE)
• Hannah DING (CRM)
• Nassima SELMANE (CRM)
• Liviu ANDRONIC (CRM)

International conference on « High Frequency Trading, Paris », April 18 & 19, 2013

THURSDAY 18TH APRIL 2013
Session 1 - 9:30-12:30pm - Chair: Laurence Lescourret (ESSEC)
9:25 - 9:30am Opening address Laurent Fournier (NYSE Euronext)
9:30 - 10:20am News trading and speed - Thierry Foucault (HEC), Johan Hombert (HEC) & Ioanid Rosu (HEC)
10:20 - 11:10am Fast trading & prop trading - Bruno Biais (TSE), Fany Declerck (TSE) & Sophie Moinas (TSE)
11:10 - 11:40am Coffee break
11:40 - 12:30pm High Frequency Quoting: Short-Term Volatility in Bids and Offers - Joel Hasbrouck (NYU)
12:30-1:30pm Lunch
Session 2 - 1:30-5:30pm - Chair: Sophie Moinas (TSE)
1:30 - 2:20pm Rise of the machines: Algorithmic trading in the foreign exchange market - Alain Chaboud (FED), Benjamin Chiquoine (Stanford Management Company), Erik Hjalmarsson (University of London) & Clara Vega (FED)
2:30 - 3:10pm High Frequency Trading and price discovery - Jonathan Brogaard (University of Washington), Terrence Hendershott (Berkeley) & Ryan Riordan(University of Ontario Institute of Technology)
3:10 - 3:40pm Coffee break
3:40 - 4:30pm High-Frequency Trading and Market Stability - Mark Van Achter (Erasmus University) & Dion Bongaerts (Erasmus University)
4:30 - 5:20pm High-Frequency Trading - Andrei Kirilenko (MIT)
5:30 - 6:45pm Roundtable - Is High Frequency Liquidity beneficial to the market?
Speakers : Lisa Dallmer (NYSE Euronext), Thierry Foucault (HEC), Benjamin Filippi (Millennium Partners), Mark Spanbroek (FIA EPTA)
6:45 - 7:45pm Cocktail

FRIDAY 19TH APRIL 2013
Session 3 - 9:00-12:00pm - Chair: Fany Declerck (TSE)
9:00 - 9:50am Middlemen interaction and its effect on market quality - Albert Menkveld (VU University Amsterdam) & Bart Z. Yueshen (Tinbergen Institute Amsterdam)
9:50 - 10:40am Competing on speed - Thomas Philippon (NYU) & Emiliano Pagnotta (NYU)
10:40 - 11:10am Coffee break
11:10 - 12:00pm A dynamic limit order market with fast and slow traders - Peter Hoffmann (ECB)