Trading & Micro structure “Focus on High Frequency Market Making”

September 9th 2011, 9h30 – 12h30

Collège de France – 3 rue d’Ulm – 75005 PARIS

The goal of the workshop is to be a forum for confronting viewpoints between practicioners and academics on topics related to developments in the area of market microstructure (limit order books, high frequency trading, optimal trading strategies, market design, competition between trading venues etc…). This is the 3rd edition of the worskhop.

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Program:

9h30. Albert Menkveld [Amsterdam University]: High Frequency Trading and the New- Market Makers

10h30. Rama Cont [Columbia and Paris 6 Universities], joint work with A. Kukanov and S. Stoikov: The Price Impact of Order Book Events

11h30. Olivier Guéant [Paris 7 University], joint work with J. Fernandez-Tapia and C.A. Lehalle: Dealing with the Inventory Risk.

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– Please feel free to participate, no advance registration is needed, just show up on the day of the event! –

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Contacts:

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For the program of past editions, see http://atelier-tams.blogspot.com/

Cette manifestation est organisée dans le cadre de l’initiative de recherche ‘Micro structure des marchés financier” de la fondation Finance Europlace financée par Crédit Agricole Cheuvreux, sous la responsabilité scientifique de J.M. Lasry [CEREMADE, Université Paris Dauphine].