Market Design: High Frequency Trading


Program


Welcome & Keynote, 10:00 – 10:45 am

Session 1, 10:45 am – 12:15 pm

Market Integration and High Frequency Trading

High-Frequency Trade and Market Performance

Lunch, 12:15 – 1:30 pm

Session 2, 1:30 – 3:00 pm

The Flash Crash Deconstructed

  • Greg Laughlin, UC Santa Cruz, Department of Astronomy and Astrophysics

“Need for Speed? Exchange Latency and Market Quality”

Break, 3:00 – 3:30 pm

Session 3, 3:30 – 5:45 pm

Performance Evaluation of Algorithmic Trading Strategies

Competition Among Exchanges

The Random Walk of High Frequency Trading

Dinner, 6:30 – 8:30 pm

The workshop took place in Engineering 2, Room 499 on May 15, 2015.

This workshop is made possible thanks to generous support from Stephen Bruce, James K. Hutchinson, and the Dean’s Excellence Fund.

The photos included the archive below were taken by Sandra Reebie, the graduate programs coordinator for the economics department, and Dalia Terleckaite, a PhD student.

Find downloads for some of the above here, including Market Integration and High Frequency Trading documents, photos from the event, and The Flash Crash Deconstructed