Market Design: High Frequency Trading

The program included the following: 

Welcome & Keynote, 10:00 - 10:45 am

• Sayee Srinivasan, Chief Economist, Commodity Futures Trading Commission

Session 1, 10:45 am - 12:15 pm

Market Integration and High Frequency Trading

• Jonathan Brogaard, UW Foster School of Business, Department of Finance

High-Frequency Trade and Market Performance

• Joshua Mollner,  Stanford University, Department of Economics

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"

• Albert Menkveld, VU University Amsterdam, Department of Finance

Break, 3:00 - 3:30 pm

Session 3, 3:30 - 5:45 pm

Performance Evaluation of Algorithmic Trading Strategies

• Iaryna Grynkiv, Barclays, Equities Algorithmic Trading

Competition Among Exchanges

• Markus Baldauf,  Stanford University, Department of Economics

The Random Walk of High Frequency Trading

• Eric Aldrich, UC Santa Cruz, Department of Economics

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.