1:00-2:30
VanMunchingHall
CollegePark,MD
Thursday,April21,2016
11:00-12:00
12:00-1:00 Room2517
Registration
LunchandWelcomeRemarks
RussWermers,Director,CenterforFinancialPolicy,SmithSchoolofBusiness
PaulWinter,HeadofQuantitativeResearch-AsiaPacific,UBS
TyserAuditorium—Room1212
EMPIRICALFINANCIALMARKETSI–AssetManagement&Trading
SessionChair:JamesAngel,GeorgetownUniversity
PaperPresentation:25minutes—Discussion:10minutes
2:30-2:45
2:45-3:15
TheBestExecutionofCorporateBonds
Presenter:XingZhou,SeniorEconomist,FederalReserveBoard
Discussant:JonathanSokobin,ChiefEconomistandSeniorVicePresident,FINRA
ConvictionandVolume:MeasuringInformationContentofHedgeFundTrading
Presenter:JonathanRhinesmith,PhDcandidate,HarvardUniversity
Discussant:DavidModest,ManagingPartner,OspreyBayCapital
Audiencequestions(20minutes)
Break
INDUSTRYPRESENTATION:TheImpactofMarketStructureonLiquidity
VladKhandros,Globalheadofmarketstructureandliquiditystrategy,UBS
Thefocuswillbeonclienttradingtrendsaroundincreasedvolatility,estimatesonHigh
FrequencyTrading,bestpracticesforsourcingalternativeliquidity,andtheimpactof
messageandtransactionbasedfeesonspreadsandliquidity.
3:15-3:45
3:45-4:00
4:00-5:30
PERSPECTIVESONKYLE1985 PeteKyle,CharlesE.SmithChairProfessorofFinance,SmithSchoolofBusiness
Break
EMPIRICALFINANCIALMARKETSII–TradingInvariance SessionChair:BenjaminMunyan,VanderbiltUniversity
PaperPresentation:25minutes—Discussion:10minutes
3500Atrium
5:30-6:30
6:30–9:00 System-wideCommonalitiesinMarketLiquidity
Presenter:MarkFlood,ResearchPrincipal,OfficeofFinancialResearch
Discussant:ShrihariSantosh,AssistantProfessor,SmithSchoolofBusiness
MarketMicrostructureInvarianceintheFTSE100 Presenter:EfthymiosRizopoulos,PhDcandidate,AllianceManchesterBusinessSchool
Discussant:AnyaObizhaeva,AssistantProfessor,TheNewEconomicSchool(Russia)
Audiencequestions(20minutes) Cocktailhour
Room2333
Dinner
KEYNOTESPEAKER:Credit-MarketSentimentandtheBusinessCycle
JeremyStein,MoiseY.SafraProfessorofEconomics,HarvardUniversity
Friday,April22,2016
Room2333
7:30-8:30
8:30-10:00 Breakfast
FrankAuditorium—Room1212
INDUSTRYPANEL:MarketStructureandETFsPanelDiscussion
ThispanelwillincludemajorETFissuers,exchanges,andmarketparticipantsandexamine
issuessuchastheAugust24th'flashcrash'andthegrowingimportanceofETFsintoday’s
marketstructure. 10:00-10:15
10:15-11:45
NicholeHunter,HeadofUSiSharesCapitalMarkets,Blackrock
ThomasBartolacci,HeadofUSETFCaptialMarkets,Vanguard
RichLedee,HeadofCapitalMarkets,ProshareAdvisors
Break
KEYNOTESPEAKER:ANewLookAtLiquidity
RobertEngle,NobelLaureate,MichaelArmellinoProfessorofFinanceatNewYork
UniversitySternSchoolofBusiness
11:45-1:00 •
•
•
Room2333
Lunch
INDUSTRYPRESENTATION:MarketStructure,theSEC,andWhatItMeansforYou
TroyParedes,FormerSECCommissionerandFounder,ParedesStrategiesLLC
1:00–3:00 FrankAuditorium—Room1212
THEORETICALFINANCIALMARKETS SessionChair:PeteKyle,UniversityofMaryland
PaperPresentation:25minutes—Discussion:10minutes
3:00–3:15
3:15–4:45
DecentralizedExchange Presenter:MarzenaRostek,Professor,UniversityofWisconsin-Madison
Discussant:JeongminLee,AssistantProfessor,WashingtonUniversityinSt.Louis
MultipleEquilibriainNoisyRationalExpectationEconomies
Presenter:GyuriVenter,AssistantProfessor,CopenhagenBusinessSchool
Discussant:WeiXiong,HughLeanderandMaryTrumbullAdamsProfessorinFinance,
BendheimCenterforFinance,PrincetonUniversity
AsymmetricInformationandInventoryConcernsinOvertheCounterMarkets
Presenter:RemyPraz,AssistantProfessor,CopenhagenBusinessSchool
Discussant:VishViswanathan,F.M.KirbyProfessorofInvestmentBanking,Duke
University
Audiencequestions(20minutes) Break
CORPORATEFINANCEANDOTHERTOPICS Sessionchair:RichmondMatthews,UniversityofMaryland
PaperPresentation:25minutes—Discussion:10minutes
4:45–5:00
RippleEffectsofNoiseonCorporateInvestment
Presenter:AdrienMatray,AssistantProfessor,BendheimCenterforFinance,Princeton
University
Discussant:PeterHartley,GeorgeandCynthiaMitchellProfessorofEconomics,Rice
University
Whatdrivesliquidity:Identifyingshockstomarketmakers’supplyofliquidityand
theirroleineconomicfluctuations
Presenter:JonathanGoldberg,Economist,FederalReserveBoard
Discussant:BenMunyan,AssistantProfessor,VanderbiltUniversity
Audiencequestions(20minutes) ClosingRemarks
DavidJessop,GlobalHeadofQuantitativeResearch,UBS