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QRFE Workshop on Market Microstructure, Fintech and AI

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19 October 2023 - 19 October 2023

9:00AM - 4:00PM

Durham University Business School

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Join us for a QRFE-hosted workshop with keynote speaker Professor Albert Menkveld (Vrije Universiteit)

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Durham University Business School

The Quantitative Research in Financial Economics centre (QRFE) is pleased to host a one-day Workshop on Market Microstructure, Fintech and AI on the 19th of October 2023 with the keynote Speaker Albert J. Menkveld (Vrije Universiteit Amsterdam). The general theme of the workshop is on the use of AI and machine learning in the field of Market Microstructure. It also includes an industry presentation by Daniel Neeteson from Optiver.

Please register here.

Programme

09:00 – 09:25   Coffee and Registration 
09:25 – 09:30   Welcome by Julian Williams (Head of the Department of Finance)
09:30 – 10:20    Yan Ji (Hong Kong University of Science & Technology)
AI-Powered Trading, Algorithmic Collusion, and Price Efficiency
Jointly with Winston Wei Dou (Wharton School), and Itay Goldstein (Wharton School)
10:20 – 11:10    Olivier Guéant (Université Paris 1 Panthéon-Sorbonne)
Automated Market Makers : Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
Jointly with Philippe Bergault (Université Paris Dauphine), Louis Bertucci (Institut Louis Bachelier), David Bouba (Swaap Labs)
11:10 – 11:40     Coffee Break
11:40 – 12:30     Arzé Karam (Durham University Business School)
Intraday momentum trading and Liquidity Crises
Jointly with Dimitar Bogoev (Durham University Business School)
  
12:30 – 13:45     Lunch
13:45 – 14:45     Keynote speech by Albert Menkveld (Vrije Universiteit Amsterdam)
14:45 – 15:00     Coffee Break
15:00 – 15:40      Industry Presentations and Panel Discussion
Daniel Neeteson (Optiver) 
Market Data Design and Implications for Trading Algorithms 
18:00                   Prince Bishop River Cruiser and Workshop Dinner at Marco Pierre White 

Pricing

Free