23 May 2024 - 23 May 2024
9:00AM - 5:00PM
Durham University Business School
Free
The Quantitative Research in Financial Economics Centre (QRFE) is pleased to host our first annual workshop on quantitative finance with the keynote speaker Dimitri Vayanos from London School of Economics.
Stock Market Screens
09:00- 09:20 Coffee and Registration
09:20-09:30 Welcome by Cathy Cassell, Executive Dean, Durham University Business School
09:30-10:20 Barbara Rindi, Bocconi University
Optimal Tick Size, joint with Giuliano Graziani (Bocconi) and Bart Yueshen (Singapore Management University)
10:20-11:10 Jean-Edouard Colliard, HEC Paris
Algorithmic pricing and liquidity in securities markets, joint with Thierry Foucault (HEC Paris) and Stefano Lovo (HEC Paris).
11:10-11:40 Coffee Break
11:40-12:30 Yajun Wang, Baruch College
The welfare implication of information disclosure frequency, joint with Wen Chen (Chinese University of Hong Kong).
12:30-13:45 Lunch
13:45-14:45 Keynote speech by Dimitri Vayanos, London School of Economics
14:45-15:20 Coffee Break
15:20-16:10 Esen Onur, Commodity Futures Trading Commission (CFTC)
Contagion across futures markets through trader portfolios, joint with Alex Ferko (CFTC) and Tugkan Tuzum (Board of Governors of the Federal Reserve System).
16:10- 17:00 Kumushoy Abduraimova, Durham University Business School
Contagion in high-frequency (il)liquidity networks, joint with Arzé Karam (DUBS).
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