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23 May 2024 - 23 May 2024

9:00AM - 4:10PM

Durham University Business School

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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.

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Stock Market Screens

First QRFE Workshop on Quantitative Finance



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).