The discussions about liquidity risk per se and/or the price impact of the tick size, show that the liquidity issue is at the heart of today’s preoccupations. The liquidity issue will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow.
This event is organized by the QMI/Quantvalley Research Project and Imperial College London Business School, with the support of NYSE Euronext.
Agenda
December 16, 2013
1.45pm – 2.00pm: Registration
2.00pm–4.00pm: Academic Presentations
Chair: Gaelle Le Fol (Université Paris-Dauphine & QMI)
– Robert Kosowski (Imperial College Business School): Geography, Liquidity and Fund Performance: New Evidence from UCITS Hedge Funds
– Serge Darolles (Université Paris-Dauphine & QMI): Liquidity Risk Estimation in Conditional Volatility Models
– Kevin Sheppard (University of Oxford): Measuring Market Speed
– Mathieu Rosenbaum (UPMC & QMI): Large Tick Assets: Implicit Spread and Optimal Tick Size
4.00pm – 4.30pm: Coffee Break
4.30pm – 6.00pm: Panel Session
Moderator: Laurent Fournier (Head of Business Statistics & Data Intelligence European Markets, NYSE Euronext)
– Jean-René Giraud (CEO, Koris International)
– Mathieu Rosenbaum (Professor, UPMC & QMI)
– Giovanni Beliossi (Managing Partner & CEO, FGS Capital)
– Kee-Meng Tan (Head of the Electronic Trading Group, KCG Europe Limited)
6.00pm – 7.00pm: Cocktail
Venue
NYSE EURONEXT, Cannon Bridge House, 1 Cousin Lane, LONDON
