6th Annual Central Bank Workshop on the Microstructure of Financial Markets

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6th Annual Central Bank Workshop on the Microstructure of Financial Markets

October 7-8, 2010

Agenda


Thursday, October 7, 2010

8:00 a.m.	Continental Breakfast

9:00 a.m.	Opening Remarks Michael Fleming, Federal Reserve Bank of New York Bruce Magid, Dean, Brandeis International Business School

9:10 a.m.	Session 1: Asymmetric Information, Part 1 Chair: Bruce Lehmann, University of California, San Diego Asymmetric Information and the Foreign-Exchange Spreads of Global Custody Banks Carol Osler, Brandeis University Tanseli Savaser, Williams College Thang Nguyen, Brandeis University Presentation >> Discussant: James Angel, Georgetown University Lack of Anonymity and the Inference from Order Flow Juhani Linnainmaa, University of Chicago Gideon Saar, Cornell University Presentation >> Discussant: Robert Battalio, University of Notre Dame Discussion >>

10:20 a.m.	Coffee Break

10:50 a.m.	Session 2: Asymmetric Information Part 2 Chair: Bruce Lehmann, University of California, San Diego What Do Short-Sellers Know? Ekkehart Boehmer, University of Oregon Charles Jones, Columbia University Xiaoyan Zhang, Cornell University Presentation >> Discussant: Adam Reed, University of North Carolina Discussion >> Turnover: Liquidity or Uncertainty? Alexander Barinov, University of Georgia Presentation >> Discussant: Albert Menkveld, VU University Amsterdam Discussion >>

12:00 p.m.	Lunch Liberty Room, 1st Floor

1:00 p.m.	Gold-Vault Tour (by invitation only)

1:30 p.m.	Session 3: Order Flow & Price Pressure Chair: Clara Vega, Board of Governors of the Federal Reserve System Fallen Angels and Price Pressure Brent Ambrose, Penn State University Kelly Cai, University of Michigan - Dearborn Jean Helwege, University of South Carolina Presentation >> Discussant: Arthur Warga, University of Houston Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market Ingrid Lo, Bank of Canada Stephen Sapp, University of Western Ontario Presentation >> Discussant: Alain Chaboud, Board of Governors of the Federal Reserve System Forecasting Short Term Yield Changes Using Order Flow: Is Dealer Skill a Source of Predictability? Siri Valseth, BI Norwegian School of Management Discussant: Bruce Mizrach, Rutgers University Discussion >>

3:15 p.m.	Coffee Break

3:45 p.m.	Keynote Address From the Quant Quake of August 2007 to the Flash Crash of May 2010: The Microstructure of Financial Crises Andrew Lo, Massachusetts Institute of Technology Presentation >>

5:00 p.m.	Reception Liberty Room, 1st Floor

6:30 p.m.	Dinner (by Invitation Only) Liberty Room, 1st Floor

Friday, October 8, 2010

8:15 a.m.	Continental Breakfast

9:00 a.m.	Session 4: Funding Liquidity during the Financial Crisis Chair: Giorgio Valente, University of Essex Repo Market Microstructure in Unusual Monetary Policy Conditions Peter Dunne, Central Bank of Ireland Michael Fleming, Federal Reserve Bank of New York Andrey Zholos, Queen’s University Belfast Presentation >> Discussant: Rajkamal Iyer, Massachusetts Institute of Technology Term Interbank Lending During the 2007-09 Crisis Dennis Kuo, Federal Reserve Bank of New York David Skeie, Federal Reserve Bank of New York James Vickery, Federal Reserve Bank of New York Discussant: Wei Xiong, Princeton University

10:10 a.m.	Coffee Break

10:40 a.m.	Session 5: Endogenous Liquidity and Arbitrage Chair: Christine Parlour, UC Berkeley A Theory of Endogenous Liquidity Cycles Günter Strobl, University of North Carolina Presentation >> Discussant: Fany Declerck, Toulouse University Discussion >> Tapping Hidden Liquidity: Flash Orders at the NASDAQ Johannes A. Skjeltorp, Norges Bank Elvira Sojli, Erasmus University Wing Wah Tham, Erasmus University Presentation >> Discussant: Sabrina Buti, University of Toronto How Riskless is “Riskless” Arbitrage? Roman Kozhan, University of Warwick Wing Wah Tham, Erasmus University Presentation >> Discussant: Michael Moore, Queen’s University Belfast Discussion >>

12:25 p.m.	Lunch (in area just outside conference center)

1:30 p.m.	Keynote Address Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle Francis Longstaff, University of California at Los Angeles Presentation >>

2:30 p.m.	Coffee Break

3:00 p.m.	Session 6: Liquidity and Asset Prices Chair: Joel Hasbrouck, New York University Liquidity Risk of Corporate Bond Returns Viral Acharya, New York University Yakov Amihud, New York University Sreedhar Bharath, University of Michigan Discussant: Ilya Strebulaev, Stanford University Discussion >> A Transaction Data Study of the Forward Bias Puzzle Francis Breedon, Imperial College Business School Dagfinn Rime, Norges Bank and NTNU Paolo Vitale, University of Chieti - Pescara Presentation >> Discussant: Carol Osler, Brandeis University Risk Sharing, Costly Participation, and Monthly Returns Terrence Hendershott, UC Berkeley Sunny Li, VU University Amsterdam Albert Menkveld, VU University Amsterdam Mark Seasholes, HKUST Discussant: Paolo Pasquariello, University of Michigan Discussion >>

4:45 p.m.	Adjourn




Conference Location Federal Reserve Bank of New York 12th Floor, Conference Center 33 Liberty Street New York, New York