October 7-8, 2010 |
Agenda
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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 |
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 |
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 |
4:45 p.m. | Adjourn |
Conference Location Federal Reserve Bank of New York 12th Floor, Conference Center 33 Liberty Street New York, New York |