|
Call for Papers
Call for Papers (PDF version)
|
| Programme |
Programme (PDF version)
|
|
Thursday 18 September
|
| 09:00 - 09:10 |
Welcome and opening remarks
H Genberg (HKIMR) and E Remolona (BIS)
|
| 09:10 - 10:10 |
Session 1: Keynote speech
M Melvin (Barclays Global Investors)
|
| 10:10 - 10:40 |
Coffee Break
|
|
Session 2: Fixed income markets
Chair: H Genberg (HKIMR)
|
| 10:40 - 11:20 |
From Trade-to-trade in US Treasuries: durations, workups and news effects
Authors: M Dungey (University of Cambridge), Ó Henry (University of Melbourne) and M McKenzie (Royal Melbourne Institute of Technology)
Discussant: I Lo (Bank of Canada)
|
| 11:20 - 12:00 |
The information content of volatility and order flow - intraday evidence from the US Treasury market
Authors: G Jiang (University of Arizona) and I Lo (Bank of Canada)
Discussant: Ó Henry (University of Melbourne)
|
| 12:00 - 13:30 |
Lunch
|
|
Session 3: Foreign exchange markets
Chair: G Valente (University of Leicester)
|
| 13:30 - 14:10 |
Economic news, price discovery and liquidity in the foreign exchange market
Author: W Tham (Erasmus University)
Discussant: L Menkhoff (Leibniz Universität Hannover)
|
| 14:10 - 14:50 |
Do foreign exchange market participants listen to verbal intervention?
Authors: E Girardin (University Aix-Marseille 2), R Lyons (UC Berkeley) and M Sager (University of Warwick)
Discussant: M Dungey (University of Cambridge)
|
| 14:50 - 15:30 |
Capital flows, portfolio balance effects, and foreign exchange returns: The case of Thailand
Authors: J Gyntelberg (BIS), M Loretan (BIS), T Subhanij (Bank of Thailand) and E Chan (BIS)
Discussant: E Sojli (Erasmus University)
|
| 15:30 - 16:00 |
Tea Break
|
|
Session 4: Equity markets
Chair: P Wooldridge (BIS)
|
| 16:00 - 16:40 |
Liquidity and the business cycle
Authors: J Skjeltorp and R Naes (Central Bank of Norway), and B Odegaard (University of Stavanger)
Discussant: P D'Arcy (Reserve Bank of Australia)
|
| 16:40 - 17:20 |
The impact of liquidity shocks through the limit order book
Author: G Wuyts (University of Leuven)
Discussant: H Duong (Monash University)
|
| 17:20 - 18:00 |
How do designated market makers create value for small-caps
Authors: A Menkveld and T Wang (VU University Amsterdam)
Discussant: B Odegaard (University of Stavanger)
|
|
Friday 19 September
|
| 09:00 - 10:00 |
Session 5: Keynote speech
K Chan (Hong Kong University of Science and Technology)
|
| 10:00 - 10:30 |
Coffee Break
|
|
Session 6: Equity markets
Chair: D Rime (Central Bank of Norway)
|
| 10:30 - 11:10 |
Hidden orders and optimal submission strategies in a dynamic limit order market
Authors: S Buti (University of Toronto) and B Rindi (Bocconi University)
Discussant: I Rosu (University of Chicago)
|
| 11:10 - 11:50 |
Order book slope and price volatility
Authors: H Duong and P Kalev (Monash University)
Discussant: M Loretan (BIS)
|
| 11:50 - 12:30 |
The impact of hidden liquidity in limit order books
Authors: S Frey (University of Tübingen) and P Sandas (University of Virginia)
Discussant: G Wuyts (University of Leuven)
|
| 12:30 - 14:00 |
Lunch
|
|
Session 7: Foreign exchange markets
Chair: M Yiu (HKIMR)
|
| 14:00 - 14:40 |
Learning from post-trade identity disclosure in electronic trading
Authors: L Menkhoff and M Schmeling (Leibniz Universität Hannover)
Discussant: D Rime (Central Bank of Norway)
|
| 14:40 - 15:20 |
Liquidity and information in order driven markets
Author: I Rosu (University of Chicago)
Discussant: C Parlour (UC Berkeley)
|
| 15:20 - 16:00 |
Exchange rate risk, transactions costs and the forward bias puzzle
Authors: A Ranaldo (Swiss National Bank) and A Sarkar (Federal Reserve Bank of New York)
Discussant: E Sojli (Erasmus University)
|
| 16:00 - 16:30 |
Tea Break
|
|
Session 8: Credit default swap markets
Chair: E Remolona (BIS)
|
| 16:30 - 17:10 |
Liquidity and credit default swap spreads
Authors: D Tang (University of Hong Kong) and H Yan (University of South Carolina)
Discussant: S Nakagawa (Bank of Japan)
|
| 17:10 - 17:50 |
How liquid is the CDS market?
Authors: A Fulop and L Lescourret (ESSEC)
Discussant: D Tang (University of Hong Kong)
|
| 17:50 - 18:00 |
Closing remarks
E Remolona (BIS)
|
|
Workshop ends
|