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School and Workshop on Market Microstructure: Design, Efficiency and Statistical Regularities | (smr 2229)
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  • Monday, 21 March 2011
    • 09:00 - 10:30 REGISTRATION & ADMINISTRATIVE FORMALITIES 
      outside the Kastler Lecture Hall - lower level 1
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:00 REGISTRATION & ADMINISTRATIVE FORMALITIES 1h30'
    • 10:30 - 11:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 10:30 Coffee Break 30'
    • 11:00 - 12:30 Market mechanisms in real markets
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:00 Market mechanisms in real markets 1h30'
        Speaker: Alan KIRMAN (Universite Paul Cezanne, Marseille, France)
        Material: lecture notes
    • 12:30 - 14:00 Lunch Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 12:30 Lunch Break 1h30'
    • 14:00 - 15:30 Statistical physics inspired models of financial markets
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:00 Statistical physics inspired models of financial markets 1h30'
        Speaker: Anirban CHAKRABORTI (Ecole Centrale Paris, France)
        Material: lecture notes
    • 15:30 - 16:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 15:30 Coffee Break 30'
    • 16:00 - 17:30 Market microstructure: Empirical studies
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 16:00 Market microstructure: Empirical studies 1h30'
        Speaker: Fabrizio LILLO (Universita di Palermo, Italy)
        Material: lecture notes
  • Tuesday, 22 March 2011
    • 09:00 - 10:30 Market microstructure: Empirical studies
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:00 Market microstructure: Empirical studies 1h30'
        Speaker: Fabrizio LILLO (Universita di Palermo, Italy)
    • 10:30 - 11:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 10:30 Coffee Break 30'
    • 11:00 - 12:30 Market microstructure: Information efficiency and game theory
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:00 Market microstructure: Information efficiency and game theory 1h30'
        Speaker: Marco LiCALZI (Universita Ca Foscari Venice, Italy)
        Material: lecture notes
    • 12:30 - 14:00 Lunch Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 12:30 Lunch Break 1h30'
    • 14:00 - 15:30 Models of continuous double auctions
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:00 Models of continuous double auctions 1h30'
        Speaker: Paolo PELLIZZARI (Universita Ca Foscari Venice, Italy)
        Material: abstract lecture notes
    • 15:30 - 16:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 15:30 Coffee Break 30'
    • 16:00 - 17:30 Market microstructure: Information efficiency and game theory
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 16:00 Market microstructure: Information efficiency and game theory 1h30'
        Speaker: Marco LiCALZI (Universita Ca Foscari Venice, Italy)
  • Wednesday, 23 March 2011
    • 09:00 - 09:45 REGISTRATION & ADMINISTRATIVE FORMALITIES 
      outside the Kastler Lecture Hall - lower level 1
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:00 REGISTRATION & ADMINISTRATIVE FORMALITIES 45'
    • 09:45 - 10:30 Should we stay or should we go: a market entry problem
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:45 Should we stay or should we go: a market entry problem 45'
        Speaker: Alan KIRMAN (Universite Paul Cezanne, Marseille, France)
        Material: lecture notes
    • 10:30 - 11:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 10:30 Coffee Break 30'
    • 11:00 - 11:45 Learning, market clearing and trading institutions
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:00 Learning, market clearing and trading institutions 45'
        Speaker: Carlos ALOS-FERRER (University of Konstanz, Germany)
        Material: abstract lecture notes
    • 11:45 - 12:30 Market impact and portfolio regularization
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:45 Market impact and portfolio regularization 45'
        Speaker: Imre KONDOR (Eotvos Lorand University, Budapest, Hungary)
        Material: abstract lecture notes
    • 12:30 - 14:00 Lunch Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 12:30 Lunch Break 1h30'
    • 14:00 - 14:45 On bilateral barters, core solutions and market equilibrium
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:00 On bilateral barters, core solutions and market equilibrium 45'
        Speaker: Sjur FLAM (University of Bergen, Norway)
        Material: abstract lecture notes
    • 14:45 - 15:30 Market microstructure matters when imposing a Tobin Tax: Experimental evidence and stylized facts
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:45 Market microstructure matters when imposing a Tobin Tax: Experimental evidence and stylized facts 45'
        Speaker: Juergen HUBER (University of Innsbruck, Austria)
        Material: abstract
    • 15:30 - 16:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 15:30 Coffee Break 30'
    • 16:00 - 16:45 Microstructure on the european interbank market e-mid
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 16:00 Microstructure on the european interbank market e-mid 45'
        Speaker: Giulia IORI (City University of London, U.K.)
        Material: lecture notes
    • 20:00 - 23:00 WELCOME RECEPTION
      Location: Adriatico Guest House Cafeteria
      • 20:00 WELCOME RECEPTION 3h0'
  • Thursday, 24 March 2011
    • 09:00 - 09:45 Title to be announced
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:00 Title to be announced 45'
        Speaker: Janos KERTESZ (Budapest University of Technology & Economics, Hungary)
    • 09:45 - 10:30 Some mathematical properties of order book models
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:45 Some mathematical properties of order book models 45'
        Speaker: Frederic ABERGEL (Ecole Centrale Paris, France)
        Material: lecture notes
    • 10:30 - 11:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 10:30 Coffee Break 30'
    • 11:00 - 11:45 Price impact of metaorders: the latent order book
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:00 Price impact of metaorders: the latent order book 45'
        Speaker: Bence TOTH (IEXT, Paris, France)
        Material: lecture notes
    • 11:45 - 12:30 On the evolution of market institutions: The platform design paradox (talk presented by Carlos ALOS-FERRER)
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:45 On the evolution of market institutions: The platform design paradox (talk presented by Carlos ALOS-FERRER) 45'
        Speaker: Georg KIRCHSTEIGER (Universite Libre de Bruxelles, Belgium)
        Material: lecture notes
    • 12:30 - 14:00 Lunch Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 12:30 Lunch Break 1h30'
    • 14:00 - 14:45 Liquidity and coherent risk measures
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:00 Liquidity and coherent risk measures 45'
        Speaker: Giacomo SCANDOLO (Universita di Firenze, Italy)
        Material: abstract lecture notes
    • 14:45 - 15:30 Computable dynamic trading equilibria in continuous double auctions
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 14:45 Computable dynamic trading equilibria in continuous double auctions 45'
        Speaker: Paolo PELLIZZARI (Universita Ca Foscari Venice, Italy)
        Material: abstract lecture notes
    • 15:30 - 16:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 15:30 Coffee Break 30'
    • 16:00 - 16:45 Likelihood-Based Scoring Rules for Comparing Density Forecasts in Tails
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 16:00 Likelihood-Based Scoring Rules for Comparing Density Forecasts in Tails 45'
        Speaker: Cees DIKS (University of Amsterdam, The Netherlands)
        Material: abstract lecture notes
  • Friday, 25 March 2011
    • 09:00 - 09:45 Order flow in financial markets: Origin of persistence and properties in different market segments
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:00 Order flow in financial markets: Origin of persistence and properties in different market segments 45'
        Speaker: Fabrizio LILLO (Universita' di Palermo, Italy)
        Material: lecture notes
    • 09:45 - 10:30 One-penny Arbitrage: a Free Snack without a Free Lunch
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 09:45 One-penny Arbitrage: a Free Snack without a Free Lunch 45'
        Speaker: Claudio TEBALDI (Universita' Commerciale Luigi Bocconi, Milano, Italy)
        Material: abstract lecture notes
    • 10:30 - 11:00 Coffee Break
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 10:30 Coffee Break 30'
    • 11:00 - 11:45 How to model asset dynamics on the basis of dependence, anomalous scaling and non-stationarirty
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:00 How to model asset dynamics on the basis of dependence, anomalous scaling and non-stationarirty 45'
        Speaker: Attilio STELLA (Universita' di Padova, Italy)
        Material: lecture notes
    • 11:45 - 12:00 CLOSING SESSION
      Location: Adriatico Guest House - Kastler Lecture Hall Area (Lower Level 1)
      • 11:45 CLOSING SESSION 15'
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