High Frequency Trading in Santa Cruz today

Featuring Stanford students Josh Mollner and Markus Baldauf, and open to the public:

Market Design: High Frequency Trading

Program, May 15, 2010

Welcome & Keynote, 10:00 - 10:45 am

• Sayee Srinivasan, Chief Economist, Commodity Futures Trading Commission

Session 1, 10:45 am - 12:15 pm

Market Integration and High Frequency Trading

• Jonathan Brogaard, UW Foster School of Business, Department of Finance

High-Frequency Trade and Market Performance

• Joshua Mollner,  Stanford University, Department of Economics

Lunch, 12:15 - 1:30 pm

Session 2, 1:30 - 3:00 pm

Knew the News: Infrastructure Dynamics of Trading Surrounding Prescheduled Economic Announcements

• Greg Laughlin, UC Santa Cruz, Department of Astronomy and Astrophysics

"Need for Speed? Exchange Latency and Market Quality"

• Albert Menkveld, VU University Amsterdam, Department of Finance

Break, 3:00 - 3:30 pm

Session 3, 3:30 - 5:45 pm

Performance Evaluation of Algorithmic Trading Strategies

• Iaryna Grynkiv, Barclays, Equities Algorithmic Trading

Competition Among Exchanges

• Markus Baldauf,  Stanford University, Department of Economics

The Random Walk of High Frequency Trading

• Eric Aldrich, UC Santa Cruz, Department of Economics

Dinner, 6:30 - 8:30 pm

The workshop will take place in Engineering 2, Room 499.