8th Annual Central Bank Workshop on the Microstructure of Financial Markets
NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
Presentation: Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Clara Vega
Discussant: Cheng Gao
The Trading Profits of High Frequency Traders
Presentation: Matthew Baron, Jonathan Brogaard and Andrei Kirilenko
Discussant: Ryan Riordan
Hidden Liquidity: Some New Light on Dark Trading
Presentation: Gideon Saar
Discussant: Haoxiang Zhu
Dark Pool Exclusivity Matters
Presentation: Leslie Boni, David Brown and Chris Leach
Discussant: Nikil Chande
Keynote Presentation on Dark Liquidity and Fragmented Markets
Presentation: Doug Clark
The Homogenization of US Equity Trading
Presentation: Lawrence Harris
Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
Presentation: Hendrik Bessembinder, Allen Carrion, Laura Tuttle and Kumar Venkataraman
Discussant: Ruslan Goyenko
Maker-Taker Fees and Informed Trading in a Low-Latency Limit-Order Market
Presentation: Michael Brolley and Katya Malinova
Discussant: Liyan Yang
Identifying Cross-Sided Liquidity Externalities: A Tale of the Two-sided Markets
Presentation: Johannes Skjeltorp, Elvira Sojli and Wing Wah Tham
Discussant: Michael Brolley
News Trading and Speed
Presentation: Thierry Foucault, Johan Hombert and Ioanid Rosu
Discussant: Mao Ye
High-Frequency Trading in the US Treasury Market – Evidence around Macroeconomic News Announcements
Presentation: George Jiang, Ingrid Lo and Giorgio Valente
Discussant: Sarah Zhang
Reducing Opaqueness in Over-the-Counter Markets
Presentation: Zhuo Zhong
Discussant: Joshua Slive
Bid-Ask Spreads and the Pricing of Securitizations: 144a vs. Registered Securitizations
Presentation: Burton Hollifield, Artem Neklyudov and Chester Spatt
Discussant: Allen Carrion
Keynote Presentation on HFT
Presentation: Charles Jones
FX Market Illiquidity and Funding-Liquidity Constraints
Presentation: Chiara Banti and Kate Phylaktis
Discussant: Hans Jorgen Tranvag
Market Order Flows, Limit Order Flows and Exchange Rate Dynamics
Presentation: Roman Kozhan, Michael Moore and Richard Payne
Discussant: Martin Evans