International Workshop on “Market Microstructure and PDF

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International Workshop on “Market Microstructure and

International Workshop on “Market Microstructure and Nonlinear Dynamics” (MMND) June 13-14 2013 Evry (France) Keynote Speakers: Thierry FOUCAULT HEC Paris France Bruce LEHMANN University of California San Diego USA Bruce MIZRACH Rutgers University USA Organizers: Gilles DUFRENOT (Aix-Marseille School of Economics France)

International Workshop on “M arket Microstructure and

International Workshop on "Market Microstructure

and Nonlinear Dynamics" (MMND)

June 13-14, 2013, Evry (France)

Keynote Speakers:

Thierry FOUCAULT, HEC Paris, France

Bruce LEHMANN, University of California, San Diego, USA

Bruce MIZRACH, Rutgers University, USA

Organizers:

Gilles DUFRENOT (Aix-Marseille School of Economics, France) Fredj JAWADI (University of Evry Val d"Essonne, France)

Wael LOUHICHI (University of Rennes 1, France)

Scope of the Workshop

In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. In order to limit these losses and improve risk control, the financial market authorities adopted new regulatory measures to strengthen the financial systems, control algorithm and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures and to test their appropriateness. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics. The aim of the workshop is to discuss innovative modeling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear models. The workshop aims at bringing together academics and professionals (economists, financiers, and econometricians) to discuss these issues and to present their recent theoretical and empirical 2

findings. It will also serve as a valuable platform for discussing innovative and thought-

provoking ideas on nonlinear high frequency data modeling. We are looking for topics that might include (but are not restricted to) theoretical, experimental and empirical research in the following areas: - Market Microstructure - High Frequency Trading - Order Book Dynamics - Optimal trading - Price formation - Market Analysis - Market Impact - Algorithmic Trading - Market Regulation - Volatility Dynamics - Market Liquidity - Financial Mathematics - Electronic Market - Nonlinear Dynamics - Market Organization - Financial Econometrics - High Frequency data analysis - Threshold Modeling - Price Discovery - Switching Regime Models - Asset pricing - GARCH Modeling - Financial Intermediation - Market efficiency - Market imperfections - Price behavior This international conference includes plenary sessions and poster sessions.

Scientific Committee

W. Barnett, University of Kansas & New York Center for Financial Stability, USA. G. Dufrénot, Aix -Marseille School of Economics, France. A. Péguin-Feissolle, Aix -Marseille School of Economics, France.

Th. Foucault, HEC Paris, France.

Ph. Franses, Erasmus University, Netherlands.

J. F. Gajewski, University of Savoie, France.

C. Gresse, University of Paris-Dauphine, France.

K. Hadri, Queens University Belfast, UK.

F. Jawadi, University of Evry, France.

B. Lehmann, University of California, San Diego, USA.

J. L. Lebideau, University of Evry, France.

L. Lescourret, ESSEC Business School, France.

W. Louhichi, University of Rennes 1, France.

E. Maasoumi, Emory University, USA.

V. Mignon, University of Paris West Nanterre La Défense, France.

B. Mizrach, Rutgers University, USA.

E. Paget-Blanc, University of Evry, France.

Ch. Parlour, University of California, USA.

D. Peel, Lancaster University, UK.

S. Pouget, University of Toulouse, France.

G. Prat, University of Paris West Nanterre La Défense & CNRS, France.

S. Reitz, University of Kiel, Germany.

I. Rosu, HEC Paris, France.

Ph. Rothman, East Carolina University, USA.

L. Sarno, City University London, UK.

O. Scaillet, HEC of Geneva, Switzerland.

G. Talmain, University of Glasgow, UK.

E. Theissen, University of Mannheim, Germany.

R. Tsay, University of Chicago, USA.

Submission Process

Authors wishing to submit a presentation should send a full paper in PDF format and in English, by e-mail to: nd.mm2012@gmail.com and to frederique.bocquentin@univ-evry.fr. The complete version of the paper should include the following information: title, name(s) of the authors, abstract, keywords, JEL classification, e-mail address for each author, complete address for the corresponding author. Please, note that the abstract is limited to 150 words.

Important Dates

Deadline for submission: March 30, 2013.

Notification of final decision: April 15, 2013.

Author pre-registration: April 15, 2013 - May 20, 2013.

Publication Opportunities

A selection of papers presented at this workshop will be considered for publication in: - a special issue of Journal of Financial Markets. - a special issue of Bankers, Markets & Investors. - a book volume published by Springer. The standard refereeing process of these journals will apply.quotesdbs_dbs7.pdfusesText_13

[PDF] International Workshop on “Market Microstructure and