6th Annual Central Bank Workshop on the Microstructure of Financial Markets

October 7-8, 2010
Agenda
Thursday, October 7, 2010
8:00 a.m. Continental Breakfast
9:00 a.m. Opening Remarks
Michael Fleming, Federal Reserve Bank of New York
Bruce Magid, Dean, Brandeis International Business School
9:10 a.m. Session 1: Asymmetric Information, Part 1

Chair: Bruce Lehmann, University of California, San Diego

Asymmetric Information and the Foreign-Exchange Spreads of Global Custody Banks pdf

Carol Osler, Brandeis University
Tanseli Savaser, Williams College
Thang Nguyen, Brandeis University
Presentation >> pdf

Discussant: James Angel, Georgetown University

Lack of Anonymity and the Inference from Order Flow pdf

Juhani Linnainmaa, University of Chicago
Gideon Saar, Cornell University
Presentation >> pdf

Discussant: Robert Battalio, University of Notre Dame
Discussion >> PDF
10:20 a.m. Coffee Break
10:50 a.m. Session 2: Asymmetric Information Part 2

Chair: Bruce Lehmann, University of California, San Diego

What Do Short-Sellers Know? pdf

Ekkehart Boehmer, University of Oregon
Charles Jones, Columbia University
Xiaoyan Zhang, Cornell University
Presentation >> pdf

Discussant: Adam Reed, University of North Carolina
Discussion >> PDF

Turnover: Liquidity or Uncertainty? pdf

Alexander Barinov
, University of Georgia
Presentation >> PDF

Discussant: Albert Menkveld, VU University Amsterdam
Discussion >> PDF
12:00 p.m. Lunch
Liberty Room, 1st Floor
1:00 p.m. Gold-Vault Tour (by invitation only)
1:30 p.m.

Session 3: Order Flow & Price Pressure

Chair: Clara Vega, Board of Governors of the Federal Reserve System

Fallen Angels and Price Pressure pdf

Brent Ambrose, Penn State University
Kelly Cai, University of Michigan - Dearborn
Jean Helwege, University of South Carolina
Presentation >> pdf

Discussant: Arthur Warga, University of Houston

Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market pdf

Ingrid Lo, Bank of Canada
Stephen Sapp, University of Western Ontario
Presentation >> pdf

Discussant: Alain Chaboud, Board of Governors of the Federal Reserve System

Forecasting Short Term Yield Changes Using Order Flow: Is Dealer Skill a Source of Predictability? pdf

Siri Valseth, BI Norwegian School of Management

Discussant: Bruce Mizrach, Rutgers University
Discussion >> PDF

3:15 p.m. Coffee Break
3:45 p.m. Keynote Address

From the Quant Quake of August 2007 to the Flash Crash of May 2010: The Microstructure of Financial Crises pdf

Andrew Lo, Massachusetts Institute of Technology
Presentation >> pdf
5:00 p.m. Reception
Liberty Room, 1st Floor
6:30 p.m. Dinner (by Invitation Only)
Liberty Room, 1st Floor
Friday, October 8, 2010
8:15 a.m. Continental Breakfast
9:00 a.m.

Session 4: Funding Liquidity during the Financial Crisis

Chair: Giorgio Valente, University of Essex

Repo Market Microstructure in Unusual Monetary Policy Conditions pdf

Peter Dunne, Central Bank of Ireland
Michael Fleming, Federal Reserve Bank of New York
Andrey Zholos, Queen’s University Belfast
Presentation >> pdf

Discussant: Rajkamal Iyer, Massachusetts Institute of Technology

Term Interbank Lending During the 2007-09 Crisis

Dennis Kuo, Federal Reserve Bank of New York
David Skeie, Federal Reserve Bank of New York
James Vickery, Federal Reserve Bank of New York

Discussant: Wei Xiong, Princeton University

10:10 a.m. Coffee Break
10:40 a.m. Session 5: Endogenous Liquidity and Arbitrage

Chair: Christine Parlour, UC Berkeley

A Theory of Endogenous Liquidity Cycles pdf

Günter Strobl, University of North Carolina
Presentation >> PDF

Discussant: Fany Declerck, Toulouse University
Discussion >> PDF

Tapping Hidden Liquidity: Flash Orders at the NASDAQ

Johannes A. Skjeltorp, Norges Bank
Elvira Sojli, Erasmus University
Wing Wah Tham, Erasmus University
Presentation >> PDF

Discussant: Sabrina Buti, University of Toronto

How Riskless is “Riskless” Arbitrage? pdf

Roman Kozhan, University of Warwick
Wing Wah Tham, Erasmus University
Presentation >> PDF

Discussant: Michael Moore, Queen’s University Belfast
Discussion >> PDF
12:25 p.m. Lunch (in area just outside conference center)
1:30 p.m. Keynote Address

Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle pdf

Francis Longstaff, University of California at Los Angeles
Presentation >>pdf
2:30 p.m. Coffee Break
3:00 p.m.

Session 6: Liquidity and Asset Prices

Chair: Joel Hasbrouck, New York University

Liquidity Risk of Corporate Bond Returns pdf

Viral Acharya, New York University
Yakov Amihud, New York University
Sreedhar Bharath, University of Michigan

Discussant: Ilya Strebulaev, Stanford University
Discussion >> PDF

A Transaction Data Study of the Forward Bias Puzzle pdf

Francis Breedon, Imperial College Business School
Dagfinn Rime, Norges Bank and NTNU
Paolo Vitale, University of Chieti - Pescara
Presentation >> PDF

Discussant: Carol Osler, Brandeis University

Risk Sharing, Costly Participation, and Monthly Returns offsite

Terrence Hendershott, UC Berkeley
Sunny Li, VU University Amsterdam
Albert Menkveld, VU University Amsterdam
Mark Seasholes, HKUST

Discussant: Paolo Pasquariello, University of Michigan
Discussion >> PDF

4:45 p.m. Adjourn
Conference Location
Federal Reserve Bank of New York
12th Floor, Conference Center
33 Liberty Street
New York, New York
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