Keresési lehetőségek
Kezdőlap Média Kisokos Kutatás és publikációk Statisztika Monetáris politika Az €uro Fizetésforgalom és piacok Karrier
Rendezési szempont
Magyar nyelven nem elérhető

9th Annual Central Bank Workshop on the Microstructure of Financial Markets

5-6 September 2013, Frankfurt am Main

Attendance is by invitation only. If you are interested in attending this event, please send an e-mail to

8.30 a.m. Registration and coffee
9 a.m. Welcome address
9.20 a.m. Session 1: Foreign Exchange

Official interventions through derivatives: affecting the demand for foreign exchange
Emanuel Kohlscheen (Central Bank of Brazil) and Sandro Andrade (University of Miami)   presentation

Michael Moore (Queen's University Belfast)   presentation


Toxic arbitrage
Thierry Foucault (HEC Paris); Roman Kozhan (Warwick Business School) and Wing Wah Tham (Erasmus School of Economics)   presentation

Dagfinn Rime (Norges Bank)   presentation

10.40 a.m. Coffee break
11:00 a.m. Session 2: Sovereign debt auctions

When-issued markets and Treasury auctions
Paulo Braulio Countinho (UCLA)   presentation

Jean-Edouard Colliard (European Central Bank)   presentation

Price effects of sovereign debt auctions in the euro-zone: the role of the crisis
Roel Beetsma (University of Amsterdam); Massimo Giuliodori (University of Amsterdam); Frank de Jong (Tilburg University) and Daniel Widijanto (BNG)   presentation

Bernd Schwaab (European Central Bank)   presentation

12.20 p.m. Lunch
1.30 p.m. Keynote Speech
Redesigning LIBOR

Darrell Duffie (Stanford Graduate School of Business)   presentation
2.45 p.m. Coffee break
3.00 p.m. Session 3: Repo markets

The re-use of collateral in the Swiss franc repo market
Lucas Marc Fuhrer (Swiss National Bank); Basil Guggenheim (Swiss National Bank) and Silvio Schumacher (Swiss National Bank)   presentation

Cornelia Holthausen (European Central Bank)   presentation


The importance of being special: repo markets during the crisis
Stefano Corradin (European Central Bank) and Angela Maddaloni (European Central Bank)   presentation

Sébastien Kränzlin (Swiss National Bank)   presentation

4.20 p.m. Coffee break
4.45 p.m. Policy panel: Ulrich Bindseil (European Central Bank); Frank Hatheway (Nasdaq OMX); Marco Pagano (Centre for Studies in Economics and Finance)   presentationand Allen Zhang (U.S. Treasury)
6.00 p.m. End of the first day
7.30 p.m. Conference dinner (by invitation only)
Venue: Emma Metzler, Schaumainkai 17, 60594 Frankfurt am Main
9 a.m. Session 4: Market stability

Market quality breakdowns in equities
Cheng Gao (Rutgers University) and Bruce Mizrach (Rutgers University)   presentation

Erik Theissen (University of Mannheim)   presentation


Circuit breakers and market runs
Sarah Draus (Centre for Studies in Economics and Finance) and Mark van Achter (Rotterdam School of Management)   presentation

Jérôme Dugast (Banque de France)   presentation

10.20 a.m. Coffee break
10.50 a.m Session 5: High-frequency trading – empirical evidence

Do retail traders suffer from high-frequency traders?
Katya Malinova (University of Toronto); Andreas Park (University of Toronto) and Ryan Riordan (University of Ontario Institute of Technology)   presentation

Bernt Arne Odegaard (University of Stavanger)   presentation


The externalities of high-frequency trading
Jiading Gai (University of Illinois at Urbana-Champaign); Chen Yao (University of Illinois at Urbana-Champaign) and Mao Ye (University of Illinois at Urbana-Champaign)

Richard Payne (Cass Business School)   presentation

12.10 p.m Lunch
1.30 p.m Session 6: High-frequency trading – theory

The welfare impact of high-frequency trading
Giovanni Cespa (Cass Business School) and Xavier Vives (IESE Business School)

Sophie Moinas (Toulouse School of Economics)   presentation


How fast can you trade? High-frequency trading in dynamic limit order markets
Alejandro Bernales (Banque de France)   presentation

Mark van Achter (Rotterdam School of Management)   presentation

2:50 p.m Coffee break
3.20 p.m Session 7: Market structure

An empirical analysis of market segmentation on US equities markets
Frank Hatheway (Nasdaq OMX); Amy Kwan (University of New South Wales) and Hui Zheng (University of Sydney)   presentation

Vincent van Kervel (VU University Amsterdam)   presentation


Decentralised exchange
Semyon Malamud (Swiss Finance Institute) and Marzena Rostek (University of Wisconsin-Madison)   presentation

Johan Hombert (HEC Paris)   presentation

4:40 p.m End of the conference.

The European Central Bank will be hosting the 9th Annual Central Bank Workshop in Market Microstructure in the fall of 2013. The aim of this series of conferences is to bring together top researchers and policy makers from central banks and other key institutions to discuss and present recent research related to market (infra-) structures and liquidity of equity, fixed income and foreign exchange markets.

This two-day conference will feature a keynote speech by Prof. Darrell Duffie (Stanford GSB) and a Policy Panel on Market Microstructure; confirmed speakers include Prof. Marco Pagano (University of Naples and CEPR) and Ulrich Bindseil (ECB).

Paper submission

We invite submissions of high-quality research papers dealing with all facets of market microstructure, both empirical and theoretical. We particularly encourage contributions on the following topics:

  1. Fixed income markets (money markets, bond markets).
  2. Long-run trends in Market Microstructure, e.g. opacity, OTC vs. regulated markets, efficiency, and automation.
  3. The impact of current regulatory initiatives on market structure, e.g. transaction taxes, Vickers / Volcker Rule, CCPs, LIBOR reform.

Authors may submit drafts of completed papers in pdf form to The deadline for submission is 30 April 2013. Papers will be selected by the program committee and the authors of accepted papers will be notified by 15 June 2013. There is no conference fee. There will be no reimbursement of travel expenses for conference participants.

Program Committee

  • Jean-Edouard Colliard (ECB)
  • Martin Evans (Georgetown U)
  • Michael Fleming (Fed New York)
  • Thierry Foucault (HEC Paris)
  • Peter Hoffmann (ECB)
  • Ingrid Lo (Chinese University of Hong Kong)
  • Michael Moore (QU Belfast)
  • Bernt Arne Odegaard (U of Stavanger)
  • Carol Osler (Brandeis U)
  • Christine Parlour (UC Berkeley)
  • Dagfinn Rime (Norges Bank)
  • Asani Sarkar (New York Fed)
  • Giorgio Valente (Essex)