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23 May 2024 - 23 May 2024

9:00AM - 4:10PM

Durham University Business School

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The Quantitative Research in Financial Economics Centre (QRFE) is pleased to host our first annual workshop on quantitative finance with the keynote speaker Dimitri Vayanos from London School of Economics.

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Stock Market Screens

First QRFE Workshop on Quantitative Finance

 

Programme

09:00- 09:20     Coffee and Registration

09:20-09:30      Welcome by Cathy Cassell, Executive Dean, Durham University Business School

09:30-10:20      Barbara Rindi, Bocconi University                    

Optimal Tick Size, joint with Giuliano Graziani (Bocconi) and Bart Yueshen (Singapore Management University)

10:20-11:10      Jean-Edouard Colliard, HEC Paris           

Algorithmic pricing and liquidity in securities markets, joint with Thierry Foucault (HEC Paris) and Stefano Lovo (HEC Paris).

11:10-11:40      Coffee Break

11:40-12:30      Yajun Wang, Baruch College

The welfare implication of information disclosure frequency, joint with Wen Chen (Chinese University of Hong Kong).

12:30-13:45      Lunch

13:45-14:45      Keynote speech by Dimitri Vayanos, London School of Economics

14:45-15:20      Coffee Break

15:20-16:10      Esen Onur, Commodity Futures Trading Commission (CFTC)

Contagion across futures markets through trader portfolios, joint with Alex Ferko (CFTC) and Tugkan Tuzum (Board of Governors of the Federal Reserve System).

Pricing

Free