| 08:00 - 08:45 |
Registration and coffee |
| 08:45 - 09:00 |
Welcoming remarks: Governor Svein Gjedrem, Norges Bank |
| 09:00 - 10:20 |
Session 1: Liquidity (chair: Bernt Arne Ødegaard) |
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Inter-temporal Trade Clustering and Two-Sided Markets (PDF 492 kB)
Asani Sarkar (Federal Reserve Bank of New York), Robert Schwartz (Zicklin Business School) and Avner Wolf (Zicklin Business School) (Presentation, PPT 339 kB)
Discussant: Albert Menkveld (Discussion, PDF 69 kB) |
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Detecting Liquidity Traders (PDF 290 kb)
Avner Kalay (Tel Aviv University and the University of Utah) and Avi Wohl (Tel Aviv University) (Presentation, PPT 291 kB))
Discussant: Loran Chollete (Discussion, PPT 37 kB) |
| 10:20 - 10:40 |
Coffee Break |
| 10:40 - 12:00 |
Session 2: Macro and FX order flow (chair: Geir Bjønnes) |
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Short-Run Exchange-Rate Dynamics: Evidence, Theory, and Evidence (PDF 462 kB)
John Carlson (Purdue University) and Carol Osler (Brandeis International Business School) (Presentation, PPT 309 kB)
Discussant: Farooq Akram (Discussion, PDF 140 kB) |
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Macroeconomic Order Flows: Explaining Equity and Exchange Rate (PDF 376 kB)
Peter Dunne (Queens University, Belfast), Harald Hau (INSEAD and CEPR) and Michael Moore (Queens University, Belfast) (Presentation, PPT 216 kB)
Discussant: Haakon Solheim (Discussion, PPT 42 kB) |
| 12:00 - 13:15 |
Lunch |
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Luncheon speech: "Merger and Hybrid Market at the NYSE" (PDF 328 kB)
by Terrence Hendershott (UC Berkeley) |
| 13:15 - 14:15 |
Session 3: Volatility (chair: Randi Næs) |
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The Impact of Trades on Daily Volatility (PDF 251 kB)
Doron Avramov (University of Maryland), Tarun Chordia (Emory University) and Amit Goyal (Emory University) (Presentation, PDF 73 kB)
Discussant: Thierry Foucault (Discussion, PDF 94 kB) |
| 14:15 - 14:30 |
Coffee break |
| 14:30 - 15:50 |
Session 4: Trading and Price Discovery (Equity) (chair: Randi Næs) |
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Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount (PDF 185 kB)
Kalok Chan (Hong Kong University), Albert Menkveld (Vrije Univeriteit, Amsterdam) and Zhishu Yang (Tsinghua University) (Presentation, PDF 227 kB)
Discussant: Avi Wohl (Discussion, PPT 46 kB) |
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The Cost of Trading on Competing Parallel Markets: SETS vs. Dealers in London (PDF 2238 kB)
Alfonso Dufour (University of Reading) and Dorian Noel (University of Reading) (Presentation, PDF 475 kB)
Discussant: Carsten Tangaard (Discussion, PDF 118 kB) |
| 15:50 - 16:15 |
Coffee break |
| 16:15 - 17:35 |
Session 5: Trading and Price Discovery (FX) (chair: Dagfinn Rime) |
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An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates (PDF 272 kB)
Francis Breedon (Imperial College) and Paolo Vitale (D'Annunzio University and CEPR) (Presentation PDF 167 kB)
Discussant: Richard Lyons (Discussion, PDF 83 kB) |
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Customer Order Flow and Exchange Rate Movements: Is There Really Information Content (PDF 129 kB)
Ian Marsh (Cass Business School) and Ceire O'Rourke (Cass Business School) (Presentation, PPT 956 kB)
Discussant: Eric Girardin (Discussion, PPT 202 kB) |
| 19:00 |
Conference dinner |
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MS Olympia (Rådhusbrygge 1, see Overview map). |