Norges Bank

The Microstructure of Equity and Currency Markets

The conference was held in Norges Bank (The Central Bank of Norway) in Oslo, Norway, 9-10 September 2005.

Presenting author in bold letters.

Friday September 9

Welcoming remarks:Governor Svein Gjedrem, Norges Bank

Session 1: Liquidity (chair: Bernt Arne Ødegaard)

Inter-temporal Trade Clustering and Two-Sided Markets, Asani Sarkar (Federal Reserve Bank of New York), Robert Schwartz (Zicklin Business School) and Avner Wolf (Zicklin Business School)

Discussant: Albert Menkveld

Detecting Liquidity Traders, Avner Kalay (Tel Aviv University and the University of Utah) and Avi Wohl (Tel Aviv University)

Discussant: Loran Chollete

Session 2: Macro and FX order flow (chair: Geir Bjønnes)

Short-Run Exchange-Rate Dynamics: Evidence, Theory, and Evidence, John Carlson (Purdue University) and Carol Osler (Brandeis International Business School)

Discussant: Farooq Akram

Macroeconomic Order Flows: Explaining Equity and Exchange Rate, Peter Dunne (Queens University, Belfast), Harald Hau (INSEAD and CEPR) and Michael Moore (Queens University, Belfast)

Discussant: Haakon Solheim

Luncheon speech: "Merger and Hybrid Market at the NYSE", Terrence Hendershott (UC Berkeley)

Session 3: Volatility (chair: Randi Næs)

The Impact of Trades on Daily Volatility, Doron Avramov (University of Maryland), Tarun Chordia (Emory University) and Amit Goyal (Emory University)

Discussant: Thierry Foucault

Session 4: Trading and Price Discovery (Equity) (chair: Randi Næs)

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, Kalok Chan (Hong Kong University), Albert Menkveld (Vrije Univeriteit, Amsterdam) and Zhishu Yang (Tsinghua University)

Discussant: Avi Wohl

The Cost of Trading on Competing Parallel Markets: SETS vs. Dealers in London, Alfonso Dufour (University of Reading) and Dorian Noel (University of Reading)

Discussant: Carsten Tangaard

Session 5: Trading and Price Discovery (FX) (chair: Dagfinn Rime)

An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates, Francis Breedon (Imperial College) and Paolo Vitale (D'Annunzio University and CEPR)

Discussant: Richard Lyons

Customer Order Flow and Exchange Rate Movements: Is There Really Information Content, Ian Marsh (Cass Business School) and Ceire O'Rourke (Cass Business School)

Discussant: Eric Girardin

Saturday September 10

Session 6: Limit Order Trading (Equity) (chair: Thierry Foucalt)

Hidden Limit Orders and Liquidity in Limit Order Markets, Sophie Moinas (HEC Business School)

Discussant: Jeremy Large

Information Acquisition in a Limit Order Market, Ronald Goettler (Carnegie Mellon University), Christine Parlour (Carnegie Mellon University) and Uday Rajan (University of Michigan)

Discussant: Mark van Achter

Session 7: Market Structure (chair: Johannes Skjeltorp)

Population Risk on Financial Markets, Jeremy Large (University of Oxford)

Discussant: Christine Parlour

Paying for Market Quality, Amber Anand (Syracuse University), Carsten Tangaard (Aarhus Business School) and Daniel Weaver (Rutgers University)

Discussant: James Angel

Luncheon speech: "Will the next global economic crisis start in the currency markets?", by Richard Olsen (Olsen and Associates)

Session 8: Exchange Rate Fundamentals (chair: Johannes Skjeltorp)

Exchange Rate Fundamentals and Order Flow, Martin Evans (Georgetown University and NBER) and Richard Lyons (Haas School of Business, Berkeley)

Discussant: Harald Hau

Session 9: Electronic Trading in FX Markets (chair: Richard Lyons)

Price Aggressiveness and Quantity: How are They Determined in a Limit Order Market?, Ingrid Lo (The Bank of Canada) and Stephen Sapp (University of Western Ontario)

Discussant: Frank McGroarty

Informed Trading in Limit Order Markets: Evidence on Trinary Order Choice, Lukas Menkhoff (University of Hannover) and Maik Schmeling (University of Hannover)

Discussant: Geir Bjønnes

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data, David Berger (Board of Governors, Fed), Alain Chaboud (Board of Governors, Fed), Sergey Chernenko (Board of Governors, Fed), Edward Howorka (EBS), Raj Krishnasami Iyer (EBS), David Liu (EBS), and Jonathan Wright (Board of Governors, Fed)

Discussant: Dagfinn Rime

Published 2 August 2005 11:09