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High Frequency Trading: Mitigating Its Impact on Trading and Investing


MONDAY, APRIL 24, 2017
Duncan Hall
Martel Hall and McMurtry Auditorium
Rice University

8:30 a.m. – 9:00 a.m. Registration and Continental Breakfast
9:00 a.m. – 9:15 a.m.  University Welcome and Opening Remarks: Keith D. Cooper, L. John and Ann H. Doerr Professor of Computational Engineering and Associate Dean for Research, George R. Brown School of Engineering;  Marina Vannucci, Noah Harding Professor and Chair of Statistics; Katherine B. Ensor, Professor of Statistics and Director, Center for Computational Finance and Economic Systems

9:15 a.m. – 11:45 a.m. Session I: Electronic Markets
Session Chair: John A. Dobelman, Professor in the Practice in Statistics & Associate Director of CoFES, Rice University
9:15 – 10:00 a.m. Sheri Markose, Professor of Economics, University of Essex. Computational Market Microstructure and Price Trends in the London Electronic Order Book: Order Submissions and Cancellations
10:00 – 10:45 a.m. Joseph Saluzzi, Themis Trading LLC and author of  Broken Markets
10:45 – 11:00 a.m. Break
11:00 – 11:45 a.m. Cameron Smith, President and CEO, Quantlab Financial

12:00 p.m. – 1:00 p.m. Lunch (Duncan Hall)

1:00 p.m. – 3:00 p.m. Session II: Managing Dynamics
Session Chair: Philip Ernst, Assistant Professor of Statistics and CoFES Researcher, Rice University
1:00 – 1:30 p.m. Lynn Lewis, Volatility in the Stock Market, Causes and Update
1:30 – 2:15 p.m. Allison Bishop, IEX Group, Inc. and Columbia University. The Evolution of the Crumbling Quote Signal
2:15 2:45 p.m. Aaron Goldenberg, QuantRisk Trading. Predictive Modeling using Deep Learning with TensorFlow

2:45 – 3:00 p.m. Break

3:00 – 5:00 p.m.  Session III: Market Application
Session Chair: Katherine B. Ensor, Professor of Statistics & Director of CoFES, Rice University
3:00 – 3:30 p.m. Daniel Kowal, Cornell and Rice University. Understanding and Modeling the Dynamics of Interest Rates
3:30 – 4:15 p.m. Rice University Student Presentations:
Terence Liff, Department of Statistics.  From Black-Scholes to the VIX: Understanding Expected Volatility
Rangan Mostofa, Sathya Ramesh and Marco Bornstein, Rice University. The Efficient Market Hypothesis applied to Sports Binaries Market
4:15 5:00 p.m. Panel Discussion (Markose, Saluzzi, Smith, Ramsay, Lewis, Goldenberg)
Panel Moderator: William Sirakos, Sr. Exec VP and Chief Economist, Cullen/Frost Bankers, Inc.

5:00 – 6:00 p.m. Reception and Poster Session, with Prota Challenge Poster Competition