Dealing with the Inventory Risk

Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia

High-Frequency Trading and The New-Market Makers

Albert Menkveld

Price dynamics in limit order markets

Rama Cont and Adrien de Larrard

focus on high frequency market makers the 9th of Sept (Fri)

9h30. Albert Menkveld [VU University Amsterdam and TI Duisenberg School of Finance].High Frequency Trading and
the New-Market Makers

10h30. Rama Cont [Columbia and Paris 6 Universities], joint work with A. De Larrard.

11h30. Olivier Guéant [Paris 7 University], joint work with J. Fernandez-Tapia and C.A. Lehalle.Dealing with the
Inventory Risk

Market Microstructure: confronting many viewpoints

This international conference will replace this year workshops:

Market Microstructure: confronting many viewpoints

Outside and Inside Liquidity

Outside and Inside Liquidity

Patirck Bolton, Tano Santos and José A. Scheinkman

Optimal split of orders across liquidity pools: a stochastic algorithm approach

Optimal split of orders across liquidity pools: a stochastic algorithm approach

Sophie Laruelle, Charles-Albert Lehalle & Gilles Pagès