The 2015 Copenhagen Business School Symposium on High-Frequency Trading
In recent years financial markets have undergone a huge transformation driven by technology and regulation. Keywords are market structure and high-speed algorithms. Both the structure of the markets in which participants operate and the behavior of those participants have seen a phase shift towards increasing fragmentation and digitalization where trades take place in micro- or even nanoseconds. In 2010, high-frequency trading (HFT) was estimated to account for 56% by volume of the entire equity turnover in the US. Similarly in Europe, HFT as a percentage of equity turnover by value was estimated to be around 38% – an increase from just 1% in 2005. This translates to a compounded annual growth rate of over a 106% from 2005 to 2010.
The new HFT trading paradigm has, according to some commentators, led to lower bid-ask spreads, increased liquidity and reduced transaction costs. However, HFT has also been seen to give rise to less benign market phenomena such as the Flash Crash in May 2010. Since then, HFT has been the focus of numerous controversies, culminating with the 2014 best-selling book Flash Boys by Michael Lewis, a book that argues that HFT-dominated markets are rigged. However, Lewis’s account has been widely contested by the industry, and the role of HFT is now under investigation by the regulators.
This one-day symposium at Copenhagen Business School will bring together leading academic and industry experts to shed light on the current state of HFT. Key questions to be addressed are: What is the current status of the HFT industry and what challenges for competitiveness does the turn to HFT entail? Are institutional investors being picked off by these faster market participants? What are the differences between the US and European markets in terms of the regulation of HFT? What does the future of HFT look like?
Companies and researchers working with finance or algorithmic trading; professionals from asset management; retail investors; exchanges; investment banking officials (broker-dealers); pension funds; trading platforms; regulators; IT service providers; and central bank officials.
Time and Venue
Time: Monday 5 October, 2015 - 08:30-18:30
Venue: Råvarebygningen, Porcelænshaven 22, 2000 Frederiksberg, Denmark
Attending the conference is free, but seats are limited and registration is required. Please register here
Christian Borch, Ann-Christina Lange, Søren Hvidkjær (all CBS), Katya Malinova (CBS and University of Toronto), Andreas Park (CBS and University of Toronto), and Søren Gade (the Danish Securities Dealers Association).
For further information about the conference, please contact Dr. Ann-Christina Lange (firstname.lastname@example.org).
The event is funded by Copenhagen Business School Competitiveness Platform, the Department of Finance, the Department of Management, Politics and Philosophy at CBS and the Sapere Aude ‘Crowd Dynamics in Financial Markets’ Research Project.
Registration & Coffee
The Rise of HFT: Welcome by the Organizers
Implications of MIFIDII (the Regulator’s View) - Alberto Garcia, Senior officer, ESMA
Too Fast Too Furious Need for Speed (High-Frequency Trading) Antidote - Tommi A. Vuorenmaa, PhD, Triangle Intelligence
Simulating HFT for Low-Latency Investors (the Investor’s View) - Robert Almgren, President and Head of Research at Quantitative Brokers (New York)
Panel Discussion (3-5 industry participants): Insights from the HFT World - Sam Tyfield, partner, Vedder Price (London); Robert Smith, former CEO and Managing Director of GETCO (Europe); Evangelos Benos, Senior Economist at Bank of England; Moderator: Katya Malinova, University of Toronto/Copenhagen Business School
View from the Exchange - Bjørn Sibbern, President of Nasdaq Copenhagen, Senior Vice President and Global Head of Nasdaq’s Commodities business; Markus Loew, Head of Unit Market Microstructure & Latency, Eurex
High-Frequency Trading in Scandinavia (the Academic’s View) - Björn Hagströmer, Associate Professor in Finance at Stockholm Business School, Stockholm University