Our next meeting is scheduled for 12/10/17 (Sunday) at 1pm in San Francisco on the 2nd floor lounge of the Marriott Marquis (780 Mission Street). See here for more information about the venue. Once you enter the hotel, go to the 2nd floor using the escalator and you will see a lounge with sofas and tables. Feel free to send an email if you have trouble finding it.
We will be starting a discussion on market microstructure. See here for paper.
“Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure. I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, the research we do must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.”
“High Frequency Market Microstructure.” Maureen OHara, Johnson Graduate School of Management, Cornell University. April 2014.