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Low Latency Trading Low Latency Trading and Comovement of Order Flow and Prices 18 March, 2014 - Singapore
An evening presentation with Professor Ekkehart Boehmer

At a special presentation in Singapore on 18 March, 2014, Ekkehart Boehmer, Professor of Finance, EDHEC Business School, and Assistant Academic Director for Asia, EDHEC-Risk Institute PhD in Finance, will be drawing on his ongoing research to discuss the impact of algorithmic trading on systemic risk and market quality.

Professor Boehmer will present new empirical evidence on the relationship between algorithmic trading and co-movement in returns, order flow, liquidity, and volatility derived from the analysis of order-level data around a natural experiment at the National Stock Exchange of India.

  • 5:45pm

  • 6:00pm
    Presentation: Low Latency Trading and Comovement of Order Flow and Prices
    Ekkehart Boehmer, Professor of Finance, EDHEC Business School and Assistant Academic Director for Asia, EDHEC-Risk Institute PhD in Finance
    • Appreciating the systemic risk implications of co-movement in returns, order    flow, liquidity, and volatility
    • Recognising the risk that correlated strategies in algorithmic trading increase    these commonalities
    • Measuring the impact of algorithmic trading on returns, volatility, and market    quality
    • Explaining the observed decline in co-movement associated with higher levels    of algorithmic trading

  • 7:30pm
    Question & Answer Session

  • 8:00pm
About the Speaker

Professor Boehmer’s research interests lie principally in the microstructure of equity markets, and his most recent publications deal with short-selling, the predictability of stock returns, the role of institutional investors, and the impact of related markets on equity market quality.

He has published in leading journals, including Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Journal of Financial Intermediation, and Review of Financial Studies. He serves as associate editor to Review of Financial Studies, Financial Management and the Journal of Financial Markets and is a director of the European Finance Association.

Professor Boehmer has held positions in the financial industry, as Director of Research at the New York Stock Exchange and Senior Economist at the United States Securities and Exchange Commission.

Prior to joining EDHEC Business School as full-time faculty, he was an affiliate professor of the EDHEC-Risk Institute PhD in Finance programme and the John B. Rogers Professor of Banking and Finance at the University of Oregon Lundquist College of Business and prior to that, the holder of the Nichols Professorship of Finance at Texas A&M University Mays Business School. He holds an MA in Economics and a PhD in Finance from the University of Georgia.
Event Details
  When   Between 18/03/2014 05:30 PM and 18/03/2014 09:00 PM
Where   EDHEC Risk Institute–Asia, One George Street (Seventh Floor), Singapore
Contact Details
  Name   Syh Jiuan Ng
E-mail   syhjiuan.ng@edhec-risk.com
Phone   +65 6438 0030