HEC Montréal, Canada

7–8 April, 2005

 Program

Thursday, 7 April

 7:45    Registration and breakfast: In front of Banque de Développement du Canada room (1^st floor, Blue Section).

8:25     Welcoming address, Banque de Développement du Canada room: Michèle Breton, HEC Montréal.

Morning sessions
Banque de Développement du Canada room
1^st floor, Blue Section

 – Concentration of markets I (Moderator: Michèle Breton, HEC Montréal)

 8:30    Competition for Order Flow and Smart Order Routing System
(presentation)
Thierry Foucault, HEC Paris, and Albert Menkveld, Vrije Universiteit in Amsterdam.

9:10     Preferencing, Internalization and Dealer Inventory (Abstract)
Laurence Lescourret, ESSEC Business School and CREST, and Christian Y. Robert, Conservatoire National des Arts et Métiers and CREST.

9:50     Break

– Regulation and monitoring of transactions (Moderator: Michèle Breton, HEC Montréal)

10:10   Information Acquisition in a Limit Order Market
(presentation)
Ronald L. Goettler and Christine A. Parlour, Carnegie Mellon University, and Uday Rajan, University of Michigan.

10:50   Liquidity Formation and Preopening Periods in Financial Markets
Magueye Dia, University of Toulouse, and Sébastien Pouget, Georgia State University.

11:30   Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions
Ali Hortaçsu, University of Chicago, and Samita Sareen, Duke University.

12:10   Lunch: Atrium Hydro-Québec, RJ floor.

Afternoon Sessions

Parallel sessions

Banque de Développement du Canada room
1^st floor, Blue Section

– Transparency of markets (Moderator: Tony Berrada, HEC Montréal)

13:30   Public Disclosure and Private Decisions: The Case of Equity Market Execution Quality
Ekkehart Boehmer, Texas A&M University, Robert Jennings, Indiana University, and Li Wei, New York Stock Exchange.

14:10   Informed Hidden Limit Order Trading and Liquidity on a Limit Order Market
Sophie Moinas, HEC Paris and GREGHEC.

14:50   Market Transparency and Traders’ Behavior: An Analysis on Euronext with Full Order Book Data
(presentation)
Rudy De Winne, Catholic University of Mons, and Catherine D’Hondt, EDHEC Business School.

* * *

Louis-Laberge room
1^st floor, Red Section

– Irregularly time-spaced high-frequency data models (Moderator: Antonio Falato, HEC Montréal)

13:30   Order Submission: the Choice between Limit and Market Orders (Abstract)
Ingrid Lo, The Bank of Canada, and Stephen G. Sapp, University of Western Ontario.

14:10   Trading Activity and Liquidity Supply in a Pure Limit Order Book Market
(presentation)
Joachim Grammig, Eberhard Karls University of Tübingen, Andréas Heinen, University Carlos III and Université Catholique de Louvain, and Erick Rengifo, Université Catholique de Louvain.

14:50   Volatility Regimes and the Provision of Liquidity in Order Book Markets
Helena Beltran, Université Catholique de Louvain, Alain Durré, Lille Catholic University, and Pierre Giot, University of Namur.

15:30    Break

Banque de Développement du Canada room
1^st floor, Blue Section

– Concentration of markets II

16:00   Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods
Albert J. Menkveld, Siem Jan Koopman, and André Lucas, Vrije Universiteit Amsterdam.

16:40   A Tale of Two Time Zones: Cross-Listed Stock Liquidity and the Availability of Substitutes
Pamela C. Moulton and Li Wei, New York Stock Exchange. 

Friday, 8 April

Morning sessions
Banque de Développement du Canada room
1^st floor, Blue Section

– Liquidity and volatility (Moderator: Pascal François, HEC Montréal)

9:00     Value at Risk using High-Frequency Data (Abstract)
Maria Pacurar, HEC Montréal. 

9:40     The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms
Tarun Chordia, Emory University, Asani Sarkar, Federal Reserve Bank of New York, and Avanidhar Subrahmanyam, University of California at Los Angeles.

10:20   The Impact of Architectural Features on Global Equity Market Performance: How Harmful is Opacity for Trading Success?
(To get the article and/or the presentation: j.westerholm@econ.usyd.edu.au)
Peter L. Swan, University of New South Wales, and Joakim Westerholm, University of Sydney.

11:00   Break

12:50   Lunch: Atrium Hydro-Québec, RJ floor.

* * * * * * * * * * * *

Scientific committee:
Bruno Biais, Université de Toulouse
Georges Dionne, HEC Montréal
Christian Gouriéroux, CREST and University of Toronto
Joshua Slive, HEC Montréal

         Organizing committee:
Michèle Breton, Georges Dionne,
Claire Boisvert, Renée Bouchard
HEC Montréal