Programme
ESF workshop on High Frequency Econometrics and the analysis of Foreign Exchange Markets
26th and 27th June 2006
Warwick Business School
Arrival: Sunday 25th June 2006
Rootes Building: Warwick Conferences
Room M2 Lecture Theatre
MBA Teaching Centre
Radcliffe House
Monday 26th June 2006
9.00 Coffee
9.10 Introduction by Mark Salmon and the European Science Foundation Dr. Dalina
Dumitrescu
Chair Lucio Sarno
9.15 Nikolaus Hautsch (University of Copenhagen)
Generalised autoregressive conditional intensity models with long range
dependence
10.00 Ingmar Nolte (Konstanz) with Valeri Voev
Latent factor panel intensity model
10.45 Coffee
11.00 Philippe Bacchetta (Gerzensee) with Eric van Wincoop
Incomplete information processing: a solution to the forward premium puzzle
11.45 Harald Hau (INSEAD) with Michael Moore and Peter Dunn
International order flows: explaining the equity and exchange rate returns
12.30 Richard Lyons (Haas School of Business)
Myths about the micro approach to exchange rates
1.15 Lunch
Chair Mark Salmon
2.00 Winfried Pohlmeier ( Konstanz) with Ingmar Nolte and Katrazyna Bien
Estimating Liquidity Using Information on the Multivariate Trading Process
2.45 Joachim Grammig (Univeristat Tubingen) with Erik Theissen and
Oliver Wuensche
Time and the price impact of a trade - A structural approach
3.30 Tea
4.00 David Veredas (ECARES-Universite Libre de Bruxelles) with Roberto Pascual
Does the open limit order book explain informational volatility?
4.45 Lukas Menkhoff (Hannover) and Maik Schmelin
Whose trades convey information?
5.30 Finish
7.00 Meet at Rootes Reception for dinner at Harringtons, Kenilworth - transport provided
Tuesday 27th June 2006
Chair Nikolaus Hautsch
9.30 Mark Salmon (Warwick) with Roman Kozhan
Can we predict exchange rates in real time; an application of genetic
technical analysis using the structure of the order book
10.15 Lucio Sarno (Warwick) with Pasquale Della-Corte and Ilias Tsiakas
Fundamentals, the forward bias and volatility: an economic evaluation of
exchange rate predictability
11.00 Coffee
11.30 Kim Christensen (Aarhus School of Business)
Asymptotic theory of range based estimation of quadratic variation of
discontinuous semi-martingales
12.15 Neil Shephard (Oxford) with Barndorff-Nielsen, Hansen and Lunde
Designing realised kernels to measure the ex-post variation of equity prices in
the presence of noise
1.00 Lunch
Chair Mark Salmon
2.00 Jeremy Large (Oxford)
Price Tick and Welfare when Assets Trade on a Penny
2.45 Albert Menkveld (Vrije Univeristeit Amsterdam) with Thierry Foucault
Competition for order flow and smart order routing systems
3.30 Tea
4.00 Andreas Heinen (Carlos III) with Walid Ben Omrane
The Information Content of Individual FX Dealers' Quoting Activity
4.45 Dagfinn Rime (Norges Bank) with Elvira Sojli and Lucio Sarno
Exchange Rate Dynamics and Order Flow; a re-examination
5.30 ESF: Concluding Discussion … Future Directions … outstanding research issues
6.00 Finish
Conference Dinner at Radcliffe House meet 7.00