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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