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NYSE Microstructure Meets AI Conference

Calling all academics with papers on U.S. Equity Market Microstructure as well as microstructure’s intersection with AI/ML along with individuals interested in microstructure and the application of AI in the equities markets. The NYSE is hosting a conference that will bring together professors and key industry members to discuss the real-world applications of academic work for present day microstructure trends and future implications of AI in this field.

Paper submission and registration for the NYSE Microstructure Meets AI on November 11, 2024 is now closed.

Last-minute requests

Agenda

9 a.m. – Registration and continental breakfast
10 a.m. - Welcome from NYSE
  • Jon Herrick, Chief Product Officer
10:10 a.m. - Continuous Market Stability Signal
  • Sophia Lichoulas, NYSE
10:15 a.m. – Retail Limit Orders

  • Amber Anand, Syracuse University
  • Mehrdad Samadi, Federal Reserve Board
  • Jonathn Sokobin, FINRA
  • Kumar Venkataraman, Southern Methodist University

Discussant: Harry Feng, Blackrock

11:05 a.m. – Deep Limit Order Book Forecasting

  • Antonio Briola, University College, London (UCL)
  • Silvia Bartolucci, UCL
  • Tomaso Aste, UCL and London School of Economics

Discussant: Bala Balasubramaniam, Magnitude Capital

11:50 a.m. – Lunch
12:35 p.m. – Panel: New rules and AI: where do we go from here?

Moderator: Anand Pradhan, Head of AI Center of Excellence, ICE

Panel:
Petter Kolm - New York University, Mao Ye - Cornell University

Manoj Narang, Mana Partners and Kathryn Zhao, Cantor Fitzgerald

1:05 p.m. – Don’t stop me now! Identification and prediction of unnecessary volatility interruptions
  • Benjamin Clapham, Goethe University
  • Florian Ewald, Goethe University
  • Peter Gomber, Goethe University
  • Niklas Trimpe, Goethe University

Discussant: Vincent Skiera, Two Sigma

1:45 p.m. – Break
1:55 p.m. – Do low latency traders destabilize prices? Evidence from news releases
  • Tarun Chordia, Emory University
  • Bin Miao, Chinese University of Hong Kong
  • Joonki Noh, Case Western University

Discussant: Steven Poser, NYSE

2:45 p.m. – Break
3:00 p.m. – The rise of off-exchange trading and its impact on price discovery
  • Pankaj K. Jain, University of Memphis
  • Lai Xu, Syracuse University
  • Zhaoque (Chosen) Zhou, Washington University, St. Louis

Discussant: Swagato Acharjee, Clearpool Group

3:50 p.m. – Closing Bell
4:15 p.m. – Cocktails (until 6:30 p.m.)