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CRETA Workshop on Advanced Econometrics 12_Professor Giorgio Valente - 25 November 2011, Kuan-Te Lecture Hall, Bldg. 1, College of Management
CRETA is pleased to invite Professor Giorgio Valente from University of Essex as the visitor from Nov. 21 - Dec. 1. To share the knowledge and development trend in algorithmic trading, Prof. Valente is to give lectures on Algorithmic Trading and Financial Markets: Trends and Implications on CRETA Workshop on Advanced Econometrics 12. The workshop is due to take place on Nov. 25 (Fri) at Kuan-Te Lecture Hall, 2F, Bldg. 1, College of Management, NTU (台大管理學院一號館 2 樓冠德講堂). All participants are welcomed! Please be sure to register your attendance online by noon, Nov. 22(Tue).
In order to have more chances to exchange ideas with domestic scholars and students, Professor Valente will present one of his current research focuses in a joint seminar with Financial Department, NTU on the morning of Nov. 29(Tue) at 10am. The venue is to be announced soon.
Also, Professor Valente have Nov. 22(Tue) and Nov. 29 (Tue) as office hours. Anyone interested in having a talk with Professor Valente is welcomed to go to his office at CRETA, Rm.415, Bldg. 2, College of Management, NTU.
*Date: Nov.25(Fri), 2011, 14:00 pm – 17:00 pm
*Venue: Kuan-Te Lecture Hall, 2F, Bldg. 1, College of Management, NTU
(台大管理學院一號館 2 樓冠德講堂)
Algorithmic Trading and Financial Markets: Trends and Implications
(當天將開放現場繳交台灣經濟計量學會 2012 年年度會費)
Electronic limit order books have gradually replaced, or in some cases substituted, traditional
quote driven markets over the past decade and they have become the prevalent form of
market structure. The growth of electronic limit order book made possible the establishment
and growth of algorithmic trading (AT). In fact, algorithms allow traders to connect their
servers to the electronic limit order books and react to changes in market conditions within
milliseconds. In the U.S. equity market alone, it has been estimated that 70 percent of trading
volume originates from AT. Similar growing figures have been estimated for other markets
(e.g. FX and fixed income). This lecture provides a critical review of the recent literature on
algorithmic trading in financial markets and the major implications for asset prices, market
efficiency. It also suggests some preliminary policy implications.
Giorgio Valente is Professor of Finance at Essex Business School, University of Essex, UK. Giorgio Valente has published, among others, in the Journal of Business, the Journal of Financial and Quantitative Analysis, the Review of Finance, the Journal of the European Economic Association, the Journal of International Economics. His research focuses on international finance and global investments, empirical issues in asset pricing and fixed income and FX markets microstructure with a particular interest in FX determination and forecasting and the behavior of international interest rates. Giorgio is a regular visitor of several institutions including the US Federal Reserve, the Hong Kong Monetary Authority and the Bank for International Settlements.
For more information about Professor Valente, please go to his website: http://www.essex.ac.uk/ebs/staff/profile.aspx?ID=1863
Nov.25 (Fri.) Kuan-Te Lecture Hall, 2F (二樓冠德講堂)
13:30 - 14:00 Registration
14:00 - 15:15 Lecture 1 (75 min)
15:15 - 15:35 Coffee Break
15:35 - 16:50 Lecture 2 (75 min)
*Lectures in English