7th Tinbergen Institute Conference: Measuring and Understanding Asset Price Changes: The Price of Liquidity, the Liquidity of Price

Tinbergen Institute jointly organized the conference with SoFiE,the Society of Financial Econometrics, in Amsterdam, the Netherlands.

The conference was a dialogue among the world’s top experts and new scholars on the issue of liquidity and price volatility. The financial crisis and, more recently, the sovereign debt market have brought the issue of price ‘dislocations’ to the center of the debate on modern markets.

But, what can scholarly work on price variability tell us? Can all be explained by existing economic models? Or, are new models based on search frictions better able to explain ‘anomalies’? And, do existing econometric models suffice or are new techniques needed to parse ever-expanding data sets both in terms of the frequency of observation and the ability to disaggregate according to who is trading: retail investors, institutional investors, or hedge funds (e.g., high-frequency traders).

In academic work on the issue, increasingly theory papers calibrate to data in order to speak to real-world events. And, empirical work is focused on letting the data pick among falsifiable models. The conference specifically wanted to provide a platform for the sharing of insights from these two emerging strands in the literature.

Presentations:

• Ricardo Lagos (NYU) Trade Dynamics in the Market for Federal Funds (co-author: Gara M. Afonso (NY-Fed)
• Thierry Foucault (HEC, Paris) Illiquidity Contagion and Liquidity Crashes (co-author: Giovanni Cespa (CSEF, U Naples Federico II)
• Albert (Pete) Kyle (U Maryland) Market Microstructure Invariants (co-author: Anna A. Obizhaeva (U Maryland)
• Norman Schürhoff (U of Lausanne) Dealer Networks (co-author: Dan Li (FED)
• Vincent van Kervel (Tilburg University) The Impact of Dark and Visible Fragmentation on Market Quality
• Adam V. Reed (UNC) Revealing shorts: An Examination of Large Short Position Disclosures (co-authors: Charles M. Jones (Columbia), William Waller (UNC)
• Patrick Tuijp (Tilburg U) Pricing Liquidity Risk with Heterogeneous Investment Horizons (co-authors: Alessandro Beber (Cass), Joost Driessen (Tilburg U)
• Nikolaus Hautsch (Humboldt) On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placement (co-author: Ruihong Huang (Humboldt)
• Arseniy Kukanov (Columbia) The Price Impact of Order Book Events (co-author: Rama Cont (Columbia), Sasha Stoikov (Cornell Financial Engineering)
• Giang Nguyen (UNC) Liquidity and Volatility in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models? (co-authors: Robert F. Engle (NYU), Michael Fleming (NY-FED), Eric Ghysels (UNC)
• Mathijs A. van Dijk (EUR) International Capital Flows and Liquidity (co-authors: Dimitrios Vagias (EUR)
• Gyuri Venter (Copenhagen Business School) Financially Constrained Strategic Arbitrage
• Enrique Schroth (UvA) Search Frictions and Controlling Shareholder Illiquidity (co-author: Rui Albuquerque (Boston U)
• Steven Chong Xiao (Georgia Tech) Do Firms Choose their Stock Liquidity? A Study of Innovative Firms and their Stock Liquidity (co-authors: Nishant Dass (Georgia Tech), Vikram Nanda (Georgia Tech)

When: Monday and Tuesday, March 26 – 27, 2012

Where: Tinbergen Institute Amsterdam

Program Committee: Francis X. Diebold (U of Pennsylvania), Joost Driessen (Tilburg U), Eric Ghysels (U North Carolina), Terrence Hendershott (UC Berkeley), Burton Hollifield (Carnegie Mellon U), Charles M. Jones (Columbia U), Albert J. Menkveld (VU Amsterdam), Stefan Nagel (Stanford U), Norman Schurhoff (HEC Lausanne)

Organizing Committee: Ester van den Bragt (Tinbergen Institute), Albert J. Menkveld (Tinbergen, VU University Amsterdam), Bart Zhou Yueshen (Tinbergen, VU University Amsterdam), Nina Zoppi (NYU Stern)