WFE and Imperial College’s Technology Conference

Monday 24 – Wednesday 26 July 2017, London

Imperial College Business School
Imperial College London
South Kensington Campus
London SW7 2AZ
United Kingdom

To download a copy of the programme as a PDF, please CLICK HERE
Please find a summary of the programme below. A full online version of the programme can be found below the summary.

Programme Summary:

  • DAY 1 - Monday 24 July

  • 18:45 – 21:30 : Welcome Reception
  • DAY 2 - Tuesday 25 July

  • 08:00 – 09:00 : Registration
  • 09:00 – 09:15 : Welcome Address
  • 09:15 – 09:35 : Opening Keynote
  • 09:35 – 10:45 : Reg-Tech:
    Enabling Compliance & Enhanced Oversight
  • 10:45 – 11:15 : Speaker : Andriy Shkilko
  • 11:15 – 11:45 : Speaker : Jonathan Brogaard
  • 11:45 – 12:15 : Making Sense of Electronic Markets
  • 12:15 - 13:45 : Lunch
  • 13:45 – 14:45 : Blockchain/DLT:
    Use-Cases & Limitations
  • 14:45 – 15:45 : Cyber-Security:
    Keeping the Barbarians from the Gate
  • 15:45 – 16:15 : Coffee Break
  • 16:15 – 17:15 : Market Infrastructures & Fintech:
    Finding the Value
  • 19:00 – 22:00 : Gala Dinner
  • DAY 3 - Wednesday 26 July

  • 09:00 – 09:30 : Speaker: Emiliano Pagnotta
  • 09:30 – 10:00 : Speaker : Jennifer Conrad
  • 10:00 – 11:15 : IT as Enabler or Investment?
  • 11:15 – 11:45 : Coffee Break
  • 11:45 – 12:15 : Speaker : Pete Kyle
  • 12:15 – 14:00 : Lunch
  • 14:00 – 15:15 : Artificial Intelligence & Machine Learning: To Infinity & Beyond
  • 15:15 – 15:30 : Closing Address
  • 15:30 – 17:00 : Farewell Reception
  • Click on the dates below to expand the full programme for that day

  • DAY 1 - Monday, 24 July 2017

    18:45 – 21:30 : Welcome Reception
    Venue : 170 Queen’s Gate, Imperial College London

  • DAY 2 - Tuesday, 25 July 2017

    08:00 – 09:00 : Registration

    Venue : Imperial College London - City and Guilds Building

    09:00 – 09:15 : Welcome Address

    Nandini Sukumar, CEO, WFE
    Siobhan Cleary, Head of Research & Public Policy, WFE
    Dr Andrei Kirilenko, Director, Centre for Global Finance & Technology, Imperial College Business School

    09:15 – 09:35 : Opening Keynote - Technology’s Impact on Market Structure – Revisiting Core Assumptions

    Gregg Berman, Director, Citadel Securities

    09:35 – 10:45 : Panel Session - Reg-Tech: Enabling Compliance and Enhanced Oversight

    Moderator : Ruth Wandhöfer, Managing Director, Global Head of Regulatory and Market Strategy, Citi
    Discussants :
    Tony Sio, Head of Exchange & Regulator Surveillance, Market Technology, Nasdaq
    Vikas Shah, Managing Director, Investment Banking, Rosenblatt Securities
    Satya Pemmaraju, Founding Partner & CEO, Droit
    Lucio Biase, CEO, LMRKTS

    10:45 – 11:15 : Every cloud has a silver lining: Fast trading, microwave connectivity and trading costs

    Professor Shkilko presents his recent research into modern markets, where trading firms spend generously to gain a speed advantage over their rivals. The marketplace that results from this rivalry is characterized by speed differentials, whereby some traders are faster than others. How does such a marketplace affect liquidity? To answer this question, he and his co-authors study a series of exogenous weather-related episodes that temporarily remove speed advantages of the fastest traders by disrupting their microwave networks. During these episodes, adverse selection declines accompanied by improved liquidity and reduced volatility. Liquidity improvement is larger than the decline in adverse selection consistent with the emergence of latent liquidity and enhanced competition among liquidity suppliers. The results are confirmed in an event-study setting, whereby a new business model adopted by one of the technology providers reduces speed differentials among traders, resulting in liquidity improvements.

    Speaker : Andriy Shkilko, Associate Professor of Finance, Wilfrid Laurier University

    11:15 – 11:45 : Risk and Return in High-Frequency Trading

    Professor Brogaard presents his latest research paper looking at performance and competition among high-frequency traders (HFTs). In this paper, he and his co-authors construct measures of latency and find that differences in relative latency account for large differences in HFTs’ trading performance. HFTs that improve their latency rank due to colocation upgrades see improved trading performance. The stronger performance associated with speed comes through both the short-lived information channel and the risk management channel, and speed is useful for a variety of strategies including market making and cross-market arbitrage. They explore implications of competition on relative latency and find support for various theoretical predictions.

    Speaker : Jonathan Brogaard, University of Washington, USA

    11:45 – 12:15 : Panel Session – Making Sense of Electronic Markets

    Gregg Berman discusses the practical implications of their research for market operators, policy makers and technology officers with Andriy Shkilko and Jonathan Brogaard.

    12:15 - 13:45 : Lunch
    Room :
    Queen’s Tower Room

    13:45 – 14:45 : Panel Session – Blockchain/DLT: Use-Cases and Limitations

    Moderator : Dr Andrei Kirilenko, Director, Centre for Global Finance & Technology
    Discussants :
    Ashwin Kumar, Managing Director, Group Head of Business & Product Development, Deutsche Boerse Group
    Jennifer Peve, Executive Director Office of FinTech Strategy, DTCC
    Michael McFadgen, Managing Director, Euclid Opportunities, NEX

    14:45 – 15:45 : Panel Session – Cyber-Security: Keeping the Barbarians from the Gate

    Discussants :
    Jerry Perullo, Chief Information Security Officer, Intercontinental Exchange
    Russell Wing, Head of Information Security, London Metals Exchange
    Bobby Singh, Chief Information Security Officer, TMX Group

    15:45 – 16:15 : Coffee Break
    Room :
    Concourse Area

    16:15 – 17:15 : Panel Session – Market Infrastructures, Post Trade and Fintech – Finding the Value

    Moderator : Rebecca Lewis, Analyst, Financial Markets, Federal Reserve Bank of Chicago
    Discussants :
    Arjun Jayaram, Founder & CEO, Baton Systems
    Ray Kahn, Senior Director, ICE
    Dave Olsen, Jump Trading

    19:00 – 22:00 : Gala Dinner
    (Welcoming remarks by David Gann, Imperial College Vice-Provost on Innovation)
    Venue : Natural History Museum
    Room : Earth Hall

  • DAY 3 - Wednesday, 26 July 2017

    09:00 – 9:30 : Chasing Private Information

    Professor Pagnotta presents his recently published research looking at whether market-based signals reveal the trading of privately informed investors? He and his co-authors examine this question using a novel sample of over 5,000 equity and option trades documented in the SEC’s in- sider trading investigations. They find that: (1) Trades based on information about fundamentals do impact information signals. (2) The relation between private and public signals is complex and, for commonly used liquidity metrics, contrary to standard theories. (3) Trade volume is more informative in option markets than in stock markets, with the combination of both being most informative. Evidence from the SEC’s Whistleblower Reward Program addresses potential selection concerns. 

    Speaker : Emiliano Pagnotta, Assistant-Professor of Finance, Imperial College Business School

    09:30 – 10:00 : The Term Structure of Liquidity Provision

    Professor Conrad presents the results of her recently published research into the term structure of liquidity provision in all stocks from 100 milliseconds to 600 seconds after each trade for 2000-2015.  At a one second horizon, the aggregate price of liquidity provision, net of losses to information, falls from 17 basis points of total dollar volume in 2000 to 1.5 basis points in 2015.   Regulatory changes, technological shocks, and changes in the industrial organization of markets are associated with declines in the price of liquidity provision, and with changes in the term structure.  Over the 16-year period, the slope of the term structure is increasingly steep, consistent with intense non-price (i.e. speed) competition.  The term structure and profitability of market-making in recent years is more closely tied to market, rather than idiosyncratic, risk.  This is consistent with electronic market makers managing liquidity provision in large well-diversified portfolios of securities.

    Speaker : Jennifer Conrad, Professor of Finance, University of North Carolina - Chapel Hill

    10:00 – 11:15 : Panel Session – IT as Enabler or Investment?

    Moderator : Aparajita Ajit, Vice President & Head Strategic Accounts, Mphasis UK Limited
    Discussants :
    Brendan Bradley, Co-Founder, Seismic Foundry
    Ruixuan Wang, Executive Manager of Technology Planning Office, Dalian Commodity Exchange
    Thomas Aidan Curran, Founder, Imarum GmbH

    11:15 – 11:45 : Coffee Break
    Room :
    Concourse Area

    11:45 – 12:15 : Dimensional Analysis and Market Microstructure Invariance

    Professor Kyle presents his latest research paper in which he combines dimensional analysis, leverage neutrality, and a principle of market microstructure invariance to derive scaling laws expressing transaction costs functions, bid-ask spreads, bet sizes, number of bets, and other financial variables in terms of dollar trading volume and volatility. The scaling laws are illustrated using data on bid-ask spreads and number of trades for Russian stocks. These scaling laws provide useful metrics for risk managers and traders; scientific benchmarks for evaluating controversial issues related to high frequency trading, market crashes, and liquidity measurement; and guidelines for designing policies in the aftermath of financial crisis. 

    Speaker : Pete Kyle, Professor of Finance, Robert H. Smith School of Business, University of Maryland

    12:15 – 14:00 : Lunch
    Room :
    Queen’s Tower Room

    14:00 – 15:15 : Panel Session – Artificial Intelligence & Machine Learning: To Infinity & Beyond

    Moderator : Alex Powell, Independent Consultant
    Discussants :
    Nathan Benaich, Ph.D., Artificial Intelligence Venture Capital Investor
    Frank Hatheway, Chief Economist & Senior Vice President, Nasdaq
    John Macpherson, CEO, BMLL Technologies
    Mike O’Keeffe, General Manager, Corlytics Solutions Ltd

    15:15 – 15:30 : Closing Address

    Nandini Sukumar, CEO, WFE
    Siobhan Cleary, Head of Research & Public Policy, WFE
    Dr Andrei Kirilenko, Director, Centre for Global Finance & Technology, Imperial College Business School

    15:30 – 17:00 : Farewell Reception
    Venue : Concourse Area

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