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dernière mise à jour : 22/02/2013

 June 13-14, 2013, Université d'Evry-Val-d'Essonne (France)

Keynote Speakers :

  • Thierry FOUCAULT, HEC Paris, France
  • Bruce LEHMANN, University of California, San Diego, USA
  • Bruce MIZRACH, Rutgers University, USA



  • Gilles DUFRENOT (Aix-Marseille School of Economics, France)
  • Fredj JAWADI (University of Evry Val d’Essonne, France)
  • Wael LOUHICHI (University of Rennes 1, France)


Scope of the Workshop

In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. In order to limit these losses and improve risk control, the financial market authorities adopted new regulatory measures to strengthen the financial systems, control algorithm and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures and to test their appropriateness. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics. The aim of the workshop is to discuss innovative modeling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear models. The workshop aims at bringing together academics and professionals (economists, financiers, and econometricians) to discuss these issues and to present their recent theoretical and empirical findings. It will also serve as a valuable platform for discussing innovative and thought-provoking ideas on nonlinear high frequency data modeling.
We are looking for topics that might include (but are not restricted to) theoretical, experimental and empirical research in the following areas :

  • Market Microstructure
  • Order Book Dynamics
  • Price formation
  • Market Impact =
  • Market Regulation
  • Market Liquidity
  • Electronic Market
  • Market Organization
  • High Frequency data analysis
  • Price Discovery
  • Asset pricing
  • Financial Intermediation
  • Market imperfections
  • High Frequency Trading
  • Optimal trading
  • Market Analysis
  • Algorithmic Trading
  • Volatility Dynamics
  • Financial Mathematics
  • Nonlinear Dynamics
  • Financial Econometrics
  • Threshold Modeling
  • Switching Regime Models
  • GARCH Modeling
  • Market efficiency
  • Price behavior

This international conference includes plenary sessions and poster sessions.
Scientific Committee

  • Y. Ait-Sahalia, Princeton University, USA
  • W. Barnett, University of Kansas & New York Center for Financial Stability, USA
  • G. Dufrénot, Aix -Marseille School of Economics, Fr
  • A. Péguin-Feissolle, Aix -Marseille School of Economics, Fr
  • Th. Foucault, HEC Paris, Fr
  • Ph. Franses, Erasmus University, Netherlands
  • J. F. Gajewski, University of Savoie, Fr
  • C. Gresse, University of Paris-Dauphine, Fr
  • K. Hadri, Queens University Belfast, UK
  • F. Jawadi, University of Evry, Fr
  • B. Lehmann, University of California, San Diego, USA
  • L. Lescourret, ESSEC Business School, Fr
  • W. Louhichi, University of Rennes 1, Fr
  • E. Maasoumi, Emory University, USA.
  • V. Mignon, University of Paris West Nanterre La Défense, Fr
  • B. Mizrach, Rutgers University, USA
  • E. Paget-Blanc, University of Evry, Fr
  • Ch. Parlour, University of California, USA
  • D. Peel, Lancaster University, UK
  • S. Pouget, University of Toulouse, Fr
  • G. Prat, University of Paris West Nanterre La Défense, CNRS
  • S. Reitz, University of Kiel, Germany
  • I. Rosu, HEC Paris, Fr
  • Ph. Rothman, East Carolina University, USA
  • L. Sarno, City University London, UK
  • O. Scaillet, HEC of Geneva, Switzerland
  • G. Talmain, University of Glasgow, UK
  • T. Teräsvirta, Aarhus University, Denmark
  • E. Theissen, University of Mannheim, Germany
  • R. Tsay, University of Chicago, USA


Submission Process

Authors wishing to submit a presentation should send a full paper in PDF format and in English, by e-mail to: nd.mm2012@gmail.com and to frederique.bocquentin@univ-evry.fr.
The complete version of the paper should include the following information: title, name(s) of the authors, abstract, keywords, JEL classification, e-mail address for each author, complete address for the corresponding author. Please, note that the abstract is limited to 150 words.

Important Dates

Deadline for submission: March 30, 2013.
Notification of final decision: April 15, 2013.
Author pre-registration: April 15, 2013 - May 20, 2013.

Publication Opportunities

A selection of papers presented at this workshop will be considered for publication in :

  • a special issue of Journal of Financial Market
  • a special issue of Bankers, Markets & Investors

The standard refereeing process of these journals will apply.

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