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學會學術會議
  • 標題:CRETA Workshop on Advanced Econometrics 12_Professor Giorgio Valente
  • 公告日期:2011-11-17

CRETA 11 月再度邀請到來自英國 University of Essex Professor Giorgio Valente 到校園與學生交流。在 11 25 () Prof. Valente 將以 Algorithmic Trading and Financial Markets: Trends and Implications 為題,於 CRETA Workshop on Advanced Econometrics 12 與大家分享學術新知。此場研討會訂於台大管理學院一號館 2 樓冠德講堂舉行,歡迎大家踴躍參與。有意報名者,請於 11 22 () CRETA 網站 <http://www.creta.org.tw/events/view/41 > 完成報名。


另外, Prof. Valente 謹訂以下時段為 office hours
11
22 ( ) 上午 9 30 分到 12
11
29 ( ) 下午 2 30 分到 4
有興趣與 Prof. Valente 一談的同好,歡迎自行至台大管理學院二號館 4 415 室,與教授見面。


*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)
*Topic: Algorithmic Trading and Financial Markets: Trends and Implications


[Regirstration Fee]
台灣大學在學學生及現任教職員和台灣經濟計量學會會員為免費參加
其他參加者報名費為 NT$600
(
當天將開放現場繳交台灣經濟計量學會 2012 年年度會費)

[Lecture Overview]
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.

[About the Speaker]
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

[Program]
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

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