High Frequency Finance Workshop 2016

Sponsor: Richard Olsen at Lykke

• Date: Friday 4 March 2016
• Venues: University of Essex, Colchester Campus

Morning session (by invitation only):

• Time: 11:00-13:00
• Venue: EBS.2.1 (Business School)
• By invitation only: Richard Olsen's lecture is part of the CF968/BE653 modules. Students in these modules have priority to the lecture. Some of the (very limited) remaining seats have been reserved for our guests. Other visitors are welcome to take up remaining seats.

• Professor Richard Olsen, Lykke and Visiting Professor, CCFEA
  One global marketplace for all asset classes and instruments with immediate settlement and second-by-second interest payments with blockchain

Afternoon Session (open to all):

• Time: 14:00-18:00
• Venue: 1N1.4.1 (School of Computer Science & Electronic Engineering)

Schedule:

• Richard Olsen (Lykke and Visiting Professor, CCFEA, Essex)
  The Future of High Frequency Finance


• Lyudmyla Hvozdyk (EBS, Essex):
  Detection and analysis of jumps in intraday data
• Yi Cao (CCFEA, Essex)
  Using the Directional Change Approach with Dynamic Thresholds for Event Identification
• Venkata Chinthalapati (Greenwich University):
  title to be announced


• Edward Tsang (CCFEA, Essex)
  Directional Changes research in CCFEA, Overview
• Antoaneta Serguieva (UCL and Bank of England):
  Directional Change Profiling in equities
• Ran Tao (CCFEA, Essex)
  Profiling: creating a vocabulary for Directional Changes research
• Chen Chen (CCFEA, Essex)
  Technical trading
• Jun Chen (CCFEA, Essex)
  Regime changes detection in Directional Changes
• Shuai Ma (CCFEA, Essex)
  Market monitoring using Directional Change profiles
• Shengnan Li (CCFEA, Essex)
  Head and Shoulder patterns recognition in Directional Changes
• Futeri Jazeilya (CCFEA, Essex)
  Cross-Sectional Volatility Index as a Proxy for the VIX Index in an Asian Market
• Nora Alkhamees (IADS, Essex)
  Using the Directional Change Approach with Dynamic Thresholds for Event Identification

Invited Guests:

• Michael Kampouridis (University of Kent)
• Taras Yavorskyi (Coventry University, Mathematics and Physics)
• Pascal Khoury (UCL)
• Dudley Gilder (Aston University)
• Jake Smith (Government, Essex)
• Said Yama (EBS, Essex)
• Ioannis Korkos (EBS, Essex)
• Haji Yakubu (EBS, Essex)
• Bo Gu (EBS, Essex)
• John O'Hara (CCFEA, Essex)
• Emmanuel Ferreyra Ollvares (CCFEA, Essex)
• Jonathan Doering (CCFEA, Essex)
• Maria Fasli (IADS, Essex)
• Hamid Jalalian (CSEE, Essex)
• William Frank Domoney (BYODtoolkit / CSEE, Essex)
• Madalina Mihailescu (Maths and Finance, Essex)
• Kacper Radomski (Mathematics, Essex)
• Sheri Markose (Economics, Essex)
• Tssin Akinsanya (Economics, Essex)
• Po H Li (Economics, Essex)

Workshop Dinner

• Venue: Brasserie, Wivenhoe House
• Time: 6:30pm
• Thanks to part sponsorship by: Lykke

Student Presentation Prize

Thanks to Richard Olsen for donating a prize to the best student presentation!

The winner of the Best Student Presentation Prize is Nora Alkhamees. Congratulations to Nora!

Organising Committee:

• Edward Tsang (CCFEA, Essex): email edward at essex at ac at uk
• Lyudmyla Hvozdyk (EBS, Essex): email lhvozdyk at essex at ac at uk
• Yi Cao (CCFEA, Essex): email ycaoc at essex dot ac dot uk

Past events:

• CCFEA 10 Years Anniversary Workshop, 2012
• CCFEA Workshop 2011
• CCFEA Workshop 2010

Related events:

• Modeling High-Frequency Trading Activity Workshop, Banff, Canada, 1-6 September 2013 (organized by Ramo Gencay and Richard Olsen)
• Workshop in Computational Finance and Economics, Mexican Central Bank, Mexico City, 17-18, 2012 (addressed by Dr Manuel Ramos-Francia, Deputy Governor, Mexican Central Bank)
• Tenth Workshop on Heterogeneous Interacting Agents (WEHIA 2005), University of Essex, Colchester, 2005 (addressed by Benoît Mandelbrot)