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  • CFTC Research Conference
    Conference Center
    Three Lafayette Centre
    1155 21st Street, NW
    Washington, DC 20581

    November 30, 2012 – 9:00 a.m. - 5:30 p.m.

    Program:

    9:00 a.m.

    Registration and Welcome

    9:30 a.m.

    Opening Remarks by:

      • Gary Gensler, Chairman, Commodity Futures Trading Commission

    10:00 a.m. – Noon

    Session 1: Automated, Algorithmic and High Frequency Trading

      • Chair: Pradeep Yadav, University of Oklahoma

    10:00 a.m.

    Andrei Kirilenko, Commodity Futures Trading Commission:

      • The Profitability of High Frequency Traders

    10:30 a.m.

    Robert Webb, University of Virginia:

      • The Impact of Co-location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity

    11:00 a.m.

    Cheng Gao, Rutgers University:

      Market Quality Breakdowns in Equities

    11:30 a.m.

    Q&A

    Noon – 1:00 p.m.

    Break for lunch

    1:00 - 3:00 p.m.

    Session 2: The Economics of Swaps Markets

      Chair: Andrew Lo, Massachusetts Institute of Technology

    1:00 p.m.

    Sayee Srinivasan, Commodity Futures Trading Commission:

      • Developments in Futures and Swaps Markets: An Overview

    1:30 p.m.

    Michael Fleming, Federal Reserve Bank of New York:

      • Trading Activity and Price Transparency in the Inflation Swap Market

    2:00 p.m.

    Dale Rosenthal, University of Illinois at Chicago

      • Market Structure, Counterparty Risk, and Systemic Risk

    2:30 pm

    Q&A followed by a Break

    3:00 - 5:00 p.m.

    Session 3: The Financialization of Commodity Markets

      Chair: Wei Xiong, Princeton University

    3:00 p.m.

    Laura Tuttle, Securities and Exchange Commission:

      • Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls

    3:30 p.m.

    Brian Henderson, George Washington University:

      • New Evidence on the Financialization of Commodity Prices

    4:00 p.m.

    Joseph Gruber, Federal Reserve Board of Governors:

      • Interest Rates and the Volatility and Correlation of Commodity Prices

    4:30 p.m.

    Q&A

    5:00 p.m.

    Closing Remarks by:

      Andrei Kirilenko, Chief Economist, Commodity Futures Trading Commission

    5:30 p.m.

    Adjourn

    Last Updated: November 21, 2012

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