Topic: Microstructure in the Machine Age
Speaker: Maureen O’Hara, Robert W. Purcell Professor of Finance, Cornell University
Date: 10:00am-11:30am, April 17, 2019
Venue: 3-300, Building 3, Tsinghua University PBC School of Finance
Organizers: The Academic Committee of Tsinghua University, Tsinghua University PBC School of Finance, Tsinghua University National Institute of Financial Research
Language: English
Abstract:
Understanding modern market microstructure phenomena requires large amounts of data and advanced mathematical tools. In this paper, we demonstrate how a machine learning algorithm can be applied to microstructural research. We find that simple microstructure measures designed to reflect frictions in a simpler market continue to provide insights into the process of price adjustment. We find that some of these microstructure features with apparent high explanatory power can exhibit low predictive power, and vice versa. We also find that some microstructure-based measures are useful for out-of-sample prediction of various market statistics, leading to questions about the efficiency of markets. Our results are derived using 87 of the most liquid futures contracts across all asset classes.
Biography:
Maureen O’Hara is Robert W. Purcell Professor of Finance at the Johnson Graduate School of Management, Cornell University. Professor O'Hara is an expert on market microstructure, and she publishes widely in banking and financial intermediaries, law and finance, and experimental economics. She is the author of numerous journal articles as well as the books Market Microstructure Theory (Blackwell: 1995), and High Frequency Trading: New Realities for Traders, Markets, and Regulators (Risk Books: 2013), and Something for Nothing: Arbitrage and Ethics on Wall Street (WW Norton:2016). A past President of the American Finance Association, the Western Finance Association and the Financial Management Association, she was Executive Editor of the Review of Financial Studies. A member of the CFTC-SEC Emerging Regulatory Issues Task Force (the “flash crash” committee), she has also served on the Global Advisory Board of the Securities Exchange Board of India (SEBI), the Advisory Board of the Office of Financial Research, U.S. Treasury, and the SEC Equity Market Structure Advisory Committee. She was named to Institutional Investors Trading Technology Top 40 and she is currently an Advisor to Symbiont, a company focusing on blockchain and smart securities.
Registration:
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