International Workshop on Market Microstructure and Nonlinear Dynamics (MMND)

13-14 juin 2013
University of Evry Val d'Essonne - Evry (France)
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 - High Frequency Trading - Order Book Dynamics - Optimal trading - Price formation - Market Analysis - Market Impact - Algorithmic Trading - Market Regulation - Volatility Dynamics - Market Liquidity - Financial Mathematics - Electronic Market - Nonlinear Dynamics - Market Organization - Financial Econometrics - High Frequency data analysis - Threshold Modeling - Price Discovery - Switching Regime Models - Asset pricing - GARCH Modeling - Financial Intermediation - Market efficiency - Market imperfections - Price behavior This international conference includes plenary sessions and poster sessions. Authors wishing to submit a presentation should send a full paper in PDF format and in English, by e-mail to: and to 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. Call for papers:
Discipline scientifique : Microstructure des marchés

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