Microstructure Online Seminars Asia Pacific

Seminars will take place on Wednesday. Times vary according to the speaker’s location.

All times in AEDT, China Standard Time (also Singapore and Hong Kong) is AEDT-2h. Paper title and link to paper below and in Zoom information.

Speaker: Gregory Eaton (Oklahoma State University)

Title: Zero-commission individual investors, high frequency traders, and stock market quality

Date: 28 July 2021; 11:00 (AEDT)

Abstract:

We find that Robinhood ownership changes are unrelated with future returns, suggesting that zero- commission investors behave as noise traders. We exploit Robinhood platform outages to identify the causal effects of commission-free traders on financial markets. Exogenous negative shocks to Robinhood participation are associated with increased market liquidity and lower return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with Robinhood order flow arrangements quote narrower lit-market spreads during outages, and market depth order imbalances fall, particularly for stocks with highly autocorrelated order flow, suggesting that zero-commission investors create liquidity-reducing inventory risks for market makers.


Ground rules: Seminars will last 45 minutes with questions typed into the chat box and moderated by the host during the talk. There will be a 15 minute Q&A session at the end of the session that will be organised by a moderator.

Seminar Series 2021

Date Presenter Time (AEDT) Link

28-Jul-21 Gregory Eaton 11:00 Registration Paper

11-Aug-21 Milena Wittwer 11:00 Registration Paper

18-Aug-21 Zhaogang Song 11:00 Registration Paper

8-Sep-21 Marius Zoican 11:00 Registration Paper

15-Sep-21 Tavy Ronen 11:00 Registration Paper

22-Sep-21 Jean-Edouard Colliard 17:00 Registration Paper

6-Oct-21 Norman Schürhoff 18:00 Registration Paper

13-Oct-21 Yan Xiong 13:00 Registration Paper

10-Nov-21 Evangelos Benos 19:00 Registration Paper

1-Dec-21 Emiliano Pagnotta 19:00 Registration Paper


Past Seminars

Date Presenter Time (AEDT) Link

29-Jul-20 Eric Budish 10:30 Registration Paper

5-Aug-20 Thomas Marta 17:00 Registration Paper

19-Aug-20 Gideon Saar 11:00 Registration Paper

26-Aug-20 Thomas Ernst 11:00 Registration Paper

9-Sep-20 Angelo Ranaldo 17:00 Registration Paper

16-Sep-20 Anthony Zhang 11:00 Registration Paper

23-Sep-20 Sunil Wahal 11:00 Registration Paper

7-Oct-20 Mao Ye 12:00 Registration Paper

14-Oct-20 Sophie Moinas 19:00 Registration Paper

21-Oct-20 Mina Lee 12:00 Registration Paper

28-Oct-20 Albert Menkveld 19:00 Registration Paper

4-Nov-20 Alexey Ivashchenko 19:00 Registration Paper

11-Nov-20 Chaojun Wang 12:00 Registration Paper

17-Feb-21 Charles Jones 12:00 Registration Paper

24-Feb-21 Chen Yao 13:00 Registration Paper

3-Mar-21 Charles Trzcinka 12:00 Registration Paper

17-Mar-21 Bart Zhou Yueshen 13:00 Registration Paper

24-Mar-21 Terry Hendershott 12:00 Registration Paper

31-Mar-21 Edwin Hu 12:00 Registration Paper

7-Apr-21 Tarun Chordia 11:00 Registration Paper

14-Apr-21 Esen Onur 11:00 Registration Paper

21-Apr-21 Yashar Barardehi 11:00 Registration Paper

28-Apr-21 Kumar Venkataraman 11:00 Registration Paper

5-May-21 Elena Asparouhova 11:00 Registration Paper

19-May-21 Haoxiang Zhu 11:00 Registration Paper

26-May-21 Carole Comerton-Forde 13:00 Registration Paper

2-Jun-21 Liyan Yang 11:00 Registration Paper

9-Jun-21 Amy Kwan 13:00 Registration Paper

23-Jun-21 Amit Goyal 16:30 Registration Paper

30-Jun-21 Hans Degryse 17:00 Registration Paper

7-Jul-21 Darrell Duffie 11:00 Registration Paper