NEWS & EVENTS

8:00–9:00 am

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Registration and Continental Breakfast

9:00–9:15 am

University Welcome and Opening Remarks

Keith D. Cooper, L. John and Ann H. Doerr Professor of Computational Engineering and Associate Dean for Research

Marina Vannucci, Noah Harding Professor and Chair of Statistics

Katherine B. Ensor, Professor of Statistics and Director, CoFES

9:15–11:45 am

Session I: Electronic Markets
Session Chair: John A. Dobelman, Professor in the Practice in Statistics & Associate Director of CoFES, Rice University

9:15–10:00 am

Computational Market Microstructure and Price Trends in the London Electronic Order Book
Sheri Markose, Professor of Economics, University of Essex

10:00–10:45 am

Joseph Saluzzi, Themis Trading LLC and Author of Broken Markets

10:45–11:00 am

Break

11:00–11:45 am

Cameron Smith, President and CEO, Quantlab Financial

12:00– 1:00 pm

Lunch

1:00– 3:00 pm

Session II: Managing Dynamics
Session Chair: Philip Ernst, Assistant Professor of Statistics and CoFES Researcher, Rice University

1:00–1:30 pm

Volatility in the Stock Market, Causes and Update
Lynn Lewis, Rice University

1:30–2:15 pm

The Evolution of the Crumbling Quote Signal
Allison Bishop, IEX Group, Inc. and Columbia University

2:15–2:45 pm

Predictive Modeling using Deep Learning with TensorFlow
Aaron Goldenberg, QuantRisk Trading

2:45–3:00 pm

Break

3:00–5:00 pm

Session III: Market Application
Session Chair: Katherine B. Ensor, Professor of Statistics & Director of CoFES, Rice University

3:00–3:30 pm

Understanding and Modeling the Dynamics of Interest Rates
Daniel Kowal, Cornell and Rice University

3:30–4:15 pm

Rice University Student Presentations:

From Black-Scholes to the VIX: Understanding Expected Volatility
Terence Liff

The Efficient Market Hypothesis applied to Sports Binaries Market
Rangan Mostofa, Sathya Ramesh and Marco Bornstein

4:15–5:00 pm

Panel Discussion
Markose, Saluzzi, Smith, Ramsay, Lewis, Goldenberg

Panel Moderator
William Sirakos, Sr. Exec VP and Chief Economist, Cullen/Frost Bankers, Inc.

5:00–6:00 pm

Reception and Prota Challenge Poster Competition