Plato Partnership’s annual Market Innovator Conference (MI3) was held online due to the Covid-19 pandemic on Wednesday 23rd September and Thursday 24th September 2020.
Respected academics from leading universities across the world presented a number of academic papers on the most current trends and topics affecting market participants in Europe.
In addition, the event included a panel with leading industry experts and leaders in the world of Equities trading.
Watch the videos of the presentations and find copies of the papers at the links below:
Trading Fees and Intermarket Competition, Thierry Foucault, HEC Paris, Marios Panayides, University of Cyprus
Informed Traders and Dealers in the FX Forward Market, Sebastian Vogel, EPFL, Richard Payne, Cass Business School
Stock-Specific Price Discovery From ETFs, Thomas Ernst, MIT Sloan School of Management, Albert Menkveld, Vrije Universiteit Amsterdam
Order Exposure in High Frequency Markets, Samarpan Nawn, Indian Institute of Management Udaipur, Sabrina Buti, Université Paris-Dauphine
Strategic Trading as a Response to Short Sellers, Francesco Franzoni, USI Lugano, Björn Hagströmer, Stockholm University
The Rise of ETF Trading and the Bifurcation of Liquidity, Davidson Heath, University of Utah, Zhuo Zhong, University of Melbourne
Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity, Carole Gresse, Université Paris-Dauphine, Ingrid Werner, The Ohio State University
3rd CEPR-Imperial-Plato Market Innovator (MI3) Conference 2019
The 2019 Plato Partnership MI3 academic conference was held at the Imperial College London Business School in conjunction with Imperial College and the Centre for Economic and Policy Research (CEPR).
Attendees comprised industry practitioners and senior academics from around the world. Seven papers were presented through the day, a panel discussion featuring representatives from Plato, BMLL, and Turquoise was chaired by Plato Sell-Side Chairman Nej D’jelal, and keynote speeches were given by Andrei Kirilenko of Imperial College Business School, Elliot Banks from BMLL, and Dr Robert Barnes from Turquoise.
Here you can find videos with insights from the academics and speakers, as well as summaries of their presentations.
By Alice Gast
Paying for Market Liquidity: Competition and Incentives
Do We Need Electronic Stock Dealers?
Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity
Market fragmentation, dissimulation, and the disclosure of insider trades
Quasai-dark trading: The effects of banning dark pools in a world of many alternatives
The benefits of Periodic Auctions beyond MiFID II Dark trading caps
Tick Size Wars. Competitive Tick Size Regimes and Trader Behavior
A Year since MiFID II
Market Structure in Europe and Beyond
BMLL Data – Feature Generation at Scale
Robert Barnes (Turquoise)
Mike Bellaro (Plato)
Christoph Hock (Union Investment and Plato)
Ben Collins (BMLL)
Chaired by Nej D’jelal (Barclays Investment Bank and Plato)
2nd CEPR-Imperial-Plato Market Innovator (MI3) Conference 2018
The 2018 Plato Partnership MI3 academic conference was held at the Imperial College London Business School in conjunction with Imperial College and the Centre for Economic and Policy Research (CEPR).
Attendees comprised industry practitioners and senior academics from around the world. Seven papers were presented through the day, and a panel discussion on evolving market structure in Europe was chaired by Plato Co-Chair Nej D’jelal featuring leading industry experts and regulators.
Here you can find videos with insights from the academics discussing their research, as well as summaries of each of the papers.
Roger’s paper, “The influence of cross-border cooperation on equity market liquidity”, examines how cooperation between national securities regulators affects
Bart Zhour Yuesen presented his paper, Dynamic Trade Informativeness, to the conference. The paper sets out to develop a
Alex Chinco’s paper “The sound of many funds rebalancing”, proposes that long rebalancing cascades generate noise in financial markets.
Large and patient traders already have strong incentives to find natural counter-parties to allow for larger orders to be
Olga’s paper “Multimarket high-frequency trading and commonality in liquidity” examines the effects of multimarket high-frequency trading activity on systematic
Jinuan Zhang presented her paper, Dynamic Trade Informativeness. The paper sets out to develop a structural model to examine
Multimarket High-Frequency Trading and Commonality in Liquidity
The Sound of Many Funds Rebalancing
Evolving Market Structure in Europe
Dynamic trade informativeness
The influence of cross-border cooperation on equity market liquidity
CEPR-Imperial-Plato Inaugural Market Innovator (MI3) Conference
Evolving Market Structure in Europe and Beyond
The inaugural Plato Partnership MI3 academic conference, Evolving Market Structure in Europe and Beyond, was held in conjunction with Imperial College London and the Centre for Economic and Policy Research (CEPR).
With over 80 attendees combining a balanced mix of industry practitioners and senior academics from across the globe, the discussions were informative, in-depth and varied. Seven papers, submitted by leading academics in advance of the day, were chosen for discussion by leading industry experts.
This document provides an easily-digestible summary of session 11, led by Plato Partnership Co-Chairs: Mike Bellaro, Managing Director, Global Head of Equities and Listed Derivatives Trading, Deutsche Asset Management, Nej D’jelal, Managing Director,Head of EMEA Electronic Equities Product, Barclays.
Announcement of the PLATO MI3 Best Paper Award and PLATO MI3 Best Paper by aYoung Researcher AwardCEPR-Imperial-Plato Inaugural Market Innovator (MI3) Conference
Download the session write us below
Information and Optimal Trading Strategies with Dark Pools, Ariadna Dumitrescu
Dark Pool Reference Price Latency Arbitrage, Peter O'Neill
Regulating Dark Trading- Order Flow Segmentation and Market Quality, Katya Malinova
Plato Partnership Vision and Initiatives
Shedding light on dark trading in Europe, Lunch & Keynote Speech by Carole Comerton-Forde
Trades, Quotes and the Cost of Capital, Ioanid Rosu
Market Structure Evolution – Research Avenues
Data Abundance and Asset Price Informativeness, Thierry Foucault
Market Power and Price Informativeness, Savitar Sundaresan
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets, Sven Panz
Announcement of the PLATO MI3 Best Paper Award and PLATO MI3 Best Paper by a Young Researcher Award
Authored by Professor Carole Comerton-Forde, Professor of Finance at the University of Melbourne, MI3’s maiden publication examines how firms need to adjust to new restrictions on dark trading and the closure of Broker Crossing Networks that will come about during MiFID II’s implementation in January 2018.
While the industry will be able to weather several of the changes easily, certain points, such as double volume caps being assessed by the European Securities and Markets Authority, are likely to have more dramatic and adverse effects, with possible suspensions prohibiting dark pool trading at venues if trading volume caps exceed accepted limits.
The paper makes four main recommendations:
- Buy side firms will need to assess 2017 trading levels to determine whether volume caps will be reached, possible triggering trading suspensions
- Buy-side firms will need to collaborate with sell-side on adjusting operating practices when dark trading is shut down in certain stocks
- Firms will need to carefully evaluate the merits of new trading venues
- Buy-side firms should look to effectively capitalise on new data provided by MiFID II to assist with the evaluation of trading outcomes.
Download the full paper below