TI - SoFiE 2012 Conference

measuring and understanding asset price changes:

the price of liquidity, the liquidity of price

Tinbergen Institute jointly organizes the conference with SoFiE, the Society of Financial Econometrics, in Amsterdam, the Netherlands.

The conference aims to be a dialogue among the world's top experts and new scholars on the issue of liquidity and price volatility. The financial crisis and, more recently, the sovereign debt market have brought the issue of price 'dislocations' to the center of the debate on modern markets.

But, what can scholarly work on price variability tell us? Can all be explained by existing economic models? Or, are new models based on search frictions better able to explain 'anomalies'? And, do existing econometric models suffice or are new techniques needed to parse ever-expanding datasets both in terms of the frequency of observation and the ability to disaggregate according to who is trading: retail investors, institutional investors, or hedge funds (e.g., high-frequency traders).

In academic work on the issue, increasingly theory papers calibrate to data in order to speak to real-world events. And, empirical work is focused on letting the data pick among falsifiable models. The conference specifically wants to provide a platform for the sharing of insights from these two emerging strands in the literature.

Keynote speakers:

When: Monday and Tuesday, March 26 - 27, 2012

Where: Tinbergen Institute, Amsterdam (click here for directions)

Please direct queries to ti.sofie2012@gmail.com.