Atelier de la Chaire FBF « Marchés en Mutation »
Mercredi 21 juin 2017 de 9h00 à 10h30 (café d’accueil à 8h30)
18 rue La Fayette – 75009 Paris

Intervenant : Guillaume VUILLEMEY, Professeur assistant, HEC

Titre : Resolving a failed clearinghouse: Evidence from the Paris Commodity Exchange

Abstract : We study unsuccessful recovery plans and the subsequent resolution of the CLAM, a futures clearinghouse (CCP) that failed in Paris in 1974. Low equity levels and poor governance induced the CCP’s management to refuse renegotiation and recovery plans proposed by in-the-money clearing members. A long renegotiation period and the subsequent allocation of losses are consistent with models of bargaining with strategic delays. If implemented earlier, an administered resolution plan could have limited total losses. Our findings have implications for current discussions on the design of CCP recovery plans.

Intervenant : Pamela SALIBA, Ph.D student in financial mathematics at Ecole Polytechnique & Autorité des marchés financiers (AMF)

Titre : The behaviour of high-frequency traders under different volatility scenarios

Abstract : There is a big controversy about the consequences of High Frequency Traders’ (HFTs) activity on market quality. In order to understand the real impact of this activity on markets, we provide an empirical study of the behaviour of leading HFTs on Euronext Paris. We analyse on the one hand their impact on liquidity provision (spread and market depth), and on the other hand on liquidity consumption (their market share and aggressiveness). The analysis is carried out under different volatility scenarios. First, the analysis is done on a daily basis, with a focus on high stress periods. Second, we investigate the intraday behaviour of HFTs, focusing on periods preceding and following macro economical announcements. A comparison between the dynamics of HFTs and that of traditional market makers is done, with the intention of understanding whether HFTs do really play the role of market makers as they prevail, and as some academic studies suggest. Finally, we are interested in the attitude of HFTs during days characterized by impactful announcements followed by a sharp price variation: the 3rd of december (the announcement of the new monetary policy by the European Central Bank), and the 24th of june (the Brexit announcement).

L’atelier sera suivi d’un débat avec les participants.

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18 rue de la Fayette 75009 Paris