In recent decades, the widespread uptake of electronic trading has facilitated the recording of high-quality data that describes the actions and interactions of market participants at the microscopic scale. Analysis of this data has revealed striking regularities that challenge many long-standing theories regarding financial markets.

The field of market microstructure seeks to establish connections between activity at the ultra-fast, microscopic scales and the emergent properties that appear on longer time scales. In this way, market microstructure is a bottom-up approach to understanding financial markets. Recent developments in this direction have helped to provide new insight into many important questions regarding price formation, market stability and macroeconomics. For example, recent market microstructure analyses yield convincing explanations – and, importantly, make testable quantitative predictions – on issues such as unusual price returns, volatility clustering, price impact and liquidity fluctuations. These important advances have clear practical implications for far-reaching issues such as market design, optimal execution and regulation.

Correspondingly, market microstructure has been vigorously investigated in many different communities, including economics, financial mathematics, econometrics, computer science and physics. Typically, researchers in this field have been scattered in academic institutions, banks and hedge funds. As a result, overlap between the community often remains limited, and several important advances in the field suffer from a lack of visibility.

After the very successful first edition in 2015, where topic related to Market Impact, Optimal Trading, Limiter Order Books and Prices Formation as well as High-Frequency Data were discussed throughout “Market Microstructure: The CFM-Imperial Workshop” is back  for a two-day event on 11-12 December. The aim of the workshop is to bring together again a wide range of academics and practitioners, to facilitate discussion of the many different ideas that have blossomed in these communities during the past decade, and to provide an overview of the state-of-the-art research in market microstructure.

The workshop will be organized by the CFM-Imperial Institute for-Quantitative Finance, and will be hosted by J.P. Morgan in their Victoria Embankment offices, in City of London. The event will unite several of the world’s leading researchers in quantitative finance around specialized research talks and round-table discussions, and will also provide young researchers with the opportunity to present their work in poster sessions. Overall, we seek to provide an opportunity for diverse and stimulating intellectual exchange on a wide range of topics highly relevant to modern financial markets.

The Organizing Committee

J.-P. Bouchaud, R. Cont, C.-A. Lehalle, E. Neuman


Check the Program here 


Tickets for “Market Microstructure: The CFM-Imperial Workshop 2017” are available in three categories:


PRACTITIONER        £500

ACADEMIC              £200

STUDENT               £100 


  • access to all talks on both days
  • access to the industry round-table
  • access to the poster session
  • refreshments throughout the event
  • workshop dinner (additional £40)



Register here 


If you wish to contact us, please send an


J.P. Morgan 60 Victoria Embankment, London, EC4Y 0JP Royaume-Uni