Models of Financial Market Microstructure

This is a special session at the 2nd IASTED International Conference on Financial Engineering and Applications. The goal of this session is to draw together researchers across disciplinary boundaries whose work and interests span the spectrum from methodological innovations (e.g. agent-based models on evolving interaction networks), empirical investigations (e.g. simulations and statistical analyses of high frequency transaction data) to policy implications (e.g. optimal design of auctions and related market mechanisms). A unifying theme for the session is the risk management of equity market making and its effects on the global network of financial interactions.