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This fall, IEX ARC is going virtual.

Last year, the inaugural IEX Academic Research Conference (ARC) brought together market structure researchers and market participants for a day of discussion and ideation around breakthrough equity market structure research – research that is made possible given access to and understanding of market data. This fall, IEX ARC returns... but as “ARC.IO”: an academic conference fully centered on the theme of market data and its importance for academic research.

In part in response to the pandemic, ARC.IO will not be a standard academic conference. First, ARC.IO will be fully virtual. Second, ARC.IO will host presentations that are not necessarily full-fledged research papers. Rather, IEX is hosting talks from market structure researchers to discuss their research experience with market data: how to obtain it, how to handle it, how to understand it, how to use it, or any other aspect of using market data in market structure research. Finally, researchers will also discuss the difficulty of obtaining or working with market data, including potential unsuccessful efforts.

The presentations will last 25 minutes + 5 minutes of Q&A.



Important dates

Event Dates: Thursday Nov. 19 to Friday Nov. 20, 2020

Thursday, Nov. 19 (all times EST)

Time Talk Description
9:30 - 9:45 Opening remarks
Brad Katsuyama, CEO and co-founder, IEX Group
9:45 - 10:45
Session theme: Order Flow Shifts
James Brugler (University of Melbourne)
Jonathan Brogaard (David Eccles School of Business, University of Utah)
Dominik Roesch (State University of New York at Buffalo)
The authors show that the introduction of fees for market data by exchanges leads to reduced market shares and less informative trading on that venue.
Mark Paddrik (Office of Financial Research, U.S. Department of the Treasury)
Robert Garrison (FINRA, prev. OFR)
Pankaj Jain (University of Memphis, prev. OFR)
Paddrik’s paper looks at how cross-asset arbitrage impacts price discovery by analyzing intra-day message traffic for the E-mini S&P 500 futures and the SPDR S&P 500 ETF during the 2010 Flash Crash and 2020 market-wide halts.
10:45 - 11:00 Break
11:00 – 12:00
Session theme: Low Frequency Data
“Hiding in Plain Sight: Business and Trading Strategy Intelligence from Slow Data”
Paul Rowady (Alphacution)
In an era where some of the greatest strategic insights are waiting to be harvested – available for free, hiding in plain sight – Rowady describes his work publishing analysis based on publicly available “slow update frequency” data sources such as SEC Form 13F, SEC Rule 606 and other reports.
Edwin Hu (NYU, prev. SEC)
Hu discusses his paper analyzing the market quality of the NYSE closing auction, identifying an improvement when physical floor trading was unavailable during the COVID-19 pandemic. Hu will also reflect on his research work previously at the SEC, and early observations from the transition to academia.
12:00 – 13:30 Lunch break
13:30 – 14:30
Session theme: Machine Learning
“Experiments in Extracting Insights from Market Data using Deep Learning”
CK Chow will be speaking on FINRA’s work using deep learning to detect market manipulation, as well as other machine learning methods to understand financial market data.
“Generative Adversarial Networks for Amplifying and Extending Financial Market Data”
Michael Wellman (University of Michigan)
Wellman will be speaking on research that leverages deep neural networks (General Adversarial Networks, or GANs) to simulate realistic financial market data streams.
14:30 – 14:45 Break
14:45 – 15:45
Session theme: Evolution of Data
“Data and Academic Research: The WRDS Experience and Trends”
Luis Palacios (Wharton Research Data Services, or WRDS)
WRDS, who supplies financial data and analytics to top academic and research institutions, will discuss their observations of the data revolution, focusing specifically on financial databases, as well as ongoing trends in financial data.
“A Short Tale About Short Sales Data”
Amy Edwards (SEC Division of Economic and Risk Analysis)
Assistant Director Edwards will be speaking on the evolution of short sale data, charting its history from the Reg SHO pilot to its availability among exchanges today.

Friday, Nov. 20 (all times EST)

Time Talk Description
9:30 - 10:30
Session theme: The Latest from Europe
Sophie Moinas (Toulouse School of Economics)
Laurence Daures-Lescourret (ESSEC Business School)
Moinas analyzes a unique and rich dataset of stocks cross-traded on Euronext & Chi-X, which is labeled by participant type, to better understand why traders participate in the pre-open process.
Vincent van Kervel (Escuela de Administraci´on, Pontificia Universidad Cat´olica de Chile)
Van Kervel analyzes a proprietary dataset of Finnish index stocks to identify institutional parent orders and child executions, to show how splitting large institutional orders may enable more adaptive strategies when trading with large counterparties.
10:30 – 10:45 Break
10:45 – 11:45
Session theme: Latency Data
Andrei Kirilenko (Cambridge Judge Business School)
Kirilenko’s paper looks at the information contained in the latencies within an automated trading platform, and its predictive power on asset price volatility.
Eric Budish (The University of Chicago Booth School of Business)
Peter O’Neill (Financial Conduct Authority, or FCA)
Matteo Aquilina (FCA)
This 2020 paper investigates latency arbitrage utilizing breakthrough granular matching engine message traffic from the London Stock Exchange.
11:45 Closing remarks
The presentations and papers posted here were provided to IEX as host of the Academic Research Conference. Any opinions or assertions contained in these materials do not represent the opinions or beliefs of IEX or any of its affiliates or employees.


The conference will be free to all registered attendees.

Topics of interest

We welcome submission of any proposals or extended abstracts around market data and its use in market structure research. Topics of interest include but are not limited to:

  • Telling the data story of a research project involving a unique dataset
  • Telling the story of how better access to data impacted a literature along the years
  • Motivated calls for better data / transparency in specific areas
  • Major roadblocks in obtaining market data, unsuccessful efforts
  • Tips and tricks for analyzing popular/well-known datasets
  • Market data normalization, standardization, cleaning, pre-processing
  • Replication
  • Methods for analyzing market data
  • Market data visualization
  • Computational aspects of working with large market datasets
  • Unique datasets, publicizing under-utilized datasets (such as regulatory, scraping, etc.)
  • Research papers on the market for market data

Submissions will be judged based on criteria such as quality, novelty, methodology, and relevance.

Conference Organizers

About IEX

IEX Exchange is a U.S. stock exchange designed to provide superior execution quality and set a new standard for trading. Since launching in 2016, the exchange has grown to be one of the largest exchange operators globally, by notional value traded. To learn more about IEX Exchange and other IEX businesses visit iextrading.com or search IEX.