Academics and practitioners in the field of financial econometrics from around the world gathered in the Netherlands for a conference on "Measuring and Understanding Asset Price Changes: The Price of Liquidity, and the Liquidity of Price." Co-hosted by The Society for Financial Econometrics (SoFiE), which is housed within the NYU Stern Volatility Institute, and the Tinbergen University in Amsterdam, the event featured keynote speakers Thierry Foucault, HEC, Paris; Pete Kyle, University of Maryland; and Ricardo Lagos, NYU. Nobel Laureate Professor Robert Engle’s co-authored research on “Liquidity and Volatility in the US Treasury Market: Evidence from a New Class of Dynamic Order Book Models?” was also presented.