A Trading Desk View of Market Quality
Robert A. Schwartz, John Aidan Byrne, Antoinette Colaninno
Springer Science & Business Media, 2005 - Business & Economics - 199 pages
This book is based on A Trading Desk’s View of Market Quality, a conference hosted by the Zicklin School of Business on April 30, 2002. The text includes the edited transcripts of each panel as well as separate presentations by two distinguished industry officials, Joel Steinmetz, who at the time was Senior Vice President, Equities, Instinet Corporation, and Laura Unger, formerly Acting Chairperson and Commissioner of the U.S. Securities and Exchange Commission. This book is not simply a historical record of the conference. It is also an exposition of the complex issues raised by the industry experts and speakers in attendance. Therefore, we introduced new material from foll- up interviews with many of the panelists so that the final result would be a more valuable document. Our intention was to examine the discussions with a critical eye, then modify or expand various sections to reflect contemporary conditions. In addition, we have included a paper by Ozenbas, Schwartz and Wood (see Chapter 8, page 151) that provides further analysis on the connection between market quality and intra-day 1 volatility that was noted several times during the conference. During the production process, we worked with the panelists, and took pains not to put words in their mouths. They have all approved the final draft of the manuscript, and we thank them for their assistance and patience.
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AIMR Andy Anthony Neuberger Assessment of Market Baruch College basis points best execution broker dealers buy-side call auction CARDELLO client commission competition Director ECNs Economics electronic Equity Markets Euronext Paris European Exhibit five markets Floor FREUND fund management Global going half-hour volatility implied volatility incentive Instinet intra-day volatility issue KRELL laughter limit order liquidity Liquidnet listed London Stock Exchange look MADHAVAN MALITZIS market centers market impact market makers market quality market structure marketplace measure Merrin momentum trading Myners NASD Nasdaq NYSE Open-To-Close options order flow Ozenbas panel participants period plan sponsors players portfolio manager price changes price discovery price volatility Professor of Finance question quote REDFEARN regulation regulatory SCHWARTZ Securities sell sell-side shares SuperMontage talk things TIAA-CREF TIEFENBRUN trading costs trading day transaction costs transaction prices Unger Vice President volume VWAP Wayne Wagner York Stock Exchange