Volatility: Risk and Uncertainty in Financial Markets PDF
Preview Volatility: Risk and Uncertainty in Financial Markets
Volatility Zicklin School of Business Financial Markets Series Robert A. Schwartz, Editor Baruch College/CUNY Zicklin School of Business New York, NY, USA Other Books in the Series: Schwartz, Robert A., Byrne, John A., Colaninno, Antoinette: Technology and Regulation Schwartz, Robert A., Byrne, John A., Colaninno, Antoinette: Competition in a Consolidating Environment Schwartz, Robert A., Byrne, John A., Colaninno, Antoinette: The New NASDAQ Marketplace Schwartz, Robert A., Byme, John A., Colaninno, Antoinette: Electronic vs. Floor Based Trading Schwartz, Robert A., Byrne, John A.. Colaninno, Antoinette: Coping with Institutional Order Flow Schwartz, Robert A., Byrne, John A.. Colaninno, Antoinette: A Trading Desk View of Market Qualily Schwartz, Robert A., Byre, John A., Colaninno, Antoinette: Call Auction Trading: New Answers to Old Questions Schwartz, Robert A.: and Colaninno, Antoinette: Regulation of U.S. Equity Markets Forothertitlespublishedinthisseries,goto www.springer.com/series/7133 Robert A. Schwartz • John Aidan Byrne Antoinette Colaninno Editors Volatility Risk and Uncertainty in Financial Markets Editors R obert A . Schwartz J ohn Aid a n Byrne Department of Finance 169 Chestnut Terrace Zicklin School of Business Rockaway, NJ Baruch College, CUNY USA New York, NY USA rober t .sc h w [email protected] A ntoinett e Colaninno Zicklin School of Business Baruch College, CUNY New York, NY USA [email protected] ISBN978-1-4419-1473-6 e-ISBN978-1-4419-1474-3 DOI10.1007/978-1-4419-1474-3 Springer New York Dordrecht Heidelberg London ©SpringerScience+ BusinessMedia,LLC2011 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printedonacid-freepaper Springer is part of Springer Science+Business Media (www.springer.com) Contents List of Participants vii Conference Sponsors ix Preface xi Chapter 1: Intraday Volatility: The Empirical Evidence 1 Chapter 2: Opening Address: Reto Francioni 19 Chapter 3: What Is Happening With Financial Market Volatility and Why? 29 Chapter 4: Volatility and Technology 47 Chapter 5: Volatility and Market Structure 65 Chapter 6: Implications for Trading 85 Chapter 7: Closing Dialog: Sandy Frucher and Erin Burnett 99 Chapter 8: Accentuated Intraday Stock Price Volatility 111 Participant Biographies 127 List of Participants Robert Almgren New York University Adjunct Professor of Mathematical Finance George Bodine General Motors Investment Director of Trading Management Harold Bradley Ewing Marion Kauffman Chief Investment Officer Foundation Erin Burnett CNBC Anchor and Reporter Ian Domowitz Investment Technology Group Managing Director Brendan Doran Chi-X Europe Limited Vice President, Business Development Robert Engle Stern School of Business, NYU Michael Armellino Professor of Finance, Nobel Laureate 2003 Reto Francioni Deutsche Börse AG CEO Sandy Frucher The NASDAQ OMX Group Vice Chair William Geyer JonesTrading Institutional CEO and President Services, LLC Al Goll Commodity Futures Trading Auditor Commission Ken Hight Liquidnet, Inc. Head of Global Equities Brian Hyndman The NASDAQ OMX Group Senior Vice President Tim Mahoney Bids Trading CEO Terrence Martell Baruch College, CUNY Director, Weissman Center for International Business, Saxe Distinguished Professor of Finance Albert J. Menkveld VU University Amsterdam Associate Professor of Finance List of Participants viii Matt Moran Chicago Board Options Vice President Exchange Joe Rosen RKA Inc. President Deniz Ozenbas Montclair State University Associate Professor of Finance Michael Pagano Villanova University Professor of Finance Richard Rosenblatt Rosenblatt Securities Inc. CEO James Ross NYSE Euronext Vice President NYSE Crossing Keith Ross PDQ Enterprises, LLC CEO Asani Sarkar Federal Reserve Bank of New Economist York Stephen Sax FBN Securities Inc. Vice President Alec Schmidt ICAP Electronic Broking Senior Analyst Robert Schwartz Baruch College, CUNY Speiser Professor of Finance Robert Shapiro Morgan Stanley Investment Executive Director Management Larry Tabb The Tabb Group Founder and CEO Grant Vingoe Arnold and Porter Partner Henri Waelbroeck Pipeline Trading Systems Vice President, Director of Research Joseph Wald Knight Capital/EdgeTrade Managing Director Robert Wood University of Memphis Distinguished Professor of Finance Liuren Wu Baruch College, CUNY Associate Professor of Finance Conference Sponsors Bids Trading Deutsche Börse AG International Securities Exchange Investment Technology Group JonesTrading Institutional Services, LLC Knight/EdgeTrade Liquidnet, Inc. NYSE Euronext PDQ Enterprises, LLC Pipeline Trading Systems Rosenblatt Securities Inc. The NASDAQ OMX Group White Cap Trading LLC
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