Volatility: Risk and Uncertainty in Financial Markets

151 Pages·2011·4.752 MB·English

by  Asani Sarkar, Robert Almgren, Albert J. Menkveld, Liuren Wu (auth.), Robert A. Schwartz, John Aidan Byrne, Antoinette Colaninno (eds.)

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