eth, on, 107Recapture arrangements, 6Redfearn, Brett, 100on bifurcated markets, 92–93biography of, 186–87on ETFs, 111on fragmentation, 94on integrated markets, 113–14on listed markets, 101–2on Nasdaq, 98, 147on no trade-through rules, 104–5on QQQ volumes, 99, 103–4Regulation, 7, 86contribution of, 27fUnger, Laura, on, 139–40
197Regulation ATS, 140Regulatory changesMerrin, Seth, on, 114Regulatory harmonizationMalitzis, John, on, 108–9Regulatory issuesFreund, William, on, 99–100Repetto, Richardon aggregators, 74biography of, 187on market making, 72Repetto, Roberton price discovery, 33Reserve books, 67Residual marketsalternative display facility (ADF) and,142n95Retail investors, 85Cormack,Michael, on, 105Retail order, 55Madoff, Mark, on, 54Returns, 14–15Reversalsvolatility and, 161Reversion, 40Killeen, Christopher, on, 54Richter, Michaelbiography of, 187Rule 11Ac1-5, 103–4Salamon, Sharonbiography of, 187–88on small caps, 31–32Schenkman, Richard, 111biography of, 188on liquidity, 113on listed trading, 97–98on market simplification, 93on price, 100Schwartz, Robert, 51on accentuated volatility, 60, 61biography of, 188on electronic trading platforms, 59on liquidity pools, 70on Myners report, 135on one-sided markets, 63on order flow, 31on size and price, 56on small cap markets, 32–33on trading costs, 11–16on Unger, Laura, 139on volume and volatility, 58SEC
198budget of, 140concept release, 142n94Regulation FD, 149n105Wunsch, Steven, on, 146–47Sector trading, 97–98Securities Act of 1933, 128n79Securities and Exchange Commission, 2Securities Exchange Act of 1934, 149n107Self Regulatory Organizations (SRO)Unger, Laura, on, 141Sellside trading, 22–30buyside trading and, 131investors and, 25fmarket making and, 26fShort-term volatilitypatterns in, 170–71trading costs and, 153Wolf, Avner, on, 40Size disparity, 106Small, Barry, 112biography of, 188on limit orders, 68–69on market quality deterioration, 77one-sided markets, 63on opening trading, 59Small Cap stocksEuropean survey of, 30fSalamon, Sharon, on, 31–32Schwartz, Robert, on, 32–33Sofianos, Georgeon aggregators, 74biography of, 188–89on market evolution, 67on market structure, 67–68, 76–77on stock momentum, 61–62Soft dollarscalculating costs in, 135n85Cheng, Minder, on, 134Tiefenbrun, Natan, on, 134–35Stark, Hollybiography of, 189on buyside trading, 65–66on capitalization levels, 64–65Steinmetz, Joelbiography of, 189on commissions, 86–87on market solutions, 81–86Stock momentumSofianos, George, on, 61StocksEuropean survey of, 28fSubstantial variations, 5fSuperMontage, 76, 82, 101
Indexapproval of, 143Gupta, Sanjiv, on, 109Merrin, Seth, on, 91–92Nasdaq and, 146publishing of, 142Technologycontribution of, 27fTest designvolatility, 166Theoretical option pricing models, 35–36Tiefenbrun, Natanon AIMR guidelines, 125on best execution, 133–34biography of, 189–90on fragmentation, 75on soft dollars, 134–35on U.S. markets, 59–60on VWAP benchmarks, 130–31Trade-offs, 9Trading costsSchwartz, Robert, on, 11–16short-term volatility and, 153Transaction costs, 6in broker scores, 121–22defining, 10implicit, 12f, 13f, 14fMadhavan, Ananth, on, 126–27measuring, 125–26Transaction prices, 12f, 13fvolatility of, 15fTriple Q’s, 69–70Turner, Bruceon automatic execution, 70biography of, 190on call auctions, 65on limit handling, 76on liquidity pools, 64on market making, 75–76on market structure, 68on Nasdaq, 72–73Underlying marketoption market and, 46Unger, Laurabiography of, 190–91on competition, 146on decimal markets, 148–49on regulation, 139–40Schwartz, Robert, on, 139on Self Regulatory Organizations (SRO),141
IndexVariance ratio equation, 154n114Volatility, 23fanalytic framework of, 158bid-ask spreads and, 158Cardello, Thomas, on, 38at close, 169data, 164–65defining, 14, 36in first half hour, 152fixed, 42–43half-hour, 20fintra-day, 15,20Jote, Nari, on, 47–48Killeen, Christopher, on, 53levels of, 172long-period, 21market impact cost and, 158measuring, 41,42momentum trading and, 159–60necessity of, 41news factor and, 160normalized, 21patterns in, 166–71price discovery and, 153, 158–59reversals and, 161spikes in, 153test design for, 166unanswered questions regarding, 172–74volume and, 58washout and, 160–62Volatility accentuation, 21in Deutsch Börse, 19 20f, 21in Euronext Paris, 17, 19fLondon Stock Exchange, 17, 19f, 21measuring, 17in Nasdaq, 17, 18f, 21in New York Stock Exchange, 17, 18f, 21
199Volatility analysismarket structure and, 155–56Volumeprice v., 66–67volatility and, 58VWAP benchmarks, 132Tiefenbrum, Natan, on, 130–31Wagner, Wayne, 120, 133on AIMR, 127–28on best execution, 133biography of, 191on brokers, 131on daily volume, 52on Myners report, 137on portfolio management, 74on retail markets, 148Washoutvolatility and, 160–62Wolf, Avnerbiography of, 191on good and bad volatility, 41on implied volatility, 38–39on liquidity, 47on short-term volatility, 40on stationary volatility, 42–43Wood, Robertalgorithms produced by, 165biography of, 192on buyside/sellside traders, 22–30on fragmentation, 109on measuring volatility, 42Wunsch, Stevenbiography of, 192on SEC, 146–47Zero sum game, 156
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