A Trading Desk View of Market Quality

1. Front Matter

   Pages i-xvi

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2. Recent Evidence on Market Quality

   • Paul Bennett, Anthony Neuberger, Deniz Ozenbas, Robert Schwartz, Robert Wood

   Pages 1-33

3. Intra-Day Volatility: Friend or Foe?

   • David Krell, Thomas Cardello, Avner Wolf

   Pages 35-50

4. View from the Trading Desks

   • Robert Schwartz, Andrew Brooks, Christopher Killeen, Mark Madoff, Barry Small, George Sofianos et al.

   Pages 51-79

5. View from an ECN

   • Joel Steinmetz

   Pages 81-88

6. Perspective of the Market Architects

   • William Freund, Michael Cormack, Sanjiv Gupta, John Malitzis, Seth Merrin, Brett Redfearn et al.

   Pages 89-115

7. Does Best Execution Make Sense?

   • Ananth Madhavan, Theodore Aronson, Minder Cheng, Natan Tiefenbrun, Wayne Wagner

   Pages 117-137

8. Thoughts from a Former Regulator

   • Laura Unger

   Pages 139-150

9. Volatility in U.S. and European Equity Markets: An Assessment of Market Quality

   • Deniz Ozenbas, Robert Schwartz, Robert Wood

   Pages 151-176

10. Back Matter

    Pages 175-199

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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.

• European equity market
• Volatility
• equity market
• trading

• Zicklin School of Business, Baruch College, USA

  Robert A. Schwartz, John Aidan Byrne, Antoinette Colaninno

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