By Schwartz R.A., Byrne J.A., Colaninno A.
This e-book relies at the complaints of a one-day convention on industry caliber, held on the Zicklin university of industrial on April 30, 2002. the various questions addressed during this ebook are: How may still marketplace caliber be outlined, measured, monitored and greater? what's the facts concerning the present country of our markets? How potent have fresh recommendations been? How do we larger meet our investor wishes?
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Extra resources for A Trading Desk View of Market Quality
I am delighted that we are, perhaps, starting to focus less on the narrowing of spreads, and more on this intra-day volatility. Intra-day volatility is really making our jobs very difficult. It is making it very hard to trade, and our orders are indeed large. SCHWARTZ: Chris, how do you feel about this, and about what happened this morning? KILLEEN: Our problem is that we have these institutional sized orders in a market that has been designed for retail investors. SCHWARTZ: Could you repeat that?
I didn’t want to compete my order too early and miss higher prices to sell at, so I began pacing myself with the strength in the overall market. That is the challenge. We spend most of our time on the difficult trades. I search for liquidity because the market is not built for trades of hundreds of thousands of shares. You can get a typical order that can be half a million shares, and the stock might trade 50,000 shares a day. That huge order is going to take time.
We conclude that, in Europe, concern exists about market quality, particularly for the small-cap stocks. BENNETT: Time is getting short, but we have time for a few questions. MICHAEL RICHTER12 [From the Floor]: I will address my question to Bob, Bob and Deniz. In your discussion of intra-day volatility, you did not analyze any causes, or hypothesize the reasons why you have observed the volatility patterns that you have described to us. I will give you one hypothesis: volatility may be highly correlated with order flow.
A Trading Desk View of Market Quality by Schwartz R.A., Byrne J.A., Colaninno A.