Volatility Risk and Uncertainty in Financial Markets
Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can
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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., B y r e , John A., Colaninno, Antoinette: Call Auction Trading: New Answers to Old Questions Schwartz, Robert A.: and Colaninno, Antoinette: Regulation of U.S. Equity Markets
For other titles published in this series, go to www.springer.com/series/7133
Robert A. Schwartz • John Aidan Byrne Antoinette Colaninno Editors
Volatility Risk and Uncertainty in Financial Markets
Editors Robert A. Schwartz Department of Finance Zicklin School of Business Baruch College, CUNY New York, NY USA [email protected]
John Aidan Byrne 169 Chestnut Terrace Rockaway, NJ USA
Antoinette Colaninno Zicklin School of Business Baruch College, CUNY New York, NY USA [email protected]
ISBN 978-1-4419-1473-6 e-ISBN 978-1-4419-1474-3 DOI 10.1007/978-1-4419-1474-3 Springer New York Dordrecht Heidelberg London © Springer Science+Business Media, LLC 2011 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.
Printed on acid-free paper 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
Ge
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