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By Schwartz R.A., Byrne J.A., Colaninno A.

ISBN-10: 0387231145

ISBN-13: 9780387231143

This publication is predicated at the court cases of a one-day convention on marketplace caliber, held on the Zicklin university of commercial on April 30, 2002. a number of the questions addressed during this publication are: How may still industry caliber be outlined, measured, monitored and greater? what's the facts in regards to the present nation of our markets? How potent have contemporary strategies been? How will we larger meet our investor wishes?

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I do not know about 20 times daily volume, but bigger than 100 percent of daily volume is very common. WAYNE WAGNER33 [From the Floor]: We find that 80% of institutional orders are for more than half a day’s volume. SCHWARTZ: Let us talk about market quality in this context. This is a fun one. Andy, back to you. BROOKS: For the big orders, what you think you will be able to do is often impossible to achieve. I am sure that we have representatives of people who gauge or assess the transaction costs on a particular stock.

Decimals have made it cheaper to trade in small quantities of stock but harder to execute much larger orders. 28 Anthony Neuberger is Associate Dean of the Full-time Masters in Finance Programme at London Business School. Chapter 2: Intra-Day Volatility: Friend or Foe? 47 as General Electric. Then I can effectively hedge the option using the high liquidity stock. Because it is liquid, it enables me to put on the position with lower transaction costs. So the answer to your question is, yes-no (laughter).

Let me turn first to you, Tom. What does volatility mean to you? Specifically, what does it mean to you as an option trader who needs to make markets in 400 different securities and options at any give point in time? THOMAS CARDELLO: To provide some perspective, I will first give you a brief overview of the operation we run at Morgan Stanley. We operate as an individual department, which makes markets in options worldwide. We trade hundreds of underlyings and make markets in more than 50,000 derivatives on those underlyings.

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A Trading Desk View of Market Quality by Schwartz R.A., Byrne J.A., Colaninno A.

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