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A Trading Desk’s View of Market QualityIntra-Day Volatility: Friend or Foe?

A Trading Desk’s View of Market Quality: Intra-Day Volatility: Friend or Foe? CHAPTER 2: INTRA-DAY VOLATILITY: FRIEND OR FOE? Moderator – David Krell, President and CEO, International Securities Exchange Thomas Cardello, Managing Director, Morgan Stanley Avner Wolf, Chairman, Department of Economics and Finance, Zicklin School of Business, Baruch College, CUNY DAVID KRELL: We are very fortunate to have two panelists in this session who are experts in the field of volatility. This panel is, therefore, balanced, unlike the previous panel, which consisted mostly of academics. Here we have a 50/50 balance between the practitioner community and the academic community. Thomas Cardello, managing director at Morgan Stanley, is in charge of the automated market-making department. He is also involved in market making in the U.S. as well as overseas. Our other panelist is Professor Avner Wolf, Chairman of the Economics and Finance department here at Baruch College. Both of these individuals have had extensive experience in derivatives trading. It is a pleasure for me to be the moderator of this panel. First, I would like to meander a little bit beyond the discussion that Bob and I had talked about. Our primary objective on this panel is to talk about intra-day volatility. In the options business, we are very much concerned about http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Trading Desk’s View of Market QualityIntra-Day Volatility: Friend or Foe?

Part of the Zicklin School of Business Financial Markets Conference Series Baruch College Book Series
Editors: Schwartz, Robert A.; Byrne, John Aidan; Colaninno, Antoinette
Krell, David; Cardello, Thomas; Wolf, Avner
Springer Journals — Jan 1, 2005
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15 pages

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Publisher
Springer US
Copyright
© Kluwer Academic Publishers Boston 2005
ISBN
978-1-4020-7510-0
Pages
35 –50
DOI
10.1007/0-387-23114-5_2
Publisher site
See Chapter on Publisher Site

Abstract

CHAPTER 2: INTRA-DAY VOLATILITY: FRIEND OR FOE? Moderator – David Krell, President and CEO, International Securities Exchange Thomas Cardello, Managing Director, Morgan Stanley Avner Wolf, Chairman, Department of Economics and Finance, Zicklin School of Business, Baruch College, CUNY DAVID KRELL: We are very fortunate to have two panelists in this session who are experts in the field of volatility. This panel is, therefore, balanced, unlike the previous panel, which consisted mostly of academics. Here we have a 50/50 balance between the practitioner community and the academic community. Thomas Cardello, managing director at Morgan Stanley, is in charge of the automated market-making department. He is also involved in market making in the U.S. as well as overseas. Our other panelist is Professor Avner Wolf, Chairman of the Economics and Finance department here at Baruch College. Both of these individuals have had extensive experience in derivatives trading. It is a pleasure for me to be the moderator of this panel. First, I would like to meander a little bit beyond the discussion that Bob and I had talked about. Our primary objective on this panel is to talk about intra-day volatility. In the options business, we are very much concerned about

Published: Jan 1, 2005

Keywords: Transaction Cost; Option Price; Implied Volatility; Option Exchange; Electronic Market

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