Foreword Alfred R. Berkeley III, CEO, Pipeline Trading Systems LLC.
Preface.
CHAPTER 1 Getting a Grip on Trading.
Order Arrival.
The Bid-Ask Spread.
The Liquidity Dimension.
Overview of TraderEx.
Getting Started with TraderEx.
From the Contributors 38
Using Trading Simulations on an Academic Trading Floor: Where the
Rubber Meets the Road (Richard D. Holowczak).
Reflections of a Finance Professor (Michael S. Pagano).
On-the-Job Training at Mako (David Segel).
CHAPTER 2 All About Liquidity.
From Information to Prices.
Defining Liquidity.
Liquidity and Transaction Costs.
Intraday Price Volatility, Price Discovery, and Quantity
Discovery.
The Origins of Liquidity.
Illiquidity?s Footprints in the Transaction Records.
Discussion.
From the Contributors.
Satisfying Institutional Traders? Quest for Liquidity (Peter
Jenkins).
Giving Customers Greater Choice in Trade Execution: The NYSE Hybrid
Market (John A. Thain).
Market Reaction to New Information (Claudio Werder and René
Weber).
CHAPTER 3 How to Use Limit and Market Orders.
The Order Book and the Market.
Order Types.
A Look at the Market.
A Reservation Price.
Cost of Placing a Limit Order.
Compensation for Placing a Limit Order.
Should You Submit a Limit Order or a Market Order?
How Should You Price Your Limit Orders?
The Bid-Ask Spread.
Handling a Large Order.
An Option Trader?s View of Limit Orders.
The Big Picture.
From the Contributors.
The Emergence and Growth of an Electronic Order-Driven Market
(Gerald Putnam).
The Use of Limit and Market Orders (Rainer Riess and Uwe
Schweickert ).
Order-Driven Markets: The Route to Best Execution (Jean-François
Théodore).
Exercises 158
CHAPTER 4 Choosing between Continuous Trading and a Periodic Call
Auction.
How is a Call Auction Used?
Call Auctions and Market Structure.
Bookbuilding.
Order Handling Differences.
NASDAQ?s Crosses.
How to Submit an Order to a Call Auction.
A Reality Check.
Option Value of Limit Orders in a Call Auction.
Time to Call the Market.
From the Contributors.
A Call Is Not a Call Is Not a Call (Alfred R. Berkeley III).
The NASDAQ Crosses: A View from the Inside (Frank M. Hatheway).
Call Market Trading?It?s About Time (James Ross).
Exercises.
Appendix to Chapter 4: Further Details on Clearing Price
Determination.
CHAPTER 5 Market Intermediaries: Nuts ?n? Bolts and Challenges.
Emergence of the Modern Markets.
Intermediation on the NYSE.
Intermediation at NASDAQ.
Overview of Market Maker Operations.
Order Handling and Transparency in a Dealer Market.
Competition and Preferencing.
Price Improvement.
The Future of Intermediaries in Hybrid Markets.
From the Contributors.
NASDAQ Market Makers in the NASDAQ Stock Market (Robert
Greifeld).
Electronic Intermediaries for Block Trading (Martin Reck ).
The Importance of Market Making (Frank L. Romanelli).
CHAPTER 6 The Road to Technical Analysis and Algorithmic
Trading.
Dynamic Price Discovery.
Quantity Discovery.
Technical Analysis.
Algorithmic Trading.
From the Contributors.
Algo History at TIAA-CREF (Paul L. Davis).
The Complexity of Market Information (John H. Porter).
The Mood of a Market (David Segel ).
Appendix to Chapter 6: Order Handling and Market Timing on a
Trading Floor.
CHAPTER 7 Performance Measurement.
Three Simple Performance Measures.
Transaction Cost Analysis.
Risk Management.
Best Execution.
Measuring the Performance of a Market Center.
Best Execution and Performance Reconsidered.
From the Contributors.
The Quest for Trading?s Holy Grail?Alpha! (Marcus Hooper).
How Intelligent Traders Enhance Their Skills with a TCA Report
(Wayne H. Wagner and Melissa Spurlock).
Appendix to Chapter 7: Explaining Risk Aversion.
APPENDIX Prices and Returns.
The Measurement of Returns.
Prices.
Returns.
The Intervaling Effect.
About the Authors and Contributors.
Notes.
About the CD-ROM.
Index.
ROBERT A. SCHWARTZ is Marvin M. Speiser Pro-fessor of Finance and
University Distinguished Professor in the Zicklin School of
Business, Baruch College, CUNY. Before joining the Baruch faculty
in 1997, he was Professor of Finance and Economics and Yamaichi
Faculty Fellow at New York University's Leonard N. Stern School of
Business, where he had been a member of the faculty since 1965.
Professor Schwartz received his PhD in economics from Columbia
University. He has published over fifty journal articles and
fifteen books, including Equity Markets in Action (Wiley), which he
coauthored with Reto Francioni. He has served as a consultant to
various market centers including the New York Stock Exchange, the
American Stock Exchange, NASDAQ, and Deutsche Börse, and has been
an associate editor for several finance journals. In 1995,
Professor Schwartz was named the first chairman of NASDAQ's
Economic Advisory Board, where he served until the spring of 1999.
RETO FRANCIONI has been the CEO of the Executive Board of Deutsche
Börse AG, since November 2005, and was president and chairman of
the board of SWX Group. In 1993, Francioni joined Deutsche Börse
AG, where he was responsible for its entire cash market and later
became its deputy chief executive officer. Earlier in his career,
he was a director of the corporate finance division at
Hoffmann-LaRoche AG, Switzerland. Francioni has a law degree and
PhD in law from Zurich University and is Professor of Economics and
Finance at the Zicklin School of Business, Baruch College,
CUNY.
BRUCE W. WEBER is Associate Professor of InformationManagement at
the London Business School, where he teaches information management
and trading and financial market structure in MBA, master's, and
executiveprograms. He has a PhD in decision sciences from the
Wharton School of the University of Pennsylvania. His research on
strategic uses of IT and the computerization of financial services
has been published in a number of academic journals, and he has
consulted for a host of financial services organizations. Prior to
joining the London Business School in 2003, he was on the faculties
of the Stern School of Business?New York University and Baruch
College, CUNY.
?Explains in plain English the trading process in stock
transactions while providing a clear explanation of the various
market structures available in the stock market?.an excellent read
for anyone interested in learning how stocks are traded, the
participants in the equity markets, and the issues faced by
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it to both new traders as well as experienced traders who are
undergoing fast change in their profession.??David Krell, President
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??should be required reading for traders, old and new....Ignore
this book at your investing peril!? ?Theodore R. Aronson, CFA,
Aronson+Johnson+Ortiz, and former chair of the Board of Governors,
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??tomorrow?s traders can benefit from this comprehensive overview
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??[a] wonderfully insightful book.? ?Dr. Stefan Jentzsch, Member of
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??a clear, concise, and compelling assessment of the equity trading
environment'" ?Andrew M. Brooks, Vice President, Head of Equity
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??one of the best guides available through the intricate
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??impressively fills a critical need." ?Raymond J. Bär, Chairman of
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??represents a unique opportunity to gain deep insights in to what
is a cornerstone of the American economy; stocks and the
market.??John C. Giesea, President & CEO, Security Traders
Association
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