Commentary

Robert Hegarty
Traders Magazine Online News

Reinventing Trading Venues: How AI Can Help Create a More Efficient Market

In this whitepaper shared with Traders Magazine, the Hegarty Group examines how artificial intelligence and machine learning can help traders execute more efficiently.

Traders Poll

If Members Exchange (MEMX) gets SEC approval and launches, do you think it will force downward pressure on market data fees?




Free Site Registration

February 1, 2005

Taming Nasdaq Volatility

By Gregory Bresiger

Stocks become less volatile when they move from Nasdaq to the Big Board. This is according to a recent Securities and Exchange memorandum, which was authorized as part of the staff research for the Reg NMS proposal.

"On average, stocks experience a significant decline in intraday volatility upon moving from Nasdaq to the NYSE. We find the same result regardless of whether we use five-minute return intervals to compute volatility, 60-minute intervals, or any other interval between five and 60 minutes," according to the SEC's Office of Economic Analysis (OEA).

The OEA, which monitored 91 stocks for some three years [see chart], nevertheless said this suggests that, "there is a greater tendency on Nasdaq for short-term stock deviations of stock prices away from their fundamental values."