Prof. Goldstein Among SEC Panelists Speaking On Market Structure Roundtable

He will appear on Panel Two — High Frequency Trading, which is scheduled to begin on June 2 at 11:45 a.m.

Prof. Michael Goldstein is among the panelists for the Securities and Exchange Commission June 2 public roundtable to examine securities market structure issues. He will appear on Panel Two — High Frequency Trading, which is scheduled to begin at 11:45 a.m.

High Frequency Trading Panel

How would you characterize high frequency trading? Overall, has its emergence been a positive or negative development for the markets? What effect does high frequency trading have on liquidity and spreads, both in normal and stressed trading conditions? Does high frequency trading affect market impact costs for other market participants? Are there particular high frequency strategies that are beneficial or harmful to the markets or certain participants? What types of tools are used by high frequency traders and does their access to these tools give them an unfair advantage? Do some high frequency strategies provide liquidity to the market in a manner comparable to the traditional obligations of market makers? Should high frequency traders be subject to any trading obligations comparable to those of traditional market makers?

  • Sal Arnuk, Partner, Themis Trading
  • Kevin Cronin, Director of Global Equity Trading, Invesco
  • David Cushing, Director of Global Equity Trading, Wellington Management Company
  • Michael Goldstein, Professor of Finance, Babson College
  • Richard Gorelick, Chief Executive Officer, RGM Advisors
  • Mark Grier, Vice Chairman, Prudential Financial
  • Terrence Hendershott, Associate Professor of Finance and Operations and Information Technology Management, Haas School of Business, University of CA at Berkeley
  • Stephen Schuler, Chief Executive Officer, GETCO
  • Jeffrey Wecker, President & Chief Executive Officer, Lime Brokerage

The event will be webcast live at www.sec.gov.

Dr. Goldstein is a Professor of Finance at Babson College, where he has taught in the undergraduate, MBA, and Executive Education programs. He is faculty director of the Cutler Center at Babson College. More information can be found at http://www3.babson.edu/Academics/faculty/goldstein.cfm

Day-Long Roundtable

The day-long roundtable will feature in-depth discussions of key market structure issues, including high-frequency trading, undisplayed liquidity and the appropriate metrics for evaluating market structure performance. Panelists include representatives of retail and institutional investors, issuers, exchanges, alternative trading systems, financial services firms, high frequency traders, and the academic community.

"The roundtable is part of an ongoing Commission effort we initiated last summer to review the structure of our markets and ensure that they are fair, transparent and efficient," said SEC Chairman Mary L. Schapiro, who announced the roundtable last month.

The Commission already has proposed rules that would:

  • Establish a consolidated audit trail system to help regulators keep pace with new technology and trading patterns in the markets.
  • Generally require that information about an investor's interest in buying or selling a stock be made available to the public, instead of just to a select group operating with a dark pool.
  • Effectively prohibit broker-dealers from providing their customers with unfiltered access to exchanges and alternative trading systems and ensure that broker-dealers implement appropriate risk controls.
  • Create a large trader reporting system to enhance the Commission's ability to identify large market participants, collect information on their trades, and analyze their trading activity.

The Commission in January also issued a concept release to solicit public comment on a wide variety of market structure topics. The release and comments received are available at http://www.sec.gov/rules/concept.shtml.

The June 2 roundtable will be held at 9:30 a.m. in the auditorium at the SEC headquarters at 100 F Street N.E., Washington, D.C. The public is invited to observe the discussion, and seating will be available on a first-come, first-served basis. Reasonable accommodations for persons with disabilities attending this event in person can be arranged by submitting a request to DisabilityProgramOfficer@SEC.gov at least three business days prior to the event. The event will be webcast live at www.sec.gov and will be archived for later viewing.

The Commission will accept public comments about issues being addressed at the roundtable until June 23, 2010. Submit comments

For additional information about the roundtable, contact the SEC's Division of Trading and Markets at (202) 551-5676.

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Market Structure Roundtable Agenda and Panelists

9:30 a.m. Opening Statement from SEC Chairman Mary L. Schapiro

9:45 a.m. Panel One — Market Structure Performance and Price Volatility

How well does the current market structure perform the job of establishing prices and allowing investors to efficiently buy and sell stocks, both in normal and stressed trading conditions? How can the Commission improve current market structure to appropriately minimize short-term volatility and its harm to longer-term investors? Are there particular types of time out mechanisms for individual stocks that should apply across all trading venues? How should market orders be handled in connection with the duty of best execution? What are the most useful metrics for assessing market structure performance for different types of investors? Does the current market structure create imbalances that either favor or disadvantage longer-term investors? Is the current market structure fair for longer-term investors and how is "fairness" measured?

  • Ian Domowitz, Managing Director, Investment Technology Group
  • Charles Jones, Professor of Finance and Economics, Columbia Business School of Columbia University
  • Christopher Nagy, Managing Director-Order Routing Strategy, TD Ameritrade
  • Joseph Ratterman, President & Chief Executive Officer, BATS Exchange
  • Richard Rosenblatt, Chief Executive Officer, Rosenblatt Securities
  • Stephen Sachs, Director of Trading, Diamond Hill Investments
  • Timothy Sargent, Chief Executive Officer, Quantitative Services Group
  • Gus Sauter, Chief Investment Officer, Vanguard Group

11:45 a.m. Panel Two — High Frequency Trading

How would you characterize high frequency trading? Overall, has its emergence been a positive or negative development for the markets? What effect does high frequency trading have on liquidity and spreads, both in normal and stressed trading conditions? Does high frequency trading affect market impact costs for other market participants? Are there particular high frequency strategies that are beneficial or harmful to the markets or certain participants? What types of tools are used by high frequency traders and does their access to these tools give them an unfair advantage? Do some high frequency strategies provide liquidity to the market in a manner comparable to the traditional obligations of market makers? Should high frequency traders be subject to any trading obligations comparable to those of traditional market makers?

  • Sal Arnuk, Partner, Themis Trading
  • Kevin Cronin, Director of Global Equity Trading, Invesco
  • David Cushing, Director of Global Equity Trading, Wellington Management Company
  • Michael Goldstein, Professor of Finance, Babson College
  • Richard Gorelick, Chief Executive Officer, RGM Advisors
  • Mark Grier, Vice Chairman, Prudential Financial
  • Terrence Hendershott, Associate Professor of Finance and Operations and Information Technology Management, Haas School of Business, University of CA at Berkeley
  • Stephen Schuler, Chief Executive Officer, GETCO
  • Jeffrey Wecker, President & Chief Executive Officer, Lime Brokerage

2:30 p.m. Panel Three — Undisplayed Liquidity

What role does undisplayed liquidity play in today's market structure? What types of dark pools currently exist and whom do they serve? How much of institutional and retail investor order flow is executed in the undisplayed markets? Do institutional and retail investors receive better quality executions in the dark markets? To what extent do economic considerations for those who route orders — rather than best execution — affect routing decisions? Has the volume of trading in the undisplayed venues become sufficiently large that it is detracting from the quality of price discovery in the public markets, such as by exacerbating price volatility? If so, is there a viable regulatory response? Are market participants able to effectively access dark pool liquidity? Do dark pool participants understand the business practices of dark pools, such as transmitting order information to others? Should dark pools be required to provide greater transparency concerning their business practices?

  • Brian Conroy, Senior Vice President & Head of Global Equity Trading, Fidelity Management and Research Company
  • Larry Leibowitz, Chief Operating Officer, NYSE Euronext
  • Dan Mathisson, Managing Director & Head of Advanced Execution Services, Credit Suisse Securities
  • Seth Merrin, President & Chief Executive Officer, Liquidnet
  • Eric Noll, Executive Vice President-Transaction Services, NASDAQ OMX Group
  • William O'Brien, Chief Executive Officer, Direct Edge
  • Mark Ready, Professor of Finance, Investment and Banking, Wisconsin School of Business
  • Andrew Silverman, Managing Director & Global Co-Head, Morgan Stanley Electronic Trading

4:30 p.m. End of Program

Babson College in Wellesley, Mass., is recognized internationally as a leader in entrepreneurial management education. Babson grants BS degrees through its innovative undergraduate program, and grants MBA and custom MS and MBA degrees through the F.W. Olin Graduate School of Business at Babson College. Babson Executive Education offers executive development programs to experienced managers worldwide. For information, visit www.babson.edu.
Prof. Goldstein Among SEC Panelists Speaking On Market Structure Roundtable

By Michael Chmura, mchmura@babson.edu, 781-239-4549 | 6/1/2010 12:00 AM