Lin and Sum examine the relationship between trading volume and returns in the Taiwan Exchange-Traded Fund (ETF) market, applying the quantile regression analysis to provide a more complete description of the relationship. Gomber, Sagade, Theissen, Weber, and Westheide look at the state of Over-the-Counter (OTC) trading in Europe in light of the 2014 MiFID II (Markets in Financial Instruments Directive) and MiFIR (Markets in Financial Instruments Regulation) agreements.
Our special focus for this issue is high-frequency trading. Cooper and Van Vliet present an alpha attribution model for high-frequency trading since it is more complicated than in low-frequency trading. Harris examines the effect of algorithmic trading on security market quality within a systems framework.
Next, Vanstone and Hahn use Foreign Exchange (FX) data in their demonstration of an application for determining the applicability and robustness of stylized facts to speculative trading. Schmidt examines the effects of high-frequency trading and makes the argument that high-frequency trading orders occupy top of the limit order book most of the time and, as a result, determine the market volatility. Valdez suggests investors should pay more attention to high-frequency trading, noting that typically when there is a market problem, the tendency is to blame that which you understand the best, and, currently, high-frequency trading is often portrayed as the villain in the media. McPartland discusses some high-frequency trading strategies that run counter to good public policy and makes recommendations for restoring the perception of fairness and balance. Vuorenmaa offers an update to his article in this journal of two years ago on the role of high-frequency trading in financial markets. Schmitt discusses the amplification of unfairness in today’s markets.
As always, we welcome your submissions. Please encourage anyone you know who has good papers or who has made good presentations on trading-related subjects to submit them to us. Submission guidelines are included in this issue. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.
TOPICS: Exchanges/markets/clearinghouses, emerging, exchange-traded funds and applications
Brian Bruce
Editor-in-Chief
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