Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Article
Open Access

Editor’s Letter

Brian R. Bruce
The Journal of Trading Fall 2015, 10 (4) 1; DOI: https://doi.org/10.3905/jot.2015.10.4.001
Brian R. Bruce
Editor
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

We open our Fall issue with Parnes’s study on performance measurement for machine-learning trading systems. The recommended performance measurements aim to help internal auditors of trading departments and regulatory institutions to better track errors in automated systems. This article is followed by Bessembinder’s examination of the issues that arise from the execution of predictable institutional trades, such as trades by index funds when stocks are added to or deleted from indexes; the rebalancing trades of rules-based exchangetraded funds (ETFs), including leveraged and inverse ETFs; rebalancing to maintain target asset weights; rebalancing to maintain option hedge; and roll outs of expiring futures contracts. Then, Stocken and McCauley determine the exchange dark pool participation rate (EDPPR) in 50 of the largest Australian stocks by market capitalization and conclude that the higher the stock price is, the lower the EDPPR will be.

The topic of this issue’s special section is venue analysis. Traders are trying to understand which trading venue provides the best execution quality and whether brokers are routing their orders appropriately. Domowitz, Reitnauer, and Ruane determine that trading strategy is an essential component in assessing venue performance. Ascioglu, Holowczak, Louton, and Saraoglu provide a review of the market microstructures of the major options exchanges and trading platforms to provide a better understanding of market quality. We conclude our issue with Kashyap’s examination of how the Tokyo Stock Exchange’s tick size change (targeted at price improvement and shorter execution time) affected the TOPIX 100 index stocks, so as to determine whether reduction in execution sizes is an unintended consequence.

As always, we welcome your submissions. Please encourage those you know who have good papers or have 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.

Brian Bruce

Editor-in-Chief

  • © 2015 Pageant Media Ltd

PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 10 (4)
The Journal of Trading
Vol. 10, Issue 4
Fall 2015
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Editor’s Letter
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Editor’s Letter
Brian R. Bruce
The Journal of Trading Sep 2015, 10 (4) 1; DOI: 10.3905/jot.2015.10.4.001

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Editor’s Letter
Brian R. Bruce
The Journal of Trading Sep 2015, 10 (4) 1; DOI: 10.3905/jot.2015.10.4.001
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies