Editor’s Letter

The winter issue of the journal will explore the topic of venue analysis. Khandoker, Bhuyan, and Singh open the issue by offering further classification of implementation shortfall to provide traders with a better understanding of opportunity cost and a way to control any or all of those costs while executing trades. Next, Sarkar investigates the success of the recently launched intraday auction at the London Stock Exchange via various metrics such as liquidity and price deviation. Battalio, Corwin, and Jennings evaluate the impact of unrecognized odd lot liquidity supply on trading cost for high-priced stocks.

Next, Gomber, Clapham, Haferkorn, Panz, and Jentsch examine the results of an international survey on the design and application of circuit breakers on trading venues worldwide. Harris and Harris present an analysis of dark trading and price improvement by assessing informational dynamics between Canadian and U.S. cross-listed securities. Konstance provides an overview of some of the potential issues in broker venue strategy and suggests a general framework to begin an effective analysis. In our final paper in this special issue, Kissell and Zhang present a pretrade model and transaction cost functions that can be run from Excel and MATLAB, which help to preserve funds’ valuable proprietary research and eliminate information leakage.

As always, we welcome your submissions. We value your comments and suggestions, so please email us at http://journals{at}investmentresearch.org.

Brian Bruce

Editor-in-Chief

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