Faced with constantly changing technology the financial trading industry is continually faced with changes to the way trading is conducted. Our Fall issue opens with Gomber, Ende, and Gsell’s discussion of their survey on self-directed trading based on new technologydriven execution opportunities or non-delegated order handling. This is followed by Sparrow who examines the change in trading behavior in volatile markets. He suggests there is a misalignment between the investment objectives of the firm and the trading objective of the desk. Attanayake investigates the relationship between price and volume using the Pareto distribution.
Han, Lee, and Suk also investigate changes in stock price and volume. They look at how loss aversion is reflected in the changes in trading volume and price. With the increased use of algorithms, Boni finds that traders are challenged not only with which algorithm to use but also whose algorithm to use and presents a method for grading brokers. Next we have Schmidt who discusses execution costs in the global FX market, concluding that expected maker loss is greater than taker loss.We conclude this issue with Choudhry’s examination of liquidity in the bond market. Since there are more than one definition of liquidity, there is often confusion in measuring its levels. In conclusion, a composite aggregate measure of liquidity is presented.
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
Footnotes
Publisher’s Note: Institutional Investor, the Publisher of The Journal of Trading, wants to extend a special thanks to Goldman Sachs and UBS for their continued support of The Journal of Trading. Please note that neither Goldman Sachs nor UBS have influence on the editorial content found in The Journal of Trading. Representatives from any firm are encouraged to submit an article to our independent Editor, Brian R. Bruce, for review and prospective acceptance into the publication. All editorial submissions, acceptance, and revisions are the sole decision of Mr. Bruce. The editorial submission guidelines are found on the last page of the publication. Thank you, and I hope you enjoy this and future issues of The Journal of Trading.
Allison Adams
Group Publisher, Institutional Investor Journals, aadams{at}iijournals.com
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