Editor’s Letter

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.

TOPICS: Statistical methods, volatility measures, exchanges/markets/clearinghouses

Brian Bruce

Editor-in-Chief

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