Liquidity is an important consideration when trading because it has value. In this issue of the Journal of Trading, Sparrow and Ilijanic present a framework for quantifying the value of liquidity. This is followed by Altunata, Rakhlin, and Waelbroeck, who discuss the risks of adverse selection costs associated with dark aggregators. They suggest measures that favor opportunistic savings. Rawal discusses the acceleration of the shift of liquidity between venues due to fragmentation. He concludes that this has created need for second generation smart order routing (SOR) system to bring realtime intelligence to the process. Powell highlights some possible questions into the Efficient Market Hypothesis and the linkages and support that dark pools can provide to theory that has suffered decline in credibility in recent years.
Satchell and Scherer examine the question of treating clients fairly in light of the fact that nonlinear transaction costs generate external effects between accounts due to tradevolumedependent marginal transaction costs. Next, Kanamura, Rachev, and Fabozzi propose trading model for spread trading that focuses on the stochastic movement of the price spread. Bird and Payne discuss streamlining the posttrade steps between trade execution and trade settlement in order to prevent loss of the efficiency gained in execution. This issue concludes with Li, Brooks, and Miffre, whose study considers the relationship among trading volumes, transaction costs, and the profitability of momentum strategies.
As always, we welcome your submissions. Please encourage those who 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: Exchanges/markets/clearinghouses, statistical methods, analysis of individual factors/risk premia, big data/machine learning
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
- © 2010 Pageant Media Ltd
In this issue
Jump to section
Similar Articles
Cited By...
- No citing articles found.