Editor’s Letter

In late 2008, a number of market regulators imposed a ban on short selling in Europe. We open our summer issue with Marques and Sarkar’s discussion of the impact of this action based on an event study using the STOXX 600. This is followed by Brandes and Domowitz, who analyze trading activity in Europe. They focus on a performance analysis of alternative trading markets, in particular, dark pools. Bowen, Hutchinson, and O’Sullivan examine the characteristics of high-frequency pairs trading and find that excess returns are sensitive to transactions costs and speed of execution. Next Bilson, Kumiega, and Van Vliet focus on the use of statistical process control for monitoring trading model uncertainty.

Using a sample of NYSE securities, Dey investigates whether there is an information risk premium in securities return and determines that it is not a significant determinant of return. Next, Kamman and Hood discuss insider trading laws focusing on case-law constraints and SEC enforcement. Schmidt expands the Almgren–Chriss framework in examining optimal slicing of large orders in the global institutional FX spot market. We conclude this issue with Maslov’s discussion of technology demands in the finance field that will be necessary due to proposed regulations.

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: Exchanges/markets/clearinghouses, VAR and use of alternative risk measures of trading risk, developed

Brian Bruce

Editor-in-Chief

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