Editor’s Letter

doi:10.3905/jot.2010.5.4.002

Dark liquidity is such an important trading venue for institutional investors, but what questions should they be asking their brokerdealers and exchanges about it in order to get the best results? To open this issue, Bennett, Colon, Feng, and Litwin discuss a 2008 Greenwich Associates survey on dark liquidity and offer a set of questions investors should ask their providers. In the second article of the issue, Blau, VanNess, VanNess, andWood examine short selling during times of extreme market movement, both up and down. Next, Gomes andWaelbroeck present advancements to transaction cost analysis that assess the impact of speed and limit prices with the purpose of helping traders find opportunities to enhance performance. Murphy and Hoffman then examine collateralization and the resulting risk reduction in the forward markets, followed by Larson who explores the fiduciary responsibility of best execution for buy-side institutional managers and outlines the practices it entails.

Rounding out the issue, Kearns, Kulesza, and Nevmyvaka report the results of an empirical study estimating the maximum possible profitability of high-frequency trading. The results were surprisingly modest. Arora provides insight into the meaningful interpretation of the movements in the VIX and its reaction to market events. Two important factors of execution quality are execution speed and execution cost. Garvey and Wu discuss the opportunities when trading is both faster and cheaper, and Goodfellow, Schiereck, and Verrier examine intraday trading patterns on the Frankfurt Stock Exchange. The issue concludes with an article by Laubie who presents new combinations of market-neutral option strategies.

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: Portfolio construction, volatility measures, options, exchanges/markets/clearinghouses

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.
Eric Hall
Publisher, Institutional Investor Journals, ehall{at}iijournals.com