Editor’s Letter

We open the issue with Kissell’s discussion of techniques for investment managers to create pretrade models,which will be more dynamic. Trade cost analysis was once considered a compliance tool, but has more recently evolved into an important part of the investment management process. Conlin discusses those changes and enhancements to trade cost analysis. This is followed by Borkovec, Domowitz, and Tyurin’s analysis of the Citigroup reverse split and the reaction of the market to the transaction. Perry investigates the differences in the probability of informed trading between current automated electronic markets and the traditional outcry floor market.

Next, Markov, Mazur, and Saltz examine schedule-based trading strategies based on uncertainty bands proposing design and implementation. In order to establish optimal portfolio weights, transaction costs must be considered. Rhee proposes an algorithm for the proper calculation. We conclude the issue withWesterholm’s and Leung’s examination of the relationship between the design features of the major exchanges and execution costs during periods of extreme price volatility.

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, information providers/credit ratings, volatility measures, statistical methods

Brian Bruce

Editor in Chief

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