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.
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 has 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, acceptances, 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
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