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Open Access

Editor’s Letter

Brian R. Bruce
The Journal of Trading Winter 2012, 7 (1) 1; DOI: https://doi.org/10.3905/jot.2012.7.1.001
Brian R. Bruce
Editor-in-Chief
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For many traders, opening auctions can be an important source of liquidity, but because of the risk of price impact, they can be difficult to navigate. We open the issue with a detailed explanation of the auction mechanics by Bacidore, Berkow, and Wong. In the next article, Polk and Schulman discuss the problems with continuous markets and offer an alternative market structure. This is followed by Agatonovic, Patel, and Sparrow, who discuss adverse selection looking at both block and non-block trades. The distinctiveness of directional high-frequency trading strategies is apparent when it is recognized that the source of their returns differs from that of longer-term strategies, and in his article, Abbink establishes a systematic explanation of why this should be so. Liu and Dash discuss S&P 500 VIX futures from a term structure perspective.

In the move to standardize and reform the G20 OTC derivatives markets, this year’s key delivery is the publication of equity derivatives definitions. Fry addresses the challenges firms are faced with in light of these definitions. This article is followed by Larson’s discussion of the effect of changes to the market structure and regulations. Garvey provides a discussion of latency, finding that having access to faster trading speed is beneficial, even for traders using less speed-sensitive strategies. We conclude this issue with Pritamani, Smith, andMurphy’s investigation of the performance of a low-volatility portfolio.

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 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

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The Journal of Trading: 7 (1)
The Journal of Trading
Vol. 7, Issue 1
Winter 2012
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Editor’s Letter
The Journal of Trading Dec 2011, 7 (1) 1; DOI: 10.3905/jot.2012.7.1.001

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