Editor’s Letter

Taking advantage of opening price gaps is a strategy employed by many traders. We open the Summer issue with Platt and Cai’s investigation of whether, after opening with a price gap, securities tend to continue to trade in the direction of the gap or whether they trade in the reverse direction. Using years of data from within a dark pool, Markov and Ingargiola provide a survey of dark pools, focusing on block-crossing venues. We follow this with an article by Kumiega and Van Vliet, who present a methodology for automated trading system research and development as well as a practical real option model for valuing such projects. Namvar examines the historical “Tea Party” of 1933, a protest by Wall Street brokers, stock traders, and other businessmen, which resulted in the decision (ultimately reversed) to move the New York Stock Exchange to Newark. He discusses not only the differences between this event and present-day Tea Party initiatives, but also the similarities—as well as what we should learn from both.

Thukral, Diavatopoulos, Geman, and Wright examine a weekly trading strategy for ETNs to determine whether it could successfully be implemented as a daily strategy. Christensen and Woodmansey describe how hidden volume is a key feature of the GLOBEX limit order book and present a prediction algorithm to assist in detecting “icebeg” orders. Feuerstein and Bolduc discuss the behaviors associated with Fed policy moves on stocks, commodities, real estate, and metals. We conclude this issue with an examination by Van Vliet, Cooper, Kumiega, and Northey of AT 9000 as a global standard quality management system for automated and algorithmic trading.

As always, we welcome your submissions. Please encourage those you know who have written good articles 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

• © 2013 Pageant Media Ltd