Editor’s Letter

We open our Fall issue with Liu and Phadnis who study the usage patterns of traders employing execution algorithms to minimize implementation shortfall. They conclude that the use of limit price and lower participation rate in algorithm greatly reduces the unattractive positive skewness of trade cost distribution and thus improves the performance. With the significant number of dark liquidity venues available, it can be difficult to determine the amount of liquidity available so Johmann and Li provide a ranking of these venues. Next, Wadhwa, DeGroot, Ramaswamy, Iglesias and Younger examine the use of SFIMA swaps for hedging municipal cash bonds. Bacidore, Wu and Xu discuss the balance between risk and cost in the context of portfolio algorithms. Next Klement analyzes the benefits of joint stop-loss and re-entry rules from the perspective of both risk reduction and return enhancement. Using the Walrasian tâtonnement mechanism, Gregoire, Eaves, Gendron and Kammoun study the impact of the presence of brokers in an experimental exchange market.

Our special section in this issue is on Multi-Asset Trading. Grob discusses the transformation of the markets to an asset-converged structure. Kissell examines trading costs analysis across multi-asset classes. We conclude this issue Lenzo, Skimming, Grissom and Rasmussen who discuss paper how the price received from a single dealer on a trade compares to the price received in a competitive bidding/offering process.

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

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