Editor’s Letter

We open our Winter issue with Anderson and Dyl’s discussion of the evolution of the U.S. stock markets, wherein the authors conclude that the increase in trading volume is related to the decimalization of stock prices, the emergence of electronic stock exchanges in the last decade, and the concomitant increase in algorithmic trading. Schwartz and Byrne present the edited transcript of a panel discussion moderated by Andrew Brooks of T. Rowe Price Associates, Inc.: “What Makes an Exchange a Unique Institution?” Next, Sum examines the impulse response functions and causality test of stock market returns and marketwide liquidity as measured by share turnover, with results that offer important information and implications for investment and risk management. Wang investigates whether there is an informational linkage between option directional trading activities and underlying stock depth asymmetries, finding that the informational linkage is stronger at the beginning and the end of the day.

We’ve included a special section in this issue, Machine Learning and Big Data. Because this is a new topic to the journal, we have provided a commentary to give an overview as well as an understanding of how these technologies work and when to apply them. This is followed by Kwan’s discussion of data collection and distribution, how data management can provide informative information, and how to manage data processing speed. Blake provides an underlying structure for managing the big data phenomenon. Habbal examines the emergence of real-time risk enterprise in the capital markets industry. Armutcu explores the recent trends in real-time analytics for transaction cost analysis and the technologies that are making it possible. We conclude this issue with Waelbroeck’s discussion of the leveraging of data by institutional trading desks to improve alpha capture.

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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