Editor’s Letter

The Winter 2014 issue of The Journal of Trading included an article titled “What Makes an Exchange a Unique Institution?” Robert Schwartz and John Byrne presented an edited transcript of a panel discussion at a high-level financial markets conference, “The Economic Function of a Stock Exchange,” which was held at Baruch College in New York City on October 4, 2011. In this issue we present Domowitz’s comments on the topic and review of this article. This is followed by some final thoughts from Schwartz, Byrne and Brooks. Satish, Saxena, and Palmer discuss recent techniques and results in the area of forecasting intraday volume and intraday volume percentages. Markov presents a new execution strategy that is schedule based and adaptive in volume and volatility spaces. Ozun, Contoyiannis, Diakonos, Hanias, and Magafas discuss using the critical fluctuations method in physics to detect intermittent fluctuations in stock market dynamics. Kashyap presents the process he went through in trying to develop a model that alters the Bid-Offer, currently quoted by market makers, that varies with the market and trading conditions.

Liquidity continues to grow as a means for institutional traders to maximize the market impact of their trades. This has impacted the growth of alternative trading systems, crossing networks, and other pools which result from order matching. Electronic trading continues to evolve at an incredible pace, fueled by both market and technological innovations. This special section will focus on the impact of these changes on ETFs. Danyliv, Bland, and Nicholass propose a new measure for liquidity that will allow the user to estimate the liquidity of different instruments, regardless of exchange or the currency in which they are traded. Lytle discusses the problems with liquidity in the European ETF market and the changes that need to occur. With the goal of making the ETF market more efficient and transparent, Agrrawal, Clark, Agarwal, and Kale examine the migration of ETF liquidity and the factor constituents in the U.S. Market over time. Roncalli and Zheng examine ETF liquidity statistics like daily/intraday spread, trading volume, etc. and propose a new liquidity measure combining these statistics. Pingali, Liu, Park, and Baradas discuss the difference between the optimal trading solutions for small orders versus large orders.

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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