Editor’s Letter

We open our Fall issue with Harris, McInish, Sensenbrenner, and Wood’s comparison of Reg NMS and MiFID1 from a fragmentation and price discover point of view. Nagata and Inui investigate the effects of Arrowhead, a high-speed trading system, on the Tokyo Stock Exchange, concluding that it is challenging for investors lacking access to high-speed trading methods to benefit from the improved efficiency. With the recent regulatory changes, Reg NMS in the United States and MiFID in Europe, came changes to the market microstructure. Abergel, Lehalle, and Rosenbaum discuss the fragmentation of liquidity and the rise of high frequency traders that resulted. This is followed by Register’s review of the Stock Market Crash and the Great Depression, and the changes that have resulted not only to the financial markets system but to business in general. Criscuolo and Waelbroeck examine the effects of volatility fluctuations on execution and present a framework for optimal execution under these circumstances. Alparslan, Borkovec, and Tyurin present an attribution framework that allows in-depth analysis and management of price impact for individual orders. We conclude this issue with Tooth’s analysis of standing stop orders used to limit downside and contribute to long-term portfolio growth, in which he concludes that simplistic stop losses are ineffective.

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.

TOPICS: Exchanges/markets/clearinghouses, financial crises and financial market history, statistical methods

Brian Bruce

Editor-in-Chief

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