Over the last 18 months, traders have seen an increase in volume around the open and the close. Kissell and Lie examine the trends and trading styles around the opening and closing auctions. They believe this to be important research because proper utilization of opening and closing auctions can result in increased trading performance and ultimately higher portfolio returns. Bacidore, Otero, and Vasa examine broker smart routers for non-marketable and marketable orders. Boni and Rosen evaluate short sellers on their trading ability. Using two practitioner measures for intraday trading, they conclude that short sellers are not measurably better than the average trader.
This is followed by Maurer and Schäfer’s discussion of behavioral trading patterns. They propose the use of the Shannon entropy to measure these patterns. Chaudhary studies noise traders that communicate and trade with each other, observing that traders form spontaneous herds without specific leaders and that this can lead to price booms. Gomber, Lutat, Pierron, and Weber evaluate MiFID three years after its implementation, looking at the spirit and objectives of the law versus the reality. We conclude this issue with Muthuswamy, Palmer, Richie, and Webb who examine the sharp rise in high-frequency trading and assess the potential for future trading practices that could emerge.
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, in markets, equity portfolio management, analysis of individual factors/risk premia
Brian Bruce
Editor-in-Chief
Footnotes
Publisher’s Note:
Institutional Investor, the Publisher of The Journal of Trading, wants to extend a special thanks to Goldman Sachs and UBS for their continued support of The Journal of Trading. Please note that neither Goldman Sachs nor UBS have influence on the editorial content found in The Journal of Trading. Representatives from any firm are encouraged to submit an article to our independent Editor, Brian R. Bruce, for review and prospective acceptance into the publication. All editorial submissions, acceptance, and revisions are the sole decision of Mr. Bruce. The editorial submission guidelines are found on the last page of the publication. Thank you, and I hope you enjoy this and future issues of The Journal of Trading.
Eric Hall
Publisher, Institutional Investor Journals, ehall{at}iijournals.com
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