Editor’s Letter

doi:10.3905/jot.2010.5.3.002

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

In late 2008, a number of market regulators imposed a ban on short selling in Europe. We open our summer issue with Marques and Sarkar’s discussion of the impact of this action based on an event study using the STOXX 600. This is followed by Brandes and Domowitz, who analyze trading activity in Europe. They focus on a performance analysis of alternative trading markets, in particular, dark pools. Bowen, Hutchinson, and O’Sullivan examine the characteristics of high-frequency pairs trading and find that excess returns are sensitive to transactions costs and speed of execution. Next Bilson, Kumiega, and Van Vliet focus on the use of statistical process control for monitoring trading model uncertainty.

Using a sample of NYSE securities, Dey investigates whether there is an information risk premium in securities return and determines that it is not a significant determinant of return. Next, Kamman and Hood discuss insider trading laws focusing on case-law constraints and SEC enforcement. Schmidt expands the Almgren–Chriss framework in examining optimal slicing of large orders in the global institutional FX spot market. We conclude this issue with Maslov’s discussion of technology demands in the finance field that will be necessary due to proposed regulations.

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

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