FALL 2010

D
BRIAN R. BRUCE Editor-in-Chief ark liquidity is such an important trading venue for institutional
DEBORAH TRASK Managing Editor investors, but what questions should they be asking their broker-
dealers and exchanges about it in order to get the best results? To
HARRY KATZ Production and Technology
Director
open this issue, Bennett, Colon, Feng, and Litwin discuss a 2008 Green-
It is illegal to make unauthorized copies of this article, forward to an unauthorized user or to post electronically without Publisher permission.

wich Associates survey on dark liquidity and offer a set of questions

ANDREW O’DONNELL Director of Marketing investors should ask their providers. In the second article of the issue, Blau,
JOANN LIN Associate Marketing Manager
Van Ness, Van Ness, and Wood examine short selling during times of extreme
SEGAL BENGIGI Global Digital Sales Manager market movement, both up and down. Next, Gomes and Waelbroeck pre-
The Journal of Trading 2010.5.4:2. Downloaded from www.iijournals.com by 62.96.203.158 on 10/11/10.

sent advancements to transaction cost analysis that assess the impact of speed
PETER JUNCAJ Head of Subscription Sales and limit prices with the purpose of helping traders find opportunities to
Account Manager
CHARLIE BUXTON Account Manager enhance performance. Murphy and Hoffman then examine collateraliza-
TRISTAN EFREMENKO Account Manager tion and the resulting risk reduction in the forward markets, followed by
MEAGHAN ANDERSON Account Manager Larson who explores the fiduciary responsibility of best execution for
DEWEY PALMIERI Reprints Manager buy-side institutional managers and outlines the practices it entails.
Rounding out the issue, Kearns, Kulesza, and Nevmyvaka report the
KELVIN LOUIE Senior Fulfillment Manager results of an empirical study estimating the maximum possible profitability
EMPERATRIZ MIGNONE Fulfillment Manager
of high-frequency trading. The results were surprisingly modest. Arora pro-
STEVE KURTZ Director, Finance & Operations vides insight into the meaningful interpretation of the movements in the
ALINA LEONOVA Business Manager VIX and its reaction to market events. Two important factors of execution
DAVE BLIDE Associate Publisher
quality are execution speed and execution cost. Garvey and Wu discuss the
SAMANTHA RALPH Group Graphic Designer opportunities when trading is both faster and cheaper, and Goodfellow,
Schiereck, and Verrier examine intraday trading patterns on the Frankfurt
GARY MUELLER Chairman & CEO
ERIC HALL Publisher
Stock Exchange. The issue concludes with an article by Laubie who pre-
ALLISON ADAMS Group Publisher sents new combinations of market-neutral option strategies.
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@investmentresearch.org.

Brian Bruce
Editor-in-Chief

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, accep-
tance, and revisions are the sole decision of Mr. Bruce. The editorial submission guidelines are found on the last page of the pub-
lication. Thank you, and I hope you enjoy this and future issues of The Journal of Trading.
Eric Hall
Publisher, Institutional Investor Journals, ehall@iijournals.com

2 THE JOURNAL OF TRADING FALL 2010