In light of the SEC's recent focus on best execution and the global trend that has brought
about increased scrutiny of investment fiduciaries, proper transaction cost controls are …

… We thank Dorit Zeevi-Farrington for the comments, assistance and encouragement she
has provided. We thank Pankaj Jain for insightful comments. We thank Maurice Anslow, …

… To further illustrate the methodology in the stationary case, we introduce an additional
broker, denoted by D in Table 2 whose performance is similar to the best broker, denoted by A. …

… We also thank Dorit Zeevi-Farrington of Instinet Inc. for providing supplementary data and
Hank Bessembinder, Tarun Chordia, Mark Edwards, Sylvain Friederich, Gideon Saar, George …

With this issue we begin the sixth volume of the journal. In the first five volumes we have
published articles at the intersection of finance, data science, and technology. The types of …

We analyze the use of alternative trading systems in a large sample of institutional orders
and the trades that constitute these orders. Proprietary data allow us to distinguish between …