A select bibliography of supplemental reading material
on the topic of high frequency trading

Books:

Flash Boys: Not So Fast, by Peter Kovac (A former electronic trader debunks Flash Boys in a point-by-point rebuke)

Trading and Exchanges: Market Microstructure for Practitioners, by Larry Harris (College-level textbook, written by a former Securities and Exchange Commission economist)

Nerds On Wall Street: Math, Machines and Wired Markets, by David Leinweber (General-audience overview of how trading evolved from phones to computers, written by a former quantitative trader and managing partner at First Quadrant)

Video:

Floored (A documentary film about the Chicago trading floors)

How the Economic Machine Works by Ray Dalio, founder of Bridgewater Associates

How Does Floor Trading Work on the New York Stock Exchange (An interesting 1998 C-Span feature on how trading was conducted before the widespread adoption of HFT)

Blogs:

Matt Levine (Bloomberg columnist)

Why Do High-Frequency Traders Cancel So Many Orders?

Speed Bumps Are the Hot New Thing for Exchanges

Flash Boys exchange isn’t about the little guy

The ‘Flash Boys’ Exchange Is Still Controversial

Mechanical Markets (Advanced topics from a quantitative trader)

Pershing Square and Information Leakage on IEX

Possible Compromises for IEX

EX, Ideology, and the Role of an Exchange

The Flash Crash, Systems Failures, and Mission-Critical Engineering

The Streetwise Professor (Craig Pirrong, Professor of Finance, University of Houston)

Where’s the CFTC’s Head AT?: Fools Rush in Where Angels Fear to Tread

Igor Gensler Helps the Wicked Witch of the West Wing Create Son of Frankendodd

The Joint Report on the Treasury Spike: Unanswered Questions, and You Can’t Stand in the Same River Twice

The Clayton Rule on Speed

Cliff Asness (founder/CEO of AQR Management)

My Top 10 Peeves

How Can a Strategy Still Work If Everyone Knows About It?

“High-frequency trading in general has been good for the retail investor."

FRED TOMCZYK, CEO TD Ameritrade

Bloomberg News, April 24, 2014

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