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High Frequency Trading Research’s Greatest Hits

13

December, 2012

R.T. Leuchtkafer has done it again. He has taken the time to assemble, read, digest, and summarize fifty seven research papers, thirty five media articles, five books, and twenty seven government publications/reports – all written on market making and high frequency trading. He has graciously allowed us to share his work, and we do so for you today. Please save Leuchtkafer’s collection of Greatest Hits, as it is everything you will ever need to educate clients, coworkers, board members, and even regulators on high frequency trading.

A few months back, we reached out to a division at the SEC and asked to be included, along with Nanex’s Eric Hunsader, on a panel that was to address runaway trading, algos, systemic risk, and kill switches. We were told in that phone call that although they appreciate our interest in contributing, they are concerned only with including specialists who focus on research and data (Now this might explain Themis being excluded from such a panel, but it would not explain Hunsader’s exclusion. Anyhow, we digress…).

Where were we? Oh yes. Focusing on data and research. R.T. Leuchtkafer, a private investor who has written numerous comment letters to the SEC, numerous editorials in the Financial Times on market structure, and the guest chapters on the Flash Crash in our book, Broken Markets, has answered the SEC’s call to show them facts and fact-based data regarding high frequency trading.Rest assured that the work being shared with you today is also being sent to the SEC’s Division of Trading and Markets, and Greg Berman in particular.

We are pleased to be able to offer all of you 124 collections of fact and analysis on high frequency trading, so that you have some balance as you view the handful of  pro-HFT “shrink spreads – adds liquidity” papers so often passed around to regulators, lobbyists, and congressmen.

Save this: HFT_Bibliography_Dec2012

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