On Monday, the CFTC held a research conference where their chief economist, Andrei Kirilenko, presented the results of a new paper titled “The Trading Profits of High Frequency Traders” (this is the draft copy since the paper has not yet been officially released). This paper has already stirred up quite a bit of controversy as the pro-HFT crowd race to try and debunk it.
First, we would like to say that we have had the pleasure of working with Andrei Kirilenko and found him to be one of the
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