HFT / Market-Making Anthology of Studies, Articles, Books, and Documentaries
R.T. Leuchtkafer has been featured in out notes and viewpoints quite often. He has collected academic studies on high frequency trading and market making – studies that we have shared with you in the past. When the SEC asked the public to comment on its Concept Release on Equity Market Structure in January 2010, his first comment letter was a welcome drink of water in the midst of a desert of early comments proclaiming how robust and fair our market structure is. Of course, the tone of most comment letters changed after the May 6th Flash Crash. You might also remember that he also has written two thorough and riveting chapters about the May 6th Flash Crash in our book, Broken Markets. He has been a student of markets, and how they are structured, well before his association with Themis Trading.
Today we want to share with you an extremely comprehensive body of work assembled by R.T. Leuchtkafer. In one neat and well-organized document, you now have a complete collection of over 80 academic studies, government works, press editorials / newspaper articles, books, and movie documentaries. This Anthology is remarkable; consider it the one-stop complete desk reference and road map for everything you wanted to know about high frequency trading and market making from an academic study viewpoint. PDF follows: