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Sorry, I'm on my phone, but you could start with "Trading and Exchanges" which is available on Amazon (really, any of the highly rated books on market microstructure are pretty good IMO). Also IMO, It would be helpful to use traditional market makers as a baseline when making any kind of comparison to HFT, and asking if it's really worse. For example, total HFT profits have declined from like $5 billion to a little over $1 billion per year, whereas vanguards fees alone allow savers to keep roughly $40 billion per year. There are also a multitude of interviews with large, institutional investors who are extremely sophisticated and who are arguably the main people affected by HFT activities, for example this interview with cliff asness of AQR, which manages $100 billion ++ in quant strategies. https://soundcloud.com/bloombergview/masters-in-business-aqr... I think he starts talking about it around the 30min mark.

Also, my own experience working on a trade floor as a source.




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