RT Leuchtkafer Bibliography of HFT Studies


Often times in our spare moments, we browse social media, university presses, and industry trade magazines for articles and studies detailing the intricacies of our market structure and high frequency trading. I know what you are thinking. Who doesn’t, right? Contrary to what you think, it isn’t as fun as you might imagine. Especially considering we keep bumping into the same pro-HFT studies that are bought and paid for, or use invalid and ignorant assumptions. I mean how many times are we going to read the same conclusions about how great HFT is for the markets by that bearded professor who sits on the board of one of the exchanges?

This morning, it is different; it is fun. It is fun because we get to share with you an incredible resource to keep in your files: a resource painstakingly prepared by a guest of ours, our Partner-in-Thought, R.T. Leuchtkafer. RT has put together a bibliography of HFT studies.

This is great, not only because you now have something to do this weekend, but also because you can print these studies out, bind them in leather, and whenever you hear some stock exchange executive, HFT board member, HFT Lobbyist, or politician in DC bought and paid for by HFT state say:

“To be honest, to my knowledge there has been no proof shown that high frequency trading is detrimental.”

You can throw the studies at their head ala Sal “The Barber” Maglie style. Enjoy!


Joseph Saluzzi (jsaluzzi-at-ThemisTrading.com) and Sal L. Arnuk (sarnuk-at-ThemisTrading.com) are co-heads of the equity trading desk at Themis Trading LLC (www.themistrading.com), an independent, no conflict agency brokerage firm specializing in trading listed and OTC equities for institutions. Prior to founding Themis, Sal and Joe worked for more than 10 years at Instinet Corporation, pioneers in the field of electronic trading, and at Morgan Stanley.

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