Modern Financial Markets: The Role of High-Frequency Trading
April 19, 2016
The Program in the Law and Economics of Capital Markets hosted a distinguished panel of speakers at Columbia Law School to discuss the constantly changing landscape of the modern financial markets. The panel was moderated by Merritt Fox of Columbia Law School and consisted of Matthew Trudeau of IEX, Terrence Hendershott of the Haas School of Business, Sophie Moinas of the Toulouse School of Economics, and Adam Clark-Joseph of the University of Illinois.
Larry Glosten of the Columbia Business School gave an overview of market microstructure to start the evening. Mr. Trudeau followed Professor Glosten with a discussion of the various tools trading venues have at their disposal to combat predatory trading practices. He focused significant discussion around the discretionary peg order type. Professor Hendershott discussed the history of how markets have developed and how high-frequency traders improve the risk sharing within markets. He also discussed the significant increase in number of quotes relative to completed trades in recent years. Professor Moinas presented the question of whether lightening fast speeds were in fact required to provide liquidity. She also discussed the data collected in European markets surrounding high-frequency trading and how the european regulators are able to respond. Professor Clark-Joseph discussed exploratory trading within the modern financial markets. He explained how HFTs are making money from the practice and provided insight into the operations of such algorithmic traders.
The evening concluded with a panel discussion surrounding the topics from the evening.
The High Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
November 7, 2013
Eric Budish presented The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (co-authored with Peter Cramton and John Shim). The paper seeks to demonstrate that the welfare of traders could be improved if trading occurred at frequent (once per second) uniform price auctions rather than in a continuous market. It also suggests that such an architecture would reduce the incentive for engaging in a technological arms race, and would encourage competition on price rahther than time.
PowerPoint slides: High Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Shall We Haggle in Pennies at the Speed of Light or in Nickels in the Dark? How Minimum Price Variation Regulates High Frequency Trading and Dark Liquidity
April 4, 2013
Robert Bartlett, Professor of Law at Berkeley Law, University of California, presented to the Program Fellows on his current work-in-progress (co-authored with Justin McCrary, an economist with Berkeley's Department of Economics) relating to relationships between the minimum price variation at which exchange-listed equity securities may be traded, on the one hand, and both high-frequency trading and off-exchange trading, on the other.
PowerPoint Slides: Shall We Haggle in Pennies at the Speed of Light or in Nickels in the Dark? How Minimum Price Variation Regulates High Frequency Trading and Dark Liquidity
High-Frequency Trading
November 29, 2012
Chris Concannon, President and Chief Operating Officer, Virtu Financial LLC, presented to the Program Fellows on high-frequency trading. Virtu Financial LLC is a leading electronic trading firm and market maker, actively trading equities, fixed-income securities, currencies, and commodities on trading venues ranging from exchanges to electronic communication networks and other off-exchange trading platforms.
Current Issues in Trading and Market Regulation
January 26, 2012
Robert Cook, Director of the Division of Trading and Markets, United States Securities and Exchange Commission
Mr. Cook's presentation was not recorded.
Liquidity, Price Discovery, & Algorithms: Lessons Motivated by the Flash Crash
April 7, 2011
Ian Domowitz, Managing Director, Investment Technology Group
PowerPoint Slides: Liquidity, Price Discovery, and Algorithms
The Market Break of May 6, 2010
February 24, 2011
Andrei Kirilenko, Chief Economist, United States Commodity Futures Trading Commission
This presentation was not recorded.
PowerPoint Slides: The Flash Crash: The Impact of High Frequency Trading on an Electronic Market