Program Presentations

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 IEXTerrence Hendershott of the Haas School of BusinessSophie 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

Erick budish headshot

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

barlett headshot

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 headshot

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 headshot

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 headshot

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 headshot

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