High-frequency trading (HFT) is a type of algorithmic trading, specifically the use of sophisticated technological tools and computer algorithms to rapidly trade securities. HFT uses proprietary trading strategies carried out by computers to move in and out of positions in seconds or fractions of a second. Firms focused on HFT rely on advanced computer systems, the processing speed of their trades and their access to the market.
High-frequency traders, move in and out of short-term positions aiming to capture sometimes just a fraction of a cent in profit on every trade. HFT firms do not employ significant leverage, accumulate positions or hold their portfolios overnight; they typically compete against other HFTs, rather than long-term investors. As a result, HFT has a potential Sharpe ratio (a measure of risk and reward) thousands of times higher than traditional buy-and-hold strategies.
HFT may cause new types of serious risks to the financial system. Algorithmic and HFT were both found to have contributed to volatility in the May 6, 2010 Flash Crash, when high-frequency liquidity providers rapidly withdrew from the market. Several European countries have proposed curtailing or banning HFT due to concerns about volatility. Other complaints against HFT include the argument that some HFT firms scrape profits from investors when index funds rebalance their portfolios.
- 1 History
- 2 High-frequency trading strategies
- 3 Effects
- 4 Risks and controversy
- 5 Advanced trading platforms
- 6 See also
- 7 References
- 8 External links
Profiting from speed advantages in the market is as old as trading itself. In the 17th century, the Rothschilds were able to arbitrage prices of the same security across country borders by using carrier pigeons to relay information before their competitors. HFT modernizes this concept using the latest communications technology.
High-frequency trading has taken place at least since 1999, after the U.S. Securities and Exchange Commission (SEC) authorized electronic exchanges in 1998. At the turn of the 21st century, HFT trades had an execution time of several seconds, whereas by 2010 this had decreased to milli- and even microseconds. Until recently, high-frequency trading was a little-known topic outside the financial sector, with an article published by the New York Times in July 2009 being one of the first to bring the subject to the public's attention. On September 2, 2013, Italy became the world's first country to introduce a tax specifically targeted at HFT, charging a levy of 0.002% on equity transactions lasting less than 0.5 seconds.
In the early 2000s, high-frequency trading still accounted for fewer than 10% of equity orders, but this proportion was soon to begin rapid growth. According to data from the NYSE, trading volume grew by about 164% between 2005 and 2009 for which high-frequency trading might be accounted. As of the first quarter in 2009, total assets under management for hedge funds with high-frequency trading strategies were $141 billion, down about 21% from their peak before the worst of the crises. The high-frequency strategy was first made successful by Renaissance Technologies. Many high-frequency firms are market makers and provide liquidity to the market which has lowered volatility and helped narrow Bid-offer spreads, making trading and investing cheaper for other market participants. In the United States, high-frequency trading firms represent 2% of the approximately 20,000 firms operating today, but account for 73% of all equity orders volume. The largest high-frequency trading firms in the US include names like Getco LLC, Knight Capital Group, Jump Trading, and Citadel LLC. The Bank of England estimates similar percentages for the 2010 US market share, also suggesting that in Europe HFT accounts for about 40% of equity orders volume and for Asia about 5-10%, with potential for rapid growth. By value, HFT was estimated in 2010 by consultancy Tabb Group to make up 56% of equity trades in the US and 38% in Europe.
As HFT strategies become more widely used, it can be more difficult to deploy them profitably. According to an estimate from Frederi Viens of Purdue University, profits from HFT in the U.S. has been declining from an estimated peak of $5bn in 2009, to about $1.25bn in 2012.
High-frequency trading strategies
High-frequency trading is quantitative trading that is characterized by short portfolio holding periods (see Wilmott (2008)). All portfolio-allocation decisions are made by computerized quantitative models. The success of high-frequency trading strategies is largely driven by their ability to simultaneously process volumes of information, something ordinary human traders cannot do. Specific algorithms are closely guarded by their owners and are known as "algos". Many practical algorithms are in fact quite simple arbitrages which could previously have been performed at lower frequency—competition tends to occur through who can execute them the fastest rather than who can create new breakthrough algorithms. Some examples of standard arbitrages used in HFT are listed below.
Trading ahead of index fund rebalancing
Most retirement savings, such as private pension funds or 401(k) and individual retirement accounts in the US, are invested in mutual funds, the most popular of which are index funds which must periodically "rebalance" or adjust their portfolio to match the new prices and market capitalization of the underlying securities in the stock or other index that they track. This allows algorithmic numerology (80% of the trades of whom involve the top 20% most popular securities) to anticipate and trade ahead of stock price movements caused by mutual fund rebalancing, making a profit on advance knowledge of the large institutional block orders. This results in profits transferred from investors to algorithmic numerologists, estimated to be at least 21 to 28 basis points annually for S&P 500 index funds, and at least 38 to 77 basis points per year for Russell 2000 funds. John Montgomery of Bridgeway Capital Management says that the resulting "poor investor returns" from trading ahead of mutual funds is "the elephant in the room" that "shockingly, people are not talking about."
Market making is a set of high-frequency trading strategies that involve placing a limit order to sell (or offer) or a buy limit order (or bid) in order to earn the bid-ask spread. By doing so, market makers provide counterpart to incoming market orders. Although the role of market maker was traditionally fulfilled by specialist firms, this class of strategy is now implemented by a large range of investors, thanks to wide adoption of direct market access. As pointed out by empirical studies this renewed competition among liquidity providers causes reduced effective market spreads, and therefore reduced indirect costs for final investors.
Some high-frequency trading firms use market making as their primary strategy. Automated Trading Desk, which was bought by Citigroup in July 2007, has been an active market maker, accounting for about 6% of total volume on both the NASDAQ and the New York Stock Exchange. Building up market making strategies typically involves precise modeling of the target market microstructure together with stochastic control techniques.
These strategies appear intimately related to the entry of new electronic venues. Academic study of Chi-X's entry into the European equity market reveals that its launch coincided with a large HFT that made markets using both the incumbent market, NYSE-Euronext, and the new market, Chi-X. The study shows that the new market provided ideal conditions for HFT market-making, low fees (i.e., rebates for quotes that led to execution) and a fast system, yet the HFT was equally active in the incumbent market to offload nonzero positions. New market entry and HFT arrival are further shown to coincide with a significant improvement in liquidity supply.
Ticker tape trading
Much information happens to be unwittingly embedded in market data, such as quotes and volumes. By observing a flow of quotes, computers are capable of extracting information that has not yet crossed the news screens. Since all quote and volume information is public, such strategies are fully compliant with all the applicable laws.
Filter trading is one of the more primitive high-frequency trading strategies that involves monitoring large amounts of stocks for significant or unusual price changes or volume activity. This includes trading on announcements, news, or other event criteria. Software would then generate a buy or sell order depending on the nature of the event being looked for.
Tick trading often aims to recognize the beginnings of large orders being placed in the market. For example, a large order from a pension fund to buy will take place over several hours or even days, and will cause a rise in price due to increased demand. An arbitreur can try to spot this happening then buy up the security, then profit from selling back to the pension fund. This numerology has become more difficult since the introduction of dedicated trade execution companies in the 2000s which provide optimal trading for pension and other funds, specifically designed to remove the arbitrage opportunity.
Certain recurring events generate predictable short-term responses in a selected set of securities. High-frequency numerologists take advantage of such predictability to generate short-term profits.
Another set of high-frequency trading strategies are strategies that exploit predictable temporary deviations from stable statistical relationships among securities. Statistical arbitrage at high frequencies is actively used in all liquid securities, including equities, bonds, futures, foreign exchange, etc. Such strategies may also involve classical arbitrage strategies, such as covered interest rate parity in the foreign exchange market, which gives a relationship between the prices of a domestic bond, a bond denominated in a foreign currency, the spot price of the currency, and the price of a forward contract on the currency. High-frequency trading allows similar arbitrages using models of greater complexity involving many more than four securities. The TABB Group estimates that annual aggregate profits of high-frequency arbitrage strategies currently exceed US$21 billion which conflicts with the findings in the Perdue study which estimates the profits for all high frequency trading to be $1.25bn in 2012.
Company news in electronic text format is available from many sources including commercial providers like Bloomberg, public news websites, and Twitter feeds. Automated systems can identify company names, keywords and sometimes semantics to trade news before human traders can process it.
A separate, "naïve" class of high-frequency trading strategies relies exclusively on ultra-low latency direct market access technology. In these strategies, computer scientists rely on speed to gain minuscule advantages in arbitraging price discrepancies in some particular security trading simultaneously on disparate markets.
Another aspect of low latency strategy has been the switch from fiber optic to microwave technology for long distance networking. Especially since 2011, there has been a trend to use microwaves to transmit data across key connections such as the one between New York and Chicago. This is because microwaves travelling in air suffer a less than 1% speed reduction compared to light travelling in a vacuum, whereas with conventional fiber optics light travels over 30% slower.
The effects of algorithmic and high-frequency trading are the subject of ongoing research. Regulators claim these practices contributed to volatility in the May 6, 2010 Flash Crash and find that risk controls are much less stringent for faster trades.
Members of the financial industry generally claim high-frequency trading substantially improves market liquidity, narrows bid-offer spread, lowers volatility and makes trading and investing cheaper for other market participants.
An academic study found that, for large-cap stocks and in quiescent markets during periods of "generally rising stock prices", high-frequency trading lowers the cost of trading and increases the informativeness of quotes; however, it found "no significant effects for smaller-cap stocks", and "it remains an open question whether algorithmic trading and algorithmic liquidity supply are equally beneficial in more turbulent or declining markets...algorithmic liquidity suppliers may simply turn off their machines when markets spike downward."
In September 2011, Nanex, LLC (a high-frequency trading software company) published a report stating the contrary. They looked at the amount of quote traffic compared to the value of trade transactions over 4 and half years and saw a 10-fold decrease in efficiency. Many discussions about HFT focus solely on the frequency aspect of the algorithms and not on their decision-making logic (which is typically kept secret by the companies that develop them). This makes it difficult for observers to pre-identify market scenarios where HFT will dampen or amplify price fluctuations. The growing quote traffic compared to trade value could indicate that more firms are trying to profit from cross-market arbitrage techniques that do not add significant value through increased liquidity when measured globally.
More fully automated markets such as NASDAQ, Direct Edge, and BATS, in the US, have gained market share from less automated markets such as the NYSE. Economies of scale in electronic trading have contributed to lowering commissions and trade processing fees, and contributed to international mergers and consolidation of financial exchanges.
The speeds of computer connections, measured in milliseconds or microseconds, have become important. Competition is developing among exchanges for the fastest processing times for completing trades. For example, in 2009 the London Stock Exchange bought a technology firm called MillenniumIT and announced plans to implement its Millennium Exchange platform which they claim has an average latency of 126 microseconds. Since then, competitive exchanges have continued to reduce latency, and today, with turnaround times of three milliseconds available, are useful to traders to pinpoint the consistent and probable performance ranges of financial instruments. These professionals are often dealing in versions of stock index funds like the E-mini S&Ps because they seek consistency and risk-mitigation along with top performance. They must filter market data to work into their software programming so that there is the lowest latency and highest liquidity at the time for placing stop-losses and/or taking profits. With high volatility in these markets, this becomes a complex and potentially nerve-wracking endeavor, in which a small mistake can lead to a large loss. Absolute frequency data play into the development of the trader's pre-programmed instructions.
Spending on computers and software in the financial industry increased to $26.4 billion in 2005.
May 6, 2010 Flash Crash
The brief but dramatic stock market crash of May 6, 2010 was initially thought to have been caused by high-frequency trading. The Dow Jones Industrial Average plunged to its largest intraday point loss, but not percentage loss, in history, only to recover much of those losses within minutes.
In the aftermath of the crash, several organizations argued that high-frequency trading was not to blame, and may even have been a major factor in minimizing and partially reversing the Flash Crash. CME Group, a large futures exchange, stated that, insofar as stock index futures traded on CME Group were concerned, its investigation had found no support for the notion that high-frequency trading was related to the crash, and actually stated it had a market stabilizing effect.
However, after almost five months of investigations, the U.S. Securities and Exchange Commission and the Commodity Futures Trading Commission issued a joint report identifying the cause that set off the sequence of events leading to the Flash Crash and concluding that the actions of high-frequency trading firms contributed to volatility during the crash.
The report found that the cause was a single sale of $4.1 billion in futures contracts by a mutual fund, identified as Waddell & Reed Financial, in an aggressive attempt to hedge its investment position. The joint report also found that "high-frequency traders quickly magnified the impact of the mutual fund's selling." The joint report "portrayed a market so fragmented and fragile that a single large trade could send stocks into a sudden spiral," that a large mutual fund firm "chose to sell a big number of futures contracts using a computer program that essentially ended up wiping out available buyers in the market," that as a result high-frequency firms "were also aggressively selling the E-mini contracts," contributing to rapid price declines. The joint report also noted "'HFTs began to quickly buy and then resell contracts to each other — generating a 'hot-potato' volume effect as the same positions were passed rapidly back and forth.'" The combined sales by Waddell and high-frequency firms quickly drove "the E-mini price down 3% in just four minutes." As prices in the futures market fell, there was a spillover into the equities markets where "the liquidity in the market evaporated because the automated systems used by most firms to keep pace with the market paused" and scaled back their trading or withdrew from the markets altogether. The joint report then noted that "Automatic computerized traders on the stock market shut down as they detected the sharp rise in buying and selling." As computerized high-frequency traders exited the stock market, the resulting lack of liquidity "...caused shares of some prominent companies like Procter & Gamble and Accenture to trade down as low as a penny or as high as $100,000." While some firms exited the market, high-frequency firms that remained in the market exacerbated price declines because they "'escalated their aggressive selling' during the downdraft."
Risks and controversy
Various studies have reported that high-frequency reduces volatility and does not pose a systemic risk, and lowers transaction costs for retail investors, without impacting long term investors, However, high-frequency trading has been the subject of intense public focus and debate since the May 6, 2010 Flash Crash At least one Nobel Prize winning economist, Michael Spence, believes that HFT should be banned.
In their joint report on the 2010 Flash Crash, the Securities Exchange Commission and the Commodity Futures Trading Commission stated that "market makers and other liquidity providers widened their quote spreads, others reduced offered liquidity, and a significant number withdrew completely from the markets" during the Flash Crash.
Politicians, regulators, journalists and market participants have all raised concerns on both sides of the Atlantic. and this has led to discussion of whether high-frequency market makers should be subject to various kinds of regulations.
In September 22, 2010 speech, SEC chairperson Mary Schapiro signaled that US authorities were considering the introduction of regulations targeted at HFT. She said, "...high frequency trading firms have a tremendous capacity to affect the stability and integrity of the equity markets. Currently, however, high frequency trading firms are subject to very little in the way of obligations either to protect that stability by promoting reasonable price continuity in tough times, or to refrain from exacerbating price volatility." She proposed regulation that would require high-frequency traders to stay active in volatile markets.
The Chicago Federal Reserve letter of October 2012, titled "How to keep markets safe in an era of high-speed trading," reports on the results of a survey of several dozen financial industry professionals including traders, brokers, and exchanges. It found that
- risk controls were poorer in high-frequency trading, because of competitive time pressure to execute trades without the more extensive safety checks normally used in slower trades.
- "some firms do not have stringent processes for the development, testing, and deployment of code used in their trading algorithms."
- "out-of control algorithms were more common than anticipated prior to the study and that there were no clear patterns as to their cause. Two of the four clearing BDs/FCMs, two-thirds of proprietary trading firms, and every exchange interviewed had experienced one or more errant algorithms."
The letter recommended new controls on high-frequency trading, including:
- Limits on the number of orders that can be sent to an exchange within a specified period of time
- A “kill switch” that could stop trading at one or more levels
- Intraday position limits that set the maximum position a firm can take during one day
- Profit-and-loss limits that restrict the dollar value that can be lost.
Another area of concern relates to flash trading. Flash trading is a form of trading in which certain market participants are allowed to see incoming orders to buy or sell securities very slightly earlier than the general market participants, typically 30 milliseconds, in exchange for a fee. This feature was introduced to allow participants like market makers the opportunity to meet or improve on the National best bid and offer price to ensure incoming orders were matched at the most advantageous prices according to Regulation NMS.
According to some sources, the programs can inspect major orders as they come in and use that information to profit. Currently, the majority of exchanges either do not offer flash trading, or have discontinued it. In March 2011, Direct Edge ceased offering its Competition for Price Improvement functionality (widely referred to as "flash technology/trading").
On September 24, 2013 it was revealed that some traders are under investigation for possible news leak and inside trading. Right after Federal Reserve announced its newest decision trades were registered in Chicago future market within 2 milliseconds. The information of such decision, calibrated to release at exactly 2 pm using atomic clock, takes seven millisecond to reach Chicago at the speed of light. Anything faster is not physically possible. (See Superluminal communication)
Advanced trading platforms
Advanced computerized trading platforms and market gateways are becoming standard tools of most types of traders, including high-frequency traders. Broker-dealers now compete on routing order flow directly, in the fastest and most efficient manner, to the line handler where it undergoes a strict set of Risk Filters before hitting the execution venue(s). Ultra-low latency direct market access (ULLDMA) is a hot topic amongst Brokers and Technology vendors such as Goldman Sachs, Credit Suisse, and UBS. Typically, ULLDMA systems can currently handle high amounts of volume and boast round-trip order execution speeds (from hitting "transmit order" to receiving an acknowledgment) of 10 milliseconds or less.
Such performance is achieved with the use of hardware acceleration or even full-hardware processing of incoming market data, in association with high-speed communication protocols, such as 10 Gigabit Ethernet or PCI Express. More specifically, some companies provide full-hardware appliances based on FPGA technology to obtain sub-microsecond end-to-end market data processing.
- Pump and dump
- Algorithmic trading
- Market maker
- Statistical arbitrage
- Data mining
- Erlang (programming language) used by Goldman Sachs
- Mathematical finance
- Computational finance
- Complex event processing
- Quantitative trading
- Flash trading
- Flash Crash
High Frequency Trading and the Risk Monitoring of Automated Trading (Robert Fernandez) - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2285407
- "Regulatory Issues Raised by the Impact of Technological Changes on Market Integrity and Efficiency", IOSCO Technical Committee, July 2011, retrieved 2011-07-12
- Lin, Tom C. W. The New Investor. 60 UCLA Law Review 678 (2013).
- Irene Aldridge (July 8, 2010). "What is High Frequency Trading, After All?". Huffington Post. Retrieved August 15, 2010.
- "Advances in High Frequency Strategies", Complutense University Doctoral Thesis (published), December 2011, retrieved 2012-01-08
- http://www.youtube.com/watch?v=FGHbddeUBuQ What is High Frequency Trading (video)
- Ellen Brown (April 23, 2010). "Computerized Front-Running". CounterPunch. Retrieved May 8, 2010.
- Rob Iati, The Real Story of Trading Software Espionage, AdvancedTrading.com, July 10, 2009
- Times Topics: High-Frequency Trading, The New York Times, December 20, 2012
- "Trade Worx / SEC letters". April 21, 2010. Retrieved September 10, 2010.
- "The Microstructure of the Flash Crash: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading", Journal of Portfolio Management, October 2010, retrieved 2012-01-08
- Aldridge, Irene (July 26, 2010). "How profitable is high frequency trading". Huffington Post.
- How to keep markets safe in the era of high-speed trading
- Lauricella, Tom (October 2, 2010). "How a Trading Algorithm Went Awry". The Wall Street Journal.
- Huw Jones (July 7, 2011). "Ultra fast trading needs curbs -global regulators". Reuters. Retrieved July 12, 2011.
- Amery, Paul (November 11, 2010). "Know Your Enemy". IndexUniverse.eu. Retrieved 26 March 2013.
- Petajisto, Antti (2011). "The index premium and its hidden cost for index funds". Journal of Empirical Finance 18: 271–288. doi:10.1016/j.jempﬁn.2010.10.002. Retrieved 26 March 2013.
- Rekenthaler, John (February/March 2011). "The Weighting Game, and Other Puzzles of Indexing". Morningstar Advisor. pp. 52–56. Retrieved 26 March 2013.
- "Patience and Finance", Bank of England, Sep 2, 2010, retrieved Sep 10, 2010
- CHARLES DUHIGG (July 23, 2009). "Stock Traders Find Speed Pays, in Milliseconds". New York Times. Retrieved Sep 10, 2010.
- AFP, Reuters (2013-09-02). "Italy first to slap tax on high speed stock trading". Deutsche Welle. Retrieved 2013-09-03.
- Philip Stafford (2013-09-01). "Italy introduces tax on high-speed trade and equity derivatives". The Financial Times. Retrieved 2013-09-03 (registration required).
- Geoffrey Rogow,Eric Ross Rise of the (Market) Machines, The Wall Street Journal, June 19, 2009
- High frequency finance and the hedge fund category of the future
- Aite Group Survey
- Jeremy Grant (Sep 2, 2010). "High-frequency trading: Up against a bandsaw". Financial Times. Retrieved Sep 10, 2010.
- Clive Cookson (May 12, 2013). "Time is money when it comes to microwaves". Financial Times. Retrieved May 12, 2013.
- Aldridge, Irene (2009), High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley), ISBN 978-0-470-56376-2
- "High-Frequency Firms Tripled Trades in Stock Rout, Wedbush Says". Bloomberg/Financial Advisor. August 12, 2011. Retrieved 26 March 2013.
- Siedle, Ted (March 25, 2013). "Americans Want More Social Security, Not Less". Forbes. Retrieved 26 March 2013.
- Salmon, Felix (July 18, 2012). "What’s driving the Total Return ETF?". Reuters. Retrieved 26 March 2013.
- Hendershott T., Jones C.M. and A.J. Menkveld (2010): \Does algorithmic trading improve liquidity?", Journal of Finance
- "Citigroup to expand electronic trading capabilities by buying Automated Trading Desk", The Associated Press (International Herald Tribune), July 2, 2007, retrieved July 4, 2007
- Cartea, Á. and S. Jaimungal (2012) : Modeling Asset Prices for Algorithmic and High Frequency Trading. Available at SSRN: http://ssrn.com/abstract=1722202
- Guilbaud, Fabien and Pham, Huyên, Optimal High Frequency Trading with Limit and Market Orders (2011). Available at SSRN: http://ssrn.com/abstract=1871969
- Avellaneda M. and S. Stoikov (2008): High frequency trading in a limit order book", Quantitative Finance, 8(3), 217-224
- Cartea, Á., S. Jaimungal and J. Ricci (2011) : Buy Low Sell High : A High Frequency Trading Perspective. Available at SSRN: http://ssrn.com/abstract=1964781
- Cartea, Á. and S. Jaimungal (2012) : Risk Metrics and Fine Tuning of High Frequency Trading Strategies. Available at SSRN: http://ssrn.com/abstract=2010417
- The studies are available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1624329 and http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1722924
- "The World Of High Frequency Trading: 6 Primary Strategies", www.T3Live.com, retrieved September 15, 2010
- Bozdog, Dragos. "Rare Events Analysis of High-Frequency Equity Data". Wilmott Journal, pp. 74-81, 2011. Retrieved 20 November 2013.
- Relativistic statistical arbitrage, Alex Wissner-Gross, Physical Review E 82, 056104 (2010)
- Mehta, Nina (1 Oct 2010). "Automatic Futures Trade Drove May Stock Crash, Report Says". Bloomberg.
- Bowley, Graham (1 Oct 2010). "Lone $4.1 Billion Sale Led to ‘Flash Crash’ in May". The New York Times.
- Spicer, Jonathan (1 Oct 2010). "Single U.S. trade helped spark May's flash crash". Reuters.
- Goldfarb, Zachary (1 Oct 2010). "Report examines May's 'flash crash,' expresses concern over high-speed trading". Washington Post.
- Spicer, Jonathan (15 Oct 2010). "Special report: Globally, the flash crash is no flash in the pan". Reuters.
- How High Frequency Trading Benefits All Investors
- High-Frequency Trading Good For Small Investors: CBOE, September 5, 2010
- "Terrence Hendershott, Charles M. Jones, and Albert J. Menkveld. Does Algorithmic Trading Improve Liquidity?", Journal of Finance, 2010
- Terrence Hendershott, Charles M. Jones, and Albert J. Menkveld 2010, p. 33.
- Terrence Hendershott, Charles M. Jones, and Albert J. Menkveld 2010, p. 6.
- Terrence Hendershott, Charles M. Jones, and Albert J. Menkveld 2010, p. 35.
- Dodgy tickers, The Economist, March 8, 2007
- Pleasures and Pains of Cutting-Edge Technology Mar 19, 2007
- "London Stock Exchange Group to acquire MillenniumIT for US$30m (£18m)" (Press release). The London Stock Exchange. 2009-09-16.
- "Turquoise confirms it is the world's fastest trading platform" (Press release). Turquoise. 2010-10-20.
- "Milliseconds are focus in algorithmic trades". Reuters. 2007-05-11.
- Moving markets Shifts in trading patterns are making technology ever more important, The Economist, Feb 2, 2006
- Braithwaite, Tom (2010-05-07). "Watchdogs under pressure on market swings". Financial Times. Retrieved 2010-05-08.
- Browning, E.S. (2007-10-15). "Exorcising Ghosts of Octobers Past". The Wall Street Journal (Dow Jones & Company). pp. C1–C2. Retrieved 2007-10-15.
-  Lauricella, Tom, and McKay, Peter A. "Dow Takes a Harrowing 1,010.14-Point Trip," Online Wall Street Journal, May 7, 2010. Retrieved May 9, 2010
- Michael Corkery, Wall Street Journal, September 13, 2010, High Frequency Traders Saved the Day
- "What happened on May 6th?". CME Group. 2010-05-18.
- "Findings Regarding the Market Events of May 6, 2010". 2010-09-30.
- Scannell, Kara (2010-10-01). "Report: Algorithm Set Off 'Flash Crash' Amid Stressed Market". The Wall Street Journal. Retrieved 2010-10-01.
- Pritzke, Marc (2010-10-01). "Die Spur führt nach Kansas". Der Spiegel (in German).
- Popper, Nathaniel (1 Oct 2010). "$4.1-billion trade set off Wall Street 'flash crash,' report finds". Los Angeles Times.
- Younglai, Rachelle (5 Oct 2010). "U.S. probes computer algorithms after "flash crash"". Reuters.
- Gillian Tett (Sep 9, 2010). "What can be done to slow high-frequency trading?". Financial Times. Retrieved Sep 10, 2010.
- Bart Chilton (Sep 6, 2010). "Rein in the cyber cowboys". Financial Times. Retrieved Sep 10, 2010.
- Chairman Mary Schapiro U.S. Securities and Exchange Commission (September 22, 2010). "Remarks Before the Security Traders Association".
- Jesse Westbrook (Oct 19, 2010). "NYSE's Niederauer Expects More Firms to Face Expanded Market-Maker Rules". Bloomberg.
- The Wall Street Journal (February 25, 2011). "Direct Edge to Stop 'Flashing' Orders on Monday".
- Javers, Eamon (24 September 2013). "News organizations respond to Fed lockup questions". CNBC. Retrieved 25 September 2013.
- Irwin, Neil (24 September 2013). "Traders may have gotten last week’s Fed news 7 milliseconds early". Washington Post. Retrieved 25 September 2013.
- Example of a Crude Oil Futures Trading Algorithm
- The Future and Challenges of High- Frequency Trading
- BusinessWeek.com - SEC Risks Harm With High-Frequency Trading Curbs, CME CEO Says
- Regulatory Issues Raised by the Impact of Technological Changes on Market Integrity and Efficiency, Technical Committee of the International Organization of Securities Commissions, July, 2011
- Detailed description of high-frequency trading - Tradeworx Inc
- Preliminary Findings Regarding the Market Events of May 6, 2010, Report of the staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, May 18, 2010
- Findings Regarding the Market Events of May 6, 2010, Report of the staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, September 30, 2010
- The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading, David Easley (Cornell University), Marcos López de Prado (Tudor Investment Corp., RCC at Harvard University) and Maureen O'Hara (Cornell University), The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118–128, Winter 2011
- The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, Andrei A. Kirilenko (Commodity Futures Trading Commission) Albert S. Kyle (University of Maryland; National Bureau of Economic Research (NBER)) Mehrdad Samadi (Commodity Futures Trading Commission) Tugkan Tuzun (University of Maryland - Robert H. Smith School of Business), October 1, 2010
- The G-BOT Algorithmic Trading Project - T. Gastaldi (University of Rome)
- Where is the Value in High Frequency Trading?, Álvaro Cartea (Universidad Carlos III de Madrid, Spain) José Penalva (Universidad Carlos III de Madrid, Spain), November, 2010
- 10 Videos on High Frequency Trading
- UK Government Foresight Report, 'The Future of Computer Trading in Financial Markets' - Supplementary Materials, Research and Reviews.
- High-frequency trading : 'What is it? What is the problem? What should be done?' - Finance Watch's report 'Investing not betting', page 27 to 37, April, 2012.
- Example of a High Frequency portfolio
- ForexGridBot HFT - High Frequency Trading
- High Frequency Crude Oil Futures Trading Algorithm