On Flash Boys and High Frequency Trading

You may have heard about the new book by Michael Lewis, Flash Boys: A Wall Street Revolt, in the last few days.  It's been reviewed, critiqued, excerpted, and discussed in places such as Slate, NYT Magazine, and the WSJ, and yesterday the author was interviewed on CBC Radio's The Current. Flash Boys has brought a lot of attention to the topic of high frequency trading, so we thought we'd list a few places to go looking for resources on the hot "HFT" topic.

1. Starting with articles:

• Business Source Complete: use subjects such as High-frequency trading (Securities), and (less precise): Program trading (Securities) or Electronic trading of securities.
• EconLit: As usual with EconLit, the subject headings are more useful for narrowing a search than in an initial search. Start off with a keyword search along the lines of the following: ("high frequency" or "high speed") w3 trad* (The "w3" is a proximity operator that will look for "trad*" (truncated to catch trade, trader, trading, etc.) within 3 words of either of the preceding phrases.)

2. Over to the SFU Library catalogue for ebooks & books: Although our copy of Flash Boys isn't here yet (it's on order!  update: we have 3 copies now), we do have many other relevant sources that would be worth checking.  Start with subjects such as Algorithms, Electronic trading of securities, and Program trading (Securities), or just dive in with a keyword search like: high frequency trad* This sort of search should get you a broad range of popular and academic titles such as:

• The quality of our financial markets : taking stock of where we stand / Robert A. Schwartz, John Aidan Byrne, Gretchen Schnee, editors.
• Trading the measured move : a path to trading success in a world of algos and high frequency trading / David M. Halsey.
• Inside the black box : a simple guide to quantitative and high-frequency trading / Rishi K Narang.
• Dark pools : the structure and future of off-exchange trading and liquidity / Erik Banks.

And if you can't wait for Flash Boys to reach our shelves, your local public library is sure to have copies. For example:

• Burnaby Public Library's books by Michael Lewis
• Vancouver Public Library's books by Michael Lewis
• Surrey Public Library's books by Michael Lewis

3. And, of course, we are about far more than books here in the library!  Here are some relevant US Senate hearings, theses, reports, and streaming videos from our collection:

• Dark pools, flash orders, high-frequency trading, and other market structure issues : hearing before the Subcommittee on Securities, Insurance, and Investment of the Committee on Banking, Housing, and Urban Affairs, United States Senate, One Hundred Eleventh Congress, first session ... October 28, 2009.
• High Frequency Trading, the SEC, and the Legacy of the Flash Crash / by Shea Thomas Monson. (An MA thesis from SFU's Political Science Dept.)
• High frequency traders : angels or devils? / Jeffrey G. MacIntosh. (think tank report (CD Howe Institute))
• Bypassing Wall Street / Ethical Markets Media (streaming video)
• High-Frequency Trading : Do Machines Control Wall Street? / Java (Firm) (streaming video)

4. Oh, and don't forget that Flash Boys is, at core, the story of Canadian-born Brad Katsuyama -- toss his name into some of your searches to see what stories pop up. (Sample Google search) As always, we're here if you have any questions!

• Mark Bodnar (Business – Burnaby): mbodnar@sfu.ca
• Megan Sorenson (Business – Vancouver): megan_sorenson@sfu.ca
• Andrea Cameron (Business – Surrey): amcamero@sfu.ca
• Carla Graebner (Economics – Burnaby): cgraebne@sfu.ca