Market Structure Matters.™

The Problem of HFT - Collected Writings on High Frequency Trading & Stock Market Structure Reform (January 2013)

Paperback: The Problem of HFT (paperback)
E-book: The Problem of HFT (e-book)

"Today the US Equities market is comprised of 13 Exchanges, 50 dark pools and a host of internalizing brokers. ... Haim Bodek has both been on the front lines of understanding the penalties of not fully comprehending this complexity, but also helping bring this complexity to light. This book is a must read by anyone attempting to fully understand the challenges of professionally competing in today's complex and challenging electronic trading environment."
- Larry Tabb , Founder & CEO Tabb Group

"This is a must-read for any trader in the markets. It's that simple. Mr. Bodek is shining a light onto the troubling games and unfair practices that have actually come to serve as the foundation of our high speed marketplace."
- Sal Arnuk, Co-Founder Themis Trading LLC & Co-Author Broken Markets

"Haim Bodek lays out the problems created by the explosion of High Frequency Trading"
- Ted Kaufman, Fmr. U.S. Senator from Delaware

"Haim Bodek's book is a much-needed insight on high-frequency trading and the architecture of securities markets. Accessible to outsiders and free of hype, this book offers a concise analysis of relevant concerns and advances thought-provoking proposals for regulatory reform."
- Stanislav Dolgopolov, Assistant Adjunct Professor, UCLA School of Law

This book explores the problem of high frequency trading (HFT) as well as the need for US stock market reform. This collection of previously published and unpublished materials includes the following articles and white papers:

  1. The Problem of HFT - explains how HFTs came to dominate US equity markets by exploiting artificial advantages introduced by electronic exchanges that catered to HFT strategies
  2. HFT Scalping Strategies - describes the primary features of modern HFT strategies currently active in US equities as well as the benefits these strategies extract from the maker-taker market model and the regulatory framework of the national market system
  3. Why HFTs Have an Advantage - explains the critical importance of HFT-oriented special order types and exchange order matching engine practices in the operation of modern HFT strategies
  4. HFT - A Systemic Issue - a discussion of the latest industry and regulatory developments with regard to exchange order matching practices that serve to advantage HFTs over the public customer
  5. Electronic Liquidity Strategy - proposes a conceptual framework for institutional traders to achieve superior execution performance in HFT-oriented electronic market venues
  6. Reforming the National Market System - proposes a 10-step plan for strengthening the operation of the US equities marketplace in order to serve the needs of long-term investors
  7. NZZ Interview with Haim Bodek - addresses current topics and proposals for US equities market structure reforms
  8. TradeTech Interview with Haim Bodek - addresses the current status of the HFT special order type debate
"Modern HFT wasn't a paradigm shift because its innovations brought new efficiencies into the marketplace.
HFT was a paradigm shift because its innovations proved that anti-competitive barriers to entry could be erected
in the market structure itself to preference one class of market participant above all others."