《大空头》作者Michael Lewis新书《Flash Boys》（快闪小子）抢先看！免费下载地址回复可见，并附带各大主流媒体书评：Bloomberg, Financial Times, Wall Street Journal, Washington Post, The Atlantic。入选2014年度Financial Times最佳商业图书书单！
Budish, et al (2013), “The high-frequency trading arms race: Frequent batch auctions as a market design response”, mimeo, University of Chicago.
Domowitz and Steil (1999), “Automation, trading costs, and the structure of the trading services industry”, Brookings-Wharton Papers on Financial Services.
Foucault, et al (2013), “News trading and speed”, HEC Paris Research Paper 975/2013.
Hagstromer and Norden (2013), “The diversity of high-frequency traders”, Journal of Financial Markets, 16: 741–770.
Hendershott, et al (2011), “Does algorithmic trading improve liquidity?”, Journal of Finance, 66: 1–33.
Menkveld and Yueshen (2013), “Middlemen Interaction and Market Quality”, mimeo, VU University Amsterdam.
Menkveld and Zoican (2014), “Need for speed? Exchange latency and liquidity”, mimeo, VU University Amsterdam.
Riordan and Storkenmaier (2012), “Latency, liquidity and price discovery”, Journal of Financial Markets, 15: 416–437.
《快闪小子》让整个金融界重新评价高频交易（High Frequency Trading）的功过是非！背景资料（见附件）持续更新！
指数基金之父，Vanguard创始人John Bogle：“We are better off with high-frequency trading than we are without it.”
美国知名股票经纪公司Charles Schwab创始人Charles Schwab：“High-frequency trading is a growing cancer that needs to be addressed”
诺贝尔奖得主Paul Krugman：“So never mind the debate about exactly how much damage high-frequency trading does. It’s the whole financial industry, not just that piece, that’s undermining our economy and our society.”
诺贝尔奖得主Joseph Stiglitz：“High frequency trading can actually lead to a less informative market. So too, it can led to a less liquid market place ... Less active markets can not only be safer markets, they can better serve the societal functions that they are intended to serve.”
纽约大学教授Thomas Philippon：“Despite its fast computers and credit derivatives, the current financial system does not seem better at transferring funds from savers to borrowers than the financial system of 1910!”
U.S. Commodity Futures Trading Commission (CFTC)：It is a winner-takes-all environment, whereby the trader who is first able to identify and respond to a profitable opportunity will capture all the gains. Revenue is concentrated among the top performers. ... Speed and aggressiveness are key components of success. ... The average Aggressive HFTs earns an annualized alpha of 90.67%, while the average Passive HFTs earns 23.22%.
Fed: Information asymmetry induced by liquidity-taking HFTs' (High Frequency Trading) use of machine-readable information is important. Liquidity-providing HFTs supply less liquidity to stocks that suffer more from this information asymmetry problem. Moreover, when markets are volatile, this information asymmetry problem becomes more severe, and HFTs supply less liquidity.
Four years after his #1 bestseller The Big Short, Michael Lewis returns to Wall Street to report on a high-tech predator stalking the equity markets.
Flash Boys is about a small group of Wall Street guys who figure out that the U.S. stock market has been rigged for the benefit of insiders and that, post–financial crisis, the markets have become not more free but less, and more controlled by the big Wall Street banks. Working at different firms, they come to this realization separately; but after they discover one another, the flash boys band together and set out to reform the financial markets. This they do by creating an exchange in which high-frequency trading—source of the most intractable problems—will have no advantage whatsoever.
新添加附件，两种截然不同的看法：
指数基金之父，Vanguard创始人John Bogle：“We are better off with high-frequency trading than we are without it.”
美国知名股票经纪公司Charles Schwab创始人Charles Schwab：“High-frequency trading is a growing cancer that needs to be addressed”
Everything You Need to Know About High-Frequency Trading - Business - The Atlantic.pdf
HFT.zip
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