Cognitive Concord, In Which I Interview an HFT and Ask Him Some Tough Questions, here. He gets blurbs from Galen Burghardt and Peter Muller on the book’s Amazon page, pretty good.
Rishi Narang and his brother Manoj co-founded Tradeworx, a high frequency trading firm. Whenever you hear “inside-HFT” stories, Manoj is frequently one of the guys at the center, speaking candidly and transparently about it.
Rishi’s also the author of Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading.
great, this should be good …
Yes, there’s clearly an asymptotic nature to the “race to zero latency,” but I’d say that the benefits to the market are not really connected to this question of picos-, nanos-, or millis-. Rather the benefits to the market are really a matter of the market being simply fast and electronic. The plateauing you’re talking about is there, but it’s in the marginal opportunities to get faster.
Social benefit, to me, is a very loaded term that I really hate. It stinks of subjective evaluations of merit. It makes me ask what the social benefits of cigarettes, nukes, Justin Bieber, Coca Cola, and Snickers bars are. And what the social benefit, for that matter, of anything else is. And who gets to decide it. And so on. Slippery slope, that one. Maybe there’s some standardized definition of this term that I don’t know, and which is less offensive.
Oh pretty pink perfection, now we got HFT, cigarettes, nukes, and Justin Bieber soup to talk about.