How to be a High Frequency Trader , ICMS, Bayes Centre, The University of Edinburgh, Tuesday, 28. May 2019

As part of the Big Proof Workshop, Donald McKenzie (University of Edinburgh) will give a public lecture entitled
How to be a High Frequency Trader

In today’s high-frequency trading or HFT, the relevant unit of time is the nanosecond (billionth of a second). In a nanosecond, the fastest possible signal, moving at the speed of light in free space, travels only 30 cm or roughly a foot. That’s the fundamental physical fact about today’s HFT.
This talk, which is based on interviews with 78 high-frequency traders (and other relevant people, such as those who supply them with information links), will ‘open the black box’ of HFT. MacKenzie will examine the main internal divide within HFT: between algorithms, trading groups and firms that specialise in ‘making’ (adding bids or offers to order books that cannot be executed immediately) and those that specialise in ‘taking’ (entering orders that can be executed immediately).
The talk will discuss how the interaction between ‘making’ and ‘taking’ algorithms gives rise to the inexorable, technologically hugely demanding ‘arms race’ that is at the heart of HFT. The main example of that arms race that will be discussed is the use of microwave links by HFT firms, and the huge importance of the precise spatial location of microwave dishes. The talk will end by highlighting the structural similarity between HFT’s arms race and the ‘proof-of-work’ mining of cryptocurrencies.

Doors Open: 5.40pm. Talk starts at 6pm.
The talk will be held on the ground floor of the Bayes Centre (Room G.03). All ticket holders are invited to a reception after the talk in the atrium of the Bayes Building.

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How to be a High Frequency Trader

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