Michael Lewis, of Liar’s Poker and The Big Short fame, has written a book on the world of High Frequency Trading. The booked is called Flash Boys and it’s more or less as entertaining has Lewis’s recent books. That’s a good thing, even if it doesn’t quite reach the highs of Liar’s Poker (which you absolutely must buy if you haven’t read it before.)
In some ways I’m surprised more hasn’t come of Flash Boys – when it was published there was some noise about investigations and hearings into the allegations in the book. I’m not aware that any of that led to anything. However, my reaction should give you an idea of how explosive the allegations in the book are. I went from misunderstand HFT as a algorithm based approach to trading based on patterns in the data to (probably still misunderstanding) HFT as a parasitic arms race against “regular investors” who are potentially losing money to at least some of the HFT firms without any tangible benefit.
Read the book just to open your mind to the possibilities and for a new appreciation of the speed of light through glass.