The following is a deck that I have prepared with some of the main points from the various sections of the book. [slideshare id=29410907&style=margin-bottom: 5px; border-top: #ccc 1px solid; height: 329px; border-right: #ccc 1px solid; width: 460px; border-bottom: #ccc 0px solid; border-left: #ccc 1px solid&sc=no] The above deck in pdf format: Trading and Exchanges - Summary Points Takeaway : This book was published in 2003. In the last 10 years, US markets have changed dramatically and so have other markets all over the world.

Key points of the talk : Who’s doing the work? Financial economists – Develop Equilibrium models, inventory control models, asymmetric information models. Some strategic equilibrium in the background High Frequency Econometricians – Less concerned with issues about strategic equilibrium. Working on predicting realized volatility. When you hear the word, “ Microstructure noise”, you can be reasonably certain that it is a HFT econometrician Mathematicians – NYU Algo trading conference had about 300 mathematicians who had a fair enough IT background.

Introduction The authors begin their introductory chapter stating that gone are the days when the primary purpose of stock market was capital allocation. Instead, they say, The primary purpose of the stock exchanges has devolved to catering to a class of highly profitable market participants called high frequency traders, or HFTs, who are interested only in hyper-short term trading, investors, be damned Indeed if one looks at some of the basic numbers that drive volumes, it is clear that HFT firms have become exchanges’ biggest customers.

[youtube https://www.youtube.com/watch?v=Njoq3HDYwj0?rel=0]

[youtube https://www.youtube.com/watch?v=nMPqsjuXDmE?rel=0]