Presentation for CFA Finland about high-frequency trading in November 2014, based on an essay available at: http://blogs.terrapinn.com/total-asset/2014/11/27/tommi-vuorenmaa-anatomy-high-frequency-trader-human-machine-proportions/

1. THE ANATOMY OF
A HIGH-FREQUENCY TRADER:
HUMAN AND MACHINE
PROPORTIONS
Tommi A. Vuorenmaa, PhD
25th November, 2014
tommiavuorenmaa@triangleintelligence.com
Presentation@CFASocietyFinlandSeminarinHelsinki,Finland

4. Spread
Liquidity
Volatility
Price discovery
Market efficiency

5. Front-running
Manipulation
Flash crashes

6. AN EXAMPLE

8. HUMAN AND MACHINE PROPORTIONS
Tommi A. Vuorenmaa 2014

9. AN EXAMPLE

10. TECHNOLOGICAL
SOLUTIONS

11. TRADINGSTRATEGIES

13. MARKET MICROSTRUCTURE THEORY
INF
N
MM
Tommi A. Vuorenmaa 2014

14. REGULATIONS

15. Authorization
requirement*
System and
risk controls
Identification
of algorithms
Order-to-
trade ratio
BaFin
AN EXAMPLE
*In Germany, HFT techniques are characterized by: 1) Use of
latency minimizing infrastructure, 2) a system without human
intervention, and 3) high message intra-day rates.
Tommi A. Vuorenmaa 2014

16. AutomatedTraderMagazine4/2014

17. FUTURE DIRECTION

18. triangleintelligence.com/anatomyhft.pdf