Financial Analysts Journal

Volume 70 Number 3
2014 CFA Institute

PERSPECTIVES

High-Frequency Trading and Its Impact on

Markets
Maureen OHara
At the 2013 CFA Institute Financial Analysts Seminar, held in Chicago on 2225 July, Maureen OHara
discussed a new market paradigm: Trading has become faster, and market structure has fundamentally
changed. In todays market, high-frequency traders (HFTs) act on information revealed by low-frequency
traders (LFTs). To survive, LFTs must avoid being detected by predatory algorithms of HFTs. LFTs can thrive
by adopting trading strategies appropriate to the high-frequency trading world.

igh-frequency trading is now the norm,

and it is not going away. Across markets,
both in the United States and in global settings, the bulk of trading is from high-frequency
traders (HFTs). For portfolio managers and those
involved in investment management, the good old
days of running a portfolio and paying little attention to how it is traded are long gone. Managers
need to understand how the new markets work
because trading affects alpha.
The high-frequency trading world is mindboggling. The Chicago Mercantile Exchange
(CME) and NASDAQ, for example, have a joint
venture to build a better linkage between the
CMEs computers in Chicago and NASDAQs
servers in New Jersey. The challenge concerns
transmission speed, so they are building towers
to transmit orders via microwaves. To minimize
the effect of the curvature of the earth, the towers are 60 feet above the ground, which saves a
mere 4 milliseconds in the transmission of orders
between New Jersey and Chicago. How fast is
this? It takes the human eye 400500 milliseconds
to recognize and respond to visual stimuli. So, in
the blink of an eye, you are now left far behind by
the high-frequency crowd.
But high-frequency trading is not just about
speed; a new paradigm is at work. Fundamental
aspects of the market have changedfor example, the nature of market making and even basic
Maureen OHara is the Robert W. Purcell Professor of
Finance at the Johnson Graduate School of Management, Cornell University, Ithaca, New York.
18 www.cfapubs.org

concepts like liquidity. Whenever paradigms shift,

things that used to work stop working. In this presentation, I will discuss how high-frequency trading
is different, how it is changing markets, and what
this implies for portfolio managers and regulators.
My discussion is based on my work with David
Easley and Marcos Lpez de Prado.1 Easley is an
economics and information sciences professor at
Cornell University. Lpez de Prado was head of
high-frequency futures trading at Tudor Investment
Corporation and is currently developing quantitative strategies for Guggenheim Partners. I am
a finance professor and chairman of the board of
a broker/dealer firm. Our diverse backgrounds
speak to the challenges of trying to work on microstructure issues in this new world. The databases
are so big, a hedge fund is required just to be able
to handle the computing power!

A New Paradigm at Work: Is Speed

the Issue?
David Leinweber (2009) has made the point that
in the context of trading, there is nothing new
about being faster. In the 19th century, carrier
pigeons brought the news of Napoleons defeat
at Waterloo, with the Rothschild banking family
most notably profiting from trading on this almost
real-time information. In the past, the inventions
of the telegraph, the telephone, and the radio
allowed speed advantages to some traders over
others. Today, sending information by racing
pigeons would be laughable, but 200 years ago, it
was cutting-edge technology.
2014 CFA Institute

High-Frequency Trading and Its Impact on Markets

High-frequency trading is not just lowfrequency trading on steroids; markets actually behave very differently now. HFTs have
been characterized as cheetah traders by Bart
Chilton of the US Commodity Futures Trading
Commission (CFTC). I do not agree with that
assessment. As in all areas of the markets, some
HFTs (or, more precisely, the computer programmers behind some HFTs) are behaving and some
are misbehaving. Actual high-frequency trading
is done by computers or silicon traders, but
low-frequency traders (LFTs) are still humans.
Today, a battle is being waged between the silicon
traders and the humans.
HFTs use super-high-speed computers and
co-located servers. To understand what they do,
consider all the stocks or all the futures contracts
out there and think about calculating a giant
variancecovariance matrix of how each security
moves. When a stock goes up, an HFT instantly
computes a probability that another stock will go
up on the basis of predicted correlations and then
trades in that stock. A lot of what HFTs do, such
as predicting relationships between assets, is based
on strategy. Because they are predictive, they also
act on information revealed by LFTs (LFTs are the
rest of us). HFTs engage in sequential games, and
sometimes they behave like predators and take
advantage of LFTs. They can do so because they
are working under a different paradigm.

Humans like to think about time. For example,

the market opens at 9:30 a.m. and closes at 4:00 p.m.
An order is sent to a broker, and she chops it up into
pieces and trades those pieces over the course of
the day. That is a natural way to think about trading, but its not the only way.
Machines do not think in terms of time. They
think in terms of cycles, and in trading, this often
relates to an amount of volume. For example, suppose
that of the next 200,000 e-mini futures contracts, a
high-frequency trader wants to buy 50,000 of them.
That trading strategy is based on a volume clock, not
a time clock. How long will it take to trade 300,000
futures contracts? It depends. In the middle of the
night, it could take quite a while; during the day,
when markets are busier, it could take 10 minutes.
Looking at the world the way machines do
gives HFTs an advantage. Figure 1 compares the
standardized return distributions of the e-mini
S&P 500 futures contract calculated every minute
and calculated for every 1/50 of the daily volume
(i.e., returns are calculated using a volume clock).
The figure also gives the normal distribution for
returns. The actual time-weighted distribution is
skinnier and has fatter tails than the normal distribution, properties that are associated with leptokurtosis. In financial markets, these properties
are undesirable in that extreme losses occur at a
higher probability than would be expected with the
normal distribution. However, the volume clock

Figure 1. Standardized Returns on the E-Mini S&P 500 Futures

Contract
Density
0.25

0.20

0.15

0.10

0.05

0
5

Standardized Return
Time Clock

Volume Clock

Normal Distribution (Same Bins as Time Clock)

Sources: Easley, Lpez de Prado, and OHara (2012b); based on Bloomberg data
from 1 January 2008 to 22 October 2010.

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Financial Analysts Journal

distribution behaves more like the normal distribution, which matters because it is easier to predict
something that has a better-behaved distribution.
The machines predict on the basis of the betterbehaved distribution because they are thinking
with a volume clock, whereas humans are thinking
with a time clock. The new paradigm is thus event
based, where volume takes the place of time.

Machine vs. Machine

Spreads are small now because a lot of highfrequency trading is intermarket arbitragebuying
here and selling there. HFTs basically move liquidity from a market where it is more plentiful to a market where it is less plentiful. This is the good side
of high-frequency trading. There is also a bad side.
HFTs can use predatory algorithms, whereby their
own actions can trigger a microstructure mechanism with a foreseeable outcome. Examples include
quote stuffers, quote danglers, and pack hunters.
Such activities are illegal but are hard to catch.
A quote stuffer overwhelms an exchange with
messages, with the sole intent of slowing down
competing algorithms. Quote danglers enter and
instantaneously cancel limit orders, with the goal of
obfuscating the quote process. In OHara (2010), I
described a situation where Investment Technology
Group (ITG) had a client who wanted to buy and
the ITG trading algorithm placed a buy limit order.
Then, a high-frequency silicon trader attempted
to raise the price by entering and immediately
canceling orders over and over again, never actually trading. The HFTs goal was to entice the ITG
algorithm to raise its price, which meant it was
essentially competing with itself. There is a happy
ending to this story: ITG canceled the order and
moved it someplace else because the company has

anti-gaming technology that watches for this type

of problem. The HFT then turned its predatory
algorithm toward somebody else.
Another example of predatory algorithms
involves pack hunters: Several HFTs independently become aware of each others activities and
then form a pack to maximize the chance of triggering a cascading effect. In one variant of such
behavior, HFTs try to force a stop loss by moving
the quotes up and down to find the hidden stop
orders. When they find them and trigger the stops,
the market has to go down. Similar predatory
algorithms can be deployed when LFTs use a predictable algorithm, such as TWAP (time-weighted
average price). It is not hard for HFTs to step in
front of predictable algorithms, much to the detriment of LFTs.
Not every weird thing that happens to the
market is the result of evil HFTs. Figure 2 shows
the price pattern for Coca-Cola on 19 July 2012.
The pattern is completely deterministic or predictable. On this day, IBM, McDonalds, and Apple
displayed similar patterns. This market is not efficient; a naive trader could figure out the predictable oscillating pattern. But this market behavior
was not the result of a sophisticated, manipulative
HFT strategy. Subsequent investigation revealed
that the cause was a dumb algorithma brokers computer program that was simply not well
crafted or monitored. Similarly, Indias flash crash,
which occurred on 5 October 2012, was caused by
a trader who sent in an order with far too many
zeroes. Markets today are fast and highly technological. Without proper controls, these types of episodes will arise.

Figure 2. Price Pattern for Coca-Cola, 19 July 2012

Price ($)
77.60
77.40
77.20
77.00
76.80
76.60
76.40
10:00 a.m.

11:00 a.m.

12:00 p.m.

1:00 p.m.

2:00 p.m.

3:00 p.m.

Source: Based on data from Bloomberg Finance L.P.

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2014 CFA Institute

High-Frequency Trading and Its Impact on Markets

Big Data
One reason why HFTs are so successful is that they
base decision making on big data. For example, HFTs look at so-called Level III quotes. The
rest of us are simply looking at the trade price or
quoted spread, but HFTs are looking at the order
book depth. Again, HFTs are strategic, and they
want to figure out where their orders are going
to be. They know the exact way that exchangematching engines work, so they optimize against
the exchange-matching engine where they trade.
They estimate the orders position in the queue
and other players liquidity needs and consider
asymmetric information.
HFTs also use natural language programing
(NLP), which allows for trading on the basis of
new fundamental information by reading millions of webpages at once. NLP derives an aggregate statistic, like an index, based on all that reading and translates it into an immediate buy or sell.
RavenPack and Reuters are big players in developing these market sentiment indices. Remember
Watson, IBMs supercomputer that played on the
television game show Jeopardy? Watson now has
a job working for the hedge funds, reading webpages and deciding how to trade.
Figure 3 shows the US stock market reaction
to the Tweet Crash of 23 April 2013, in which
a hacker posted a false tweet on the Associated
Press (AP) Twitter account stating that an explosion had occurred at the White House, injuring

President Obama. This tweet was instantly read

and translated into a trading signalall the consequence of using big data. Of course, as soon
as the AP tweeted that its account was hacked
and the story was false, the market immediately
went back up. Such stories may sound like science fiction, but they are not. Frankly, as an academic, a chairman of a broker/dealer firm, and
an LFT, I find it difficult to keep up with these
fast and changing markets. The good news is
that LFTs do not have to swim faster than the
HFT sharks; they simply have to swim faster
than other LFT fish.
HFTs are scary because they can take advantage of LFTs. For example, if a broker chops an
order up and sends it in at the beginning of every
minute, a higher percentage of trades will be executed at the first second of the minute. For a silicon
trader, this pattern is not hard to figure out. If LFTs
signal what they are doing, then HFTs can take
advantage of them.
Figure 4 shows the percentage of orders per
trade size in e-mini S&P 500 futures based on data
for 2011. The little spikes around the round order
sizes of 5, 10, and 100 come from an LFT or a GUI
(pronounced gooey) trader, so-called because
the trader is a human being who uses a graphical
user interface. Humans like round numbers, such
as 5, 10, and 100, but machines do not care about
round numbers. Once a trader uses round lot numbers, they flag themselves as human LFTs.

Figure 3. US Stock Market Reaction to the Tweet Crash of

23 April 2013
Dow Jones Industrial Average

14,700

14,650

False Tweet Posted 1:07 p.m.

14,600

10:00 a.m.

11:00 a.m.

12:00 p.m.

1:00 p.m.

2:00 p.m.

3:00 p.m.

Source: Based on data from FactSet.

May/June 2014

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Financial Analysts Journal

Figure 4. Percentage of Orders per Trade Size in E-Mini S&P 500

Futures, 2011
Percentage of Total Trades
0.5
0.4
0.3
0.2
0.1
0
1

10

100

1,000

Trade Size

Source: Easley et al. (2012b).

With New Risks Come New Tools

It is scary out there, but it does not necessarily have
to stay that way. We need to become smarter, and
we need better tools to understand the dynamics
of markets. The old rules of thumb do not work.
For example, regulation that comes after an event
occurs typically does not work. Think about circuit
breakers: They kick in after the market falls apart.
This mechanism is not helpful in a high-frequency
world; the market must close before it falls apart.
The flash crash of 6 May 2010 ended because the
CME had something called stop logic, which
looks at all the orders on its book and considers
the ramifications of those orders being executed.
The stop logic predicted that the market would
tumble and closed the market before further damage could occur.
The bottom line is that in a super-fast world,
regulation must be executed in advance. But to regulate in advance, regulators need prediction tools.
Over the years, my co-authors and I have written
a variety of papers on something called PIN,
which stands for the probability of informed trading (see, e.g., Easley, Hvidkjaer, and OHara 2002).
In microstructure, we believe that bidask spreads
reflect the risk that the market maker faces in trading. If there are informed traders who know more
about where things are going and uninformed traders who dont have special information, the market maker knows he will lose if he trades with the
informed trader but will usually win if he trades
with an uninformed trader. The market maker sets
spreads to break even or earn a small profit, and
to do so, he needs to know the probability of the
22 www.cfapubs.org

informed trade. PIN models provide a way to estimate this probability, but this empirical technique
is difficult to implement given the huge trade volumes in todays high-frequency markets.
Our new trading tool is VPIN (volume synchronized probability of informed trading), which
captures the same notion that when there is new
information, people who have the information can
benefit only if they trade on it. If a trader believes
that a stock is undervalued, she will buy it. If other
people share that nonpublic information, then
more buys than sells will occur. This imbalance
moves prices. VPIN is a way to measure this imbalance, and it provides a measure of the markets
toxicity. VPIN is estimated using a volume clock,
and it works by capturing the imbalance between
buy-initiated volume and sell-initiated volume
over volume increments.
Figure 5 shows the e-mini S&P 500 futures
during the flash crash of 6 May 2010. Our VPIN
calculation itself does not seem to be doing anything particularly spectacular, but the cumulative
distribution function (CDF) of the VPIN explains
what is to come (a CDF essentially tells you the
probability that a random variable is less than or
equal to a given number X). As the VPIN measure
goes up, its cumulative distribution function enters
unusual territory. In fact, by 11:56 a.m., the realized
value of the VPIN was in the 10% tail of its distribution (meaning that 90% of the time, VPINs are
below this level); that is, this market was very toxic.
And the VPIN keeps going up: By 1:08 p.m., it is at
the 1% tail of the distribution (or 99% based on the
CDF)almost an hour and a half before the market
crashes at 2:32 p.m.
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High-Frequency Trading and Its Impact on Markets

Figure 5. E-Mini S&P 500 Futures and VPIN, 6 May 2010

Probability

E-Mini S&P 500 Market Value ($)

60,000

1.0
0.9

59,000
0.8
58,000

0.7

Market Value

0.6
0.5

57,000
CDF(VPIN)
56,000

0.4
0.3
0.2

55,000
VPIN
54,000

0.1
0
2:31 a.m.

53,000
9:55 a.m.

11:18 a.m.

1:12 p.m.

2:24 p.m.

2:48 p.m.

3:19 p.m.

4:02 p.m.

Source: Easley, Lpez de Prado, and OHara (2011).

The CFTCSEC report on the crash noted that

the book of buy orders in the e-mini were hollowing out all morning, and no one noticed because
HFTs kept coming in and putting in orders at
the bid, keeping prices up.2 Then, all of a sudden, the silicon traders reached their limits and
stopped buying. There was nothing in the book;
orders that had been there moved away in microseconds. Therefore, the market plunged. This
buildup of toxicity was captured by the VPIN,
suggesting it is a potent tool for monitoring markets going forward.
Interestingly, the Chicago Board Option
Exchanges Volatility Index (VIX) was completely
unstable during the crash. Its behavior before the
crash was also completely different from that of
the VPIN, as shown in Figure 6. The VIX did not
react until the market collapsed. This is not really
surprising: The VIX was not designed to pick up
this toxicity. In high-frequency markets, the risks
are different and so, too, must be the risk management tools.

What Can LFTs Do?

First off, for LFTs to take back their markets from
HFTs, they need a new attitude. LFTs cannot defeat
HFTs and cannot become HFTs. Investment managers and portfolio traders need to understand
May/June 2014

that markets are now different. I think part of

HFTs success in the past was the result of LFTs
waiting for things to go back to the way they were,
but they wont. LFTs need to learn new ways to
look at the data, and they need to be cognizant of
the new risks that arise in these markets.
Portfolio managers and traders also need to
have smarter brokers who can go head-to-head
with quantitative brokers. When quantitative brokers trade a eurodollar future, for example, they
do not put a trade in for a particular eurodollar
future. They look at all the eurodollar futures and
try to figure out the combinations in the spreads.
One of the things that they look for, interestingly
enough, is hidden liquidity. Smart brokers who
specialize in searching for liquidity and avoiding
a footprint are crucial for LFTs. The goal of LFTs is
to be invisible to the HFTs. Smart execution algorithms can help, but neither VWAP nor TWAP are
particularly advisable because their deterministic
nature means that both can be taken advantage of
by HFTs.
Figure 7 shows the tradeoff between volume horizon and the expected loss on the trade.3
Implementation shortfall, which measures transaction costs from the time a trader decides to trade
to the time he actually trades, is composed of a
liquidity component and a timing component.
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Financial Analysts Journal

Figure 6. The VIX and VPIN, 6 May 2010

Probability

Market Value ($)

1.0

42

0.9

40
CDF(VPIN)

0.8

VPIN

0.7

38
36

0.6

34

0.5
32

CDF(VIX)

0.4

30

0.3

28

0.2
VIX

0.1

26

0
24
12:00 a.m. 2:52 a.m. 5:45 a.m. 8:38 a.m. 11:31 a.m. 2:24 p.m. 5:16 p.m. 8:09 p.m. 11:02 p.m.

Source: Easley et al. (2011).

Figure 7. Tradeoff between Liquidity Risk and Timing Risk

Expected Trading Loss ($)
12,000

10,000

8,000

6,000

4,000
Probabilistic Loss
2,000

Timing Component
Liquidity Component

0
0

10,000

20,000

30,000

40,000

50,000

Volume Horizon

Trading immediately means liquidity costs will

be high. By waiting, liquidity costs will go down,
but timing risk will be higher because prices could
move in an unfavorable direction. Ideally, traders
need to find the point where the timing risk and
liquidity component are minimized.

24 www.cfapubs.org

Easley, Lpez de Prado, and I developed a

smarter VWAP that uses the big data toxicity
information in the market. To understand how
it works, consider a trade of 50,000 shares. If the
market is currently overrun with people who
want to sellthe market is imbalanced on the

2014 CFA Institute

High-Frequency Trading and Its Impact on Markets

sell sidethen a trader who wants to buy 50,000

shares has low liquidity costs. In contrast, if the
market is already full of traders who want to sell,
then liquidity costs will be high for a trader who
wants to sell because she is trying to take liquidity from a market that does not have liquidity.
Our trading algorithm uses the information in a
trade, combined with an estimate of the markets
current toxicity, to reduce trading costs. Figure 8
illustrates how quickly traders should trade when
they are buying in a selling market. Our algorithm
can outperform both standard VWAPs and volume participation rate strategies, which shows the
value that can be gained by portfolio managers by
using smarter trading tools.

Conclusion
We need to recognize that a new paradigm exists.
Markets are not just faster; they are different. LFTs
have to change; they do not have to be faster, but
they do have to be smarter. HFTs cannot survive
by trading only with other HFTs. Doing so has
driven some HFTs out of business.
Portfolio managers and traders need to think
about the high-frequency trading world expanding beyond trading to information. The same technology that can send orders so swiftly can also get
fundamental information more quickly than you

can. The rise of the silicon analyst might be an

interesting topic for a future presentation.

Question and Answer Session

Question: What role do exchanges play as
markets change?
OHara: Exchanges have to get smarter.
Exchanges have been catering to HFTs because
they generate so much volume for the exchanges.
Eurex gives the schematic of its matching engine
to anybody who wants it, so HFTs can build it into
their algorithms. But exchanges have to build better tools to monitor the risk that comes about in
this environment. Some exchanges are beginning
to think through new designs for trading platforms. Also, I believe regulators must get smarter,
and they are. The US SEC now has MIDAS, which
is basically a high-frequency trading package that
lets the SEC watch the market in the same way
HFTs do.
Question: What are your thoughts on the
transaction tax proposed in Europe to slow down
trading?
OHara: I am not a fan. My views are similar
to those of Harris, Ritter, and Schaefer (2014). I
believe it will make European markets less attractive to HFTs and potentially less attractive to all
traders because liquidity may be reduced. It wont

Figure 8. A Smarter VWAP

Expected Trading Loss ($)
12,000

10,000

8,000

6,000

Probabilistic Loss

4,000

Timing Component

2,000
Liquidity Component
0
0

10,000

20,000

30,000

40,000

50,000

Volume Horizon

Note: This picture is drawn for particular parameters for the model developed in Easley, Lpez
de Prado, and OHara (forthcoming).
Source: Easley et al. (forthcoming).

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Financial Analysts Journal

become a norm because the United States and

London wont do it. Weve already seen what happened in France and Italy when they instituted a
transaction tax. Their markets are down 20% in
volume. The reality is that youre going to want
to trade where liquidity is greatest. Although I do
not like transaction taxes, I believe some things
clearly do need adjusting in the high-frequency
trading world.
Question: Have HFTs helped improve liquidity?
OHara: Before high-frequency trading, there
was your friendly New York Stock Exchange
specialist, who earned a very good living providing liquidity. When we talk about how much
money HFTs make, we are talking about the price
for someone to provide liquidity in the market.
Liquidity costs are lower now than theyve ever
been. HFTs actually do provide a service: When
a trader sells, HFTs are buying. I believe that is a
valuable service to the markets.
Question: Could fees for excessive order cancelations slow down HFTs?
OHara: Futures markets have fees for excessive
cancelations. Equity markets traditionally have not
imposed them. Suppose you have an equity algorithm that is trying to find liquidity, and there are
50 different trading venues. Algorithms put orders
in these venues to see whether anything is there,
and if no liquidity is found, the algorithm cancels
the order. Searching for liquidity is not evil, so large
numbers of cancelations are not necessarily bad.
Similarly, in futures, when traders begin to move
in and across markets, they may be trying to hedge
their position in futures, given what they are doing
in the physical equities. In the exchange-traded
fund world, for example, a trader may be using the
futures to hedge all those underlying equities. So,
it gets complicated. The London Stock Exchange
has imposed a message cap, but the cap is so large
that it is rarely violated. The argument for setting
it so high was that anyone who trades derivatives
cancels a lot and anyone who trades in fragmented

markets, such as equities, cancels a lot as well. I do

believe excessive charges make sense because the
message traffic puts broker/dealer firms at a disadvantage. We have to build all kinds of capacity,
not for our clients trades, but for all these messages
because we have to keep every single message. But
how to structure these charges is not entirely clear.
Question: Why has it taken so long for the
concept of the volume clock to catch on?
OHara: The volume clock is not new. It goes
back to the 1960s, when such people as famed
mathematician Benoit Mandelbrot were writing
papers that suggested that volumes may be a better way to measure frequencies. It didnt catch on,
in large part because its hard to translate between
a volume clock and a time clock. If youre a money
manager, it is hard to move back and forth. What
has changed now is that the major players trade
on a volume clock. We dont know enough yet
about its statistical properties going forward, but
I believe that the volume clock is always going to
be a better-behaved distribution. It wont be a perfectly behaved distribution, but its statistical properties will be better.
Question: Describe the range of traders who
would be characterized as HFTs.
OHara: HFTs are a very broad group. A highfrequency trader is essentially a computer program that buys and sells with the lowest possible
latency. Latency refers to a delay in a system. When
we talk about it in trading, its essentially the delay
in getting an order from you to the exchange and
back. So, the smaller the latency, the faster the system is. High-frequency trading is now the bulk of
market making in most markets. At times in equity
markets, they have been up to 50% of the volume;
in futures and currencies, even more.
Most major hedge funds use high-frequency
trading. There are also specialized high-frequency
trading firms that trade on a proprietary basis.
This article qualifies for 0.5 CE credit.

Notes
1. See, e.g., Easley, Lpez de Prado, and OHara (2011, 2012a,
2012b, 2013, forthcoming).
2. CFTC and SEC, Findings Regarding the Market Events of
May 6, 2010 (30 September 2010): www.sec.gov/news/
studies/2010/marketevents-report.pdf.

3. See Almgren and Chriss (2000/2001) for more discussion

about these concepts.

References
Almgren, Robert, and Neil Chriss. 2000/2001. Optimal
Execution of Portfolio Transactions. Journal of Risk, vol. 3, no.
2 (Winter):539.

26 www.cfapubs.org

Easley, David, Soeren Hvidkjaer, and Maureen OHara. 2002.

Is Information Risk a Determinant of Asset Prices? Journal of
Finance, vol. 57, no. 5 (October):21852221.

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High-Frequency Trading and Its Impact on Markets

Easley, David, Marcos Lpez de Prado, and Maureen OHara.
2011. The Microstructure of the Flash Crash. Journal of Portfolio
Management, vol. 37, no. 2 (Winter):118128.
. 2012a. Flow Toxicity and Liquidity in a High-Frequency
World. Review of Financial Studies, vol. 25, no. 5 (May):14571493.
. 2012b. The Volume Clock: Insights into the
High-Frequency Paradigm. Journal of Portfolio Management, vol.
39, no. 1 (Fall):1929.
, eds. 2013. High-Frequency Trading: New Realities for
Traders, Markets and Regulators. London: Risk Books.
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CFA INSTITUTE BOARD OF GOVERNORS 20132014

Chair
Charles J. Yang, CFA
T&D Asset Management
Tokyo, Japan
Vice Chair
Aaron Low, CFA
Lumen Advisors
Singapore
CFA Institute President and CEO
John D. Rogers, CFA
CFA Institute
Charlottesville, Virginia
Saeed M. Al-Hajeri, CFA
Abu Dhabi Investment Authority
Abu Dhabi, United Arab Emirates
Giuseppe Ballocchi, CFA
Le Grand-Saconnex,
Switzerland
Heather Brilliant, CFA
Morningstar, Inc.
Chicago, Illinois

May/June 2014

Beth Hamilton-Keen, CFA

Mawer Investment Management Ltd.
Calgary, Alberta, Canada
Robert Jenkins, FSIP
London Business School
London, United Kingdom
James G. Jones, CFA
Sterling Investment Advisors, LLC
Bolivar, Missouri
Attila Koksal, CFA
Standard Unlu A.S.
Istanbul, Turkey
Mark J. Lazberger, CFA
Colonial First State Global Asset
Management
Sydney, Australia

Alan M. Meder, CFA

Duff & Phelps Investment
Management Co.
Chicago, Illinois
Matthew H. Scanlan, CFA
RS Investments
San Francisco, California
Jane Shao, CFA
Lumiere Pavilions Limited
Beijing, China
Sunil Singhania, CFA
Reliance Mutual Fund
Mumbai, India
Roger Urwin
Towers Watson Limited
Surrey, United Kingdom

Frederic P. Lebel, CFA

HFS Hedge Fund Selection S.A.
Founex, Switzerland
Colin W. McLean, FSIP
SVM Asset Management Ltd.
Edinburgh, United Kingdom

www.cfapubs.org

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