News for hackers. Stuff that matters.

A comment on A High Frequency Trader's Apology, Pt 2. Parent comment

Re:A High Frequency Trader's Apology, Pt 2 by nasmorn on Tuesday May 08, 2012 @03:46AM (#3942684)
This is one of my favorite papers explaining possible problems with arbitrage. http://www.math.mcmaster.ca/~grasselli/ShleiferVishny97.pdf It is not directly applicable to HFT though.
[ Parent | on HN ]

There are no comments on this comment yet.