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Book review

High-frequency Trading

References

  • Durbin, M., All About High-Frequency Trading, 2010 (McGraw-Hill: New York).
  • Kirilenko, A., Kyle, A., Samadi, M. and Tuzun, T., The flash-crash: The impact of high-frequency trading on an electronic market. Working Paper, University of Maryland, College Park, 2011.
  • MacKenzie, D., A sociology of algorithms: High-frequency trading and the shaping of markets. Submitted to Am. J. Sociol, 2014. Available online at: www.sps.ed.ac.uk/staff/sociology/mackenzie_donald (accessed 19 January 2015).
  • Lewis, M., Flash Boys: Cracking the Money Code, 2014 (Penguin: London).
  • Mandelbrot, B., Comments on: “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” by Peter K. Clark. Econometrica, 1973, 41(1), 157–159.10.2307/1913890
  • Rebonato, R., How derivatives and risk models really work: Sociological pricing and the role of co-ordination. SSRN Working Paper, 2013. Available online at: http://ssrn.com/abstract=2365294 ( accessed 16 January 2015).
  • Tufte, E.R., Beautiful Evidence, 2006 (Graphic Press LLC: Cheshire, CT).

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