26th August 2014

Investigating High-Frequency Trading

Theoretical, social and anthropological perspectives

An International Workshop Series

Call for papers

Organised by:

Robert Seyfert, Postdoctoral fellow, Cluster of Excellence, Konstanz University.

Marc Lenglet, Lecturer in Management, European Business School Paris.

Ann-Christina Lange, Assistant Professor, Copenhagen Business School.

Aim of the Workshops

High-Frequency  Trading  (HFT)  has  recently  surged  in  cash-equities  markets  as  a  practice

fostered by technological innovations on the one hand, and new regulations fragmenting market liquidity on the other hand: namely Regulation NMS in 2005 in the US, and the Markets in Financial Instruments Directive in 2007 in the EU. Since then, HFT has been the focus of numerous controversies, recently culminating in a best-selling book by Michael Lewis (2014a & 2014b) denunciating a situation where rigged markets are now unable to perform their function in the economy.

Even if estimated HFT revenues amount to approximately 2 billion dollars a year (Bloomberg, 2013) – less than a single bank’s annual bonuses (see Pardo-Guerra, 2014), HFT, as an industry, remains especially secretive. If the general principle of HFT is now well understood, there still are very few studies focusing explicitly on HFT, and trying to make sense of this practice through an in-depth inquiry of its internal logics. As with any “black-boxed” object, HFT is a difficult area to investigate, even with a history of successful access to industry actors (e.g. MacKenzie, 2014).

To date, the majority of investigative texts have been produced by sociologists working in the social studies of finance tradition, and focus on dedicated aspects such as the reconfiguring effects of market automation on social structures (Beunza & Millo, 2013), the historical development of HFT (MacKenzie, 2013), the differentiated contexts giving rise to HFT practices (MacKenzie,  2014)  or,  in  a  slightly  different  perspective,  on  the  embedded  politics  of computation borne by such object (Golumbia, 2013). There is indeed still plenty of room for complementary and alternative studies on HFT: hence this series of three workshops, intended at investigating HFT as a practice (broadly understood), and surveying its manifold dimensions through thematic questioning, and gathering scholars from a range of disciplines, sharing HFT as a fieldwork.

Each workshop last two days, and will focus on different themes. In selecting the themes, we tried to cover a range of areas of interest, with the intention to offer a coherent though differentiated framing between the three sessions. Our idea is to convey  one or two guest speakers for each  of the  three  workshops,  and gather every  six  months so  that  workshop participants can benefit from a series of comments and present successive versions of the work in progress, should they be willing to do so. The number of participants will be limited (10 to 15) so as to foster in-depth questioning.

Confirmed participants: Donald Mackenzie (Edinburgh University), Juan Pablo Pardo-Guerra (London School of Economics), Yuval Millo (University of Leicester), Evangelos Benos (Bank of England), Nathan Coombs (University of Edinburgh), Alexandre Laumonier (Belgium), Alex Preda (King’s College), Christian Borch (Copenhagen Business School).

We invite abstract submission from scholars working on HFT in relation to one or all of the following themes, however attendance to all workshops is not mandatory.

Deadline for abstract submission:  September 30 2014. Abstracts no longer than 500 words should be submitted to Ann-Christina Lange ala.mpp@cbs.dk.


Workshop 1 – Copenhagen Business School, Denmark – 24-25 November 2014

Theme: “HFT sociality, crowd psychology and dynamic collectives”

In the first workshop we will discuss the recent technological development in finance as a transition from electronic ‘hand’ trading to automated decision-making. With the increase of HFT practices more and more trading volume is handled by anonymous and machine-based order execution (UK GOS, 2012). This is defined as impersonal efficiency (Beunza et al., 2011) at the expense of human trading floors, which indicates the elimination of the crowd-like emotional and affective qualities in favor of rational machinelike efficiency markets. This workshop investigates the changing relation between crowd psychology on the one hand and financial activities on the other hand, when such activities are increasingly based upon automated or computer-based practices, where the involvement of human beings is reduced to a mere expression.

(a) The psychology of HFT

Since the eruption of the financial credit crisis in 2007, a growing attention has been paid to financial markets and their intertwined relation to crowd psychology and other collective dynamics. First, we will discuss how HFT traders themselves perceive of the social and make use of crowd psychology. This asks what assumptions might be written into the algorithms. In what way is the social folded into the machine? Some HFT strategies perform highly complex randomization functions coupled with econometrics to optimize the size and execution times. Other types of HFT strategies profit from identifying and anticipating such trades (known as momentum ignition and scalping). What kind of psychology is implied by these algorithmic practices? This also relates to questions of herding, imitative fashions and crowding in HFT: Does the increase in speed and volume amplify crowd effects in the market? Other questions might include: What kinds of feedback loops are created inside the black-box systems and outside itself in the market as a whole?

(b) Dynamic collectives & machine learning

HFT represents a complex trading system that operates at, or beyond, the limits of human

response times – towards the speed of light. Execution of trades now takes place in 740 nanoseconds. This theme covers such processes by bringing together post-human (media) theory, software studies (e. g. Vehlken, 2013) and philosophy (e. g. Thacker, 2004) in order to think about HFT algorithms as more than simply an automated rule, but also as a social space defined by crowd dynamics and other collective dynamics? One way is to explore how the procedures of swarming techniques could be understood in relation to the functioning and interaction between different classes of HFT algorithms.  A related question would be: Can different classes of algorithms be defined as species (autonomous non-human entities) as proposed by Wilkens and Dragos (2013), and if so, can we talk about different generations of algorithms and accordingly different HFT practices?


Workshop 2 – University of Konstanz, Germany – 22-23 June 2015

Theme: “On the cultures of HFT, and their regulations” 

Commonly, HFT is defined as a form of trading that remotely operates from co-located servers near trading platforms. Such definition leads to the assessment that it is a globalized type of trading, where the location of individual actors are irrelevant for the actual trading activities. Instead of spatial localities, actors are differentiated by temporal differences: for instance they are identified as high or low latency traders (Zubulake & Sang 2011). In addition to such disregard for local cultures, current research and debate almost entirely focuses on the cash equity markets in the U.S without taking into the account the possibility of different markets with different political regulations, regional differences and interaction in local networks. In this workshop experts in the field will discuss the various differences in different regions, analyzing various types and forms of HFT, and examine if and how they might be related to different cultures of HFT. We will focus on a range of topics related to a more general discussion of the cultures of HFT.

(a) The geo-economics of HFT

The aim of this workshop is to compare research and field notes from various regions with extensive populations of proprietary HFT traders (for instance Chicago, Amsterdam, New York, Singapore, Hong Kong). We might examine the following questions: Can we identify differences of  HFT  in  different  cities,  countries  and  regions?  What  type  of  communication  networks between different HFT companies (such as EPTA) can be identified and do they have specific types of communications. For instance what type of regular local meetings exist (such as NYC Algorithmic Trading). Likewise, are there blockages of information flows of information and personnel, for instance by the (perhaps implicit and informal) conventions to not headhunt competitors’ employees, etc.? What are the aims of such groups and how do they attempt to influence public perception, political regulation and the operations at trading venues.

(b) The geo-politics of HFT

In extension to the previous section of this workshop, we are interested in the relationships between  trading  companies,  political  regulators  and  exchanges.  This  part  of  the  workshop focuses on what MacKenzie has called – for the US market – the “hinge” connecting HFT with developments in trading venues and political regulation of the SEC (MacKenzie 2014). In a more general way, we will ask if and how different political regulations shape and affect HFT in different countries or regions in the world. In this context, regulation should not be limited to political actions by lawmakers but also be extended to the various specifications, requirements and guidelines of trading platforms in a context where liquidity sources are fragmented. Furthermore, discussions should include a wide variety of cases, for instance the discussion around Mifid I+II in Europe.

(c) Big data and HFT

This workshop will also discuss the current debate on Big Data and its relevance for HFT. Aside from the focus on speed and reliance in connectivity, the focus of HFT firms very often is on the access and use of high-frequency data  (Brownlees & Gallo 2006). Continuous updates and upgrades in data feeds have retroactive effects in that they very often require a reformatting of historical data into the present state. We will look at strategies, techniques and practices of cleaning and normalizing data, and examine the consequences of such normalization processes for market activities as a whole using Foucault’s theory of normalization and Latour’s concept of purification practices. Other questions might include the following topics: How do market actors manage to make sense of their technology, from a normative perspective? How do they react when HFT tools do not work correctly or get disrupted?


Workshop 3 – European Business School, Paris – 23-24 November 2015

Theme: “HFT subjectivities and financial narratives”

In this last workshop, we will question issues relating to the language used in HFT communities and the related subjectivities.

(a) Expertise and communication in HFT

HFT involves a long list of experts from different fields with different types of knowledge,

expertise and skills. Their activities are based on different languages: from the formulation of trading strategies, to the modelling of mathematical formulae, from developing computational codes to the uttering of operations on trading desks. All of these operations require mutual translations, reformulations, de-coding and re-coding: thus, practitioners in HFT firms very often see the diffusion of ideas and knowledge among the different experts (programmers, traders and quants) as one of the main hurdles in their industry. In this workshop we will talk about the challenges in the communication between those experts, the different languages and codes they use, and the way they translate, control and correct them.

(b) Language, narratives and imaginaries in HFT

From outside of the industry, issues and topics relating to HFT might seem difficult to understand, or even be related with a reality that is purely fictitious: indeed, what does it mean to trade at speeds that a human mind can certainly conceive of, but in no way get to experience from an empirical perspective? Here, we discuss the narratives and imaginaries created by and around HFT practices, and the relating controversies: fictions such as liquidity or viscosity, and the devices allowing for their identification. As such, HFT develops thanks to a series of fictions that might well be regarded, in Benthamian terms, as the privilege of a ruling few over the “people” (the rest of non-HFT market participants).

(c) Subjectification issues in HFT

HFT  subjects,  in  the  end,  have  a  reduced  access  to  market  because  of  all  the  mediations necessary to just act in such arena. Often, HFT operators lose grip on their tools contributing to the shaping of market reality. What is at stake here is the ability of HFT subjects to make sense of the  objects  sitting  at  the  core  of  market  reality,  and  the  consequences  of  their  actions.  If operators are responsible of their actions, how does such responsibility materialize in a context where something acts on his behalf, while at the same time he remains in no capacity to access the spaces where the delegated act takes place? How is it possible for him to understand, accept and acknowledge responsibility issues? How does HFT modify the way we can conceive of the subject/object debate, and what are the consequences of HFT on representation?

Workshop 1 is funded by the research project on ‘Crowd Dynamics in Financial Markets’ based at Copenhagen Business School. For updates about the workshops please visit the website: http://info.cbs.dk/crowds.


Beunza, D., MacKenzie, D., Millo, Y., and Pardo-Guerra, J.-P. (2011), “Impersonal efficiency and the dangers of a fully automated securities exchange”, review commissioned as part of the UK Government’s Foresight project, The Future of Computer Trading in Financial Markets.

Beunza, D. & Millo, Y. (2013), “Folding. Integrating algorithms on the floor of the NYSE”, working paper.

Bloomberg  (2013),  “HFT  Revenue  to  Increase  as  Volume  Rebounds,  Tabb  Predicts”.  See http://www.bloomberg.com/news/2013-02-05/hft-revenue-to-increase-as-volume- rebounds-tabb-predicts.html.

Brownlees,  C.T.  and  Gallo,  G.  M.  (2006),  “Financial  Econometric  Analysis  at  Ultra-High Frequency: Data Handling Concerns”, Computational Statistics & Data Analysis, 51, 2232 – 2245.

Golumbia, D. (2013), High-frequency trading: networks of wealth and the concentration of power, Social Semiotics, 23(2), 278-299.

Lewis, M. (2014a), Flash Boys: A Wall Street Revolt. New York: Allen Lane.

Lewis, M. (2014b), “The Wolf Hunters of Wall Street”, New York Times, 31st March.

MacKenzie, D. (2013), “Mechanizing the Merc: The Chicago Mercantile Exchange and the Rise of High-Frequency Trading”, working paper.

MacKenzie, D. (2014), “A Sociology of Algorithms: High-Frequency Trading and the Shaping of Markets”, working paper.

Pardo-Guerra, J.-P. (2014), “Why Michael Lewis got it wrong”, blog post, socfinance, 3rd  May [http://socfinance.wordpress.com/2014/05/02/why-michael-lewis-is-wrong].

Thacker, E. (2004), “Networks, Swarms, Multitudes”, CTHEORY, a142a 5th  May [net reference: http://www.ctheory.net/articles.aspx?id=422]

UK GOS (2012), The Future of Computer Trading in Financial Markets. An International Perspective. London: Government Office for Science.

Vehlken, S. (2013), “Zootechnologies: Swarming as a Cultural Technique”, Theory, Culture & Society, 30(6), 110–131.

Zubulake, P. & Sang, L. (2011): The High Frequency Game Changer How Automated Trading Strategies Have Revolutionized the Markets, Wiley & Sons: Hoboken N.J.