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• W3122276123 abstract "Michael Lewis’s recent book Flash Boys has resurrected the controversy concerning “high-frequency trading” (HFT) in the stock markets. While HFT has been important in the stock markets for about a decade, and may have already peaked in terms of its economic significance, it touched a nerve with a public suspicious of financial institutions in the wake of the financial crisis of 2008-2009. In reality, HFT is not one thing, but a wide array of practices conducted by technologically adept electronic traders. Some of these practices are benign, and some even bring benefits such as liquidity and improved price discovery to financial markets. On the other hand, there are legitimate grounds for the commonly heard complaint that “HFT is not fair.” Certain HFT practices such as co-location, flash orders, and enriched data feeds create a two-tiered financial marketplace, while other practices such as momentum ignition, spoofing, and layering are merely high-tech versions of traditional market manipulation. Finally, the creation of special order types such as “Hide Not Slide” shows the exchanges allowing their HFT clients to jump the queue of pricetime priority embedded in Regulation NMS and stock market practice. While the commonly-used technique of a cost-benefit analysis leads to equivocal or indeterminate results when applied to HFT trading activity in complex and often opaque © 2016 Steven McNamara * Assistant Professor, Business Law, Olayan School of Business, the American University of Beirut; BA, St. John’s College; Ph.D., Boston College; J.D., Columbia University School of Law. The author may be contacted at sm99@aub.edu.lb. He wishes to thank Professor John Boatright, participants at the 2015 meeting of the Canadian Law and Economics Association, and his AUB colleagues Ibrahim Jamali, George Namur, and Neil Yorke-Smith for discussion and comments during the course of preparation of the Article. Thanks also to Lamia Hariz for research assistance. All errors are his own. 72 MINN. J. L. SCI. & TECH. [Vol. 17:1 markets, a more basic ethic of fairness grounded in commonly accepted rules of financial market behavior illustrates that certain HFT practices are indeed unfair. This Article draws on the legal, financial, and business ethics literatures to illustrate exactly how certain forms of HFT are unfair, and proposes four core principles to guide HFT activity and its regulation. I. The Ecosystem of the Equity Markets 77 A. The Pre-Regulation NMS Landscape 78 B. Regulation NMS 84 C. Overview of the Current Equity Markets 92 II. Problematic Varieties of High Frequency Trading ......... 98 A. The Origins of HFT: Algorithmic Trading 99 B. Co-location 101 C. Flash Orders 105 D. Direct and Enriched Data Feeds 110 E. Spoofing, Layering, Quote Stuffing, etc.: HFT as Market Manipulation 114 F. Special Order Types: “Hide Not Slide,” ISOs, and Jumping the Queue 117 III. An Ethics of Algorithmic Trading 121 A. Costs and Benefits of HFT 127 B. The Ultimatum Game, Reciprocity, and the Dutch Book 134 C. Freedom from Misrepresentation 141 D. A Level Playing Field 143 E. Institutional Integrity 145 Conclusion 150" @default.
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• W3122276123 title "The Law and Ethics of High-Frequency Trading" @default.
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