Haim Bodek, the quant trader who was featured in the book “The Dark Pools” has written a book on what he thinks is the main problem with HFT. This content is more like a collection of articles and blog posts packaged as a book. Despite such a structure, the author focuses on ONE issue through out,i.e., “Special order types”, that he claims as the single most important demon behind HFT dominance.

(This is the commencement address David Foster Wallace gave to the graduates of Kenyon College in 2005. It captures his electric mind, and also his humility–the way he elevated and made meaningful, beautiful, many of the lonely thoughts that rattle around in our heads. The way he put better thoughts in our heads, too. ) (If anybody feels like perspiring [cough], I’d advise you to go ahead, because I’m sure going to.

This book introduces stochastic calculus in a very intuitive sense not burdening the reader with heavy math from measure theory and functional analysis. The author in the preface says that the reader is deemed to have passed an examination based on the book if he/she can understand the derivation of Black-Scholes that is present in the last chapter of the book. If you pick up any standard text book that proves Black-Scholes , one needs to go through a ton of math before understanding Ito’s lemma that is one of the major tools in deriving the price of a call options.

This book has been one of the MOST challenging books to work through. I had tried going through this book many times in the past but could not get past the first 10 pages of the book. The very first concept that is mentioned in the book is the extension of measure from a semi-algebra to a sigma algebra. The proof was just beyond me for the simple reason that my fundamentals were shaky.

The author starts off his book using the example of flash crash and an e-bay bidding algo wreaking havoc. He cites these examples as an indication of the extent to which multiple algos dedicated to ONE single task, i.e.bots, are being used in various domains. Obviously the start of algos and heightened excitement for it came from Wall Street. But the author tries to give a journalistic account of all the various places where bots are being used.