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International Workshop Series: Investigating High-Frequency Trading. Theoretical, social and anthropological perspectives.

Copenhagen, Konstanz, Paris 2014-2015 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.

Workshop 1: Copenhagen Business School | Denmark | 24-25 November 2014 Theme: "HFT sociality, crowd psychology and dynamic collectives"

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 workshop, intended at investigating HFT sociality and crowd dynamics. 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? Location: Copenhagen Business School, Denmark –Porcelænshaven 18B, room S.023, 2000 Frederiksberg, Denmark. Time: 24-25 November 2014 Please register with Tobias Brask: tb.mpp@cbs.dk, Only limited places are available. Organized by: Sapere Aude research project on 'Crowd Dynamics in Financial Markets'  Day 1 Monday 24 November 9:30–10:00 Introduction 10:00–11:00
 'Rhythms of the Market Crowd: A Lefebvrean Rhythmanalysis of Financial Markets' Kristian Bondo Hansen
11:00–12:00  'Trading Machines and Communication in Finance: Do Markets Still Chat in the Era of Robots?' Alex Preda 12:00–13:00: Lunch Break 13:00–14:00
 'A Material Sociology of High-Frequency Trading' Donald MacKenzie
14:00–15:00
 'High Frequency Trading and Price Discovery in the UK Equity Market' Evangelos Benos
15:00–15:30: Coffee Break 16:30–17:30
 'The Varieties of Affective Relations in Socio-Technical Collectives: A Study of Automated Trading' Robert Seyfert
 Day 2 Tuesday 25 November 9:00–10:00
 'Where do Electronic Markets Come From? Regulation and the Transformation of Financial Exchanges' Yuval Millo
10:00–11:00
 'The Sociology of Algorithmic Trading and Market Structure Regulation' Nathan Coombs
11:00–12:00
 'Taming markets? A Philosophical Perspective on The Regulation of High-Frequency Trading' Marc Lenglet
12:00–13:30: Lunch Break 13:30–14:30
 'From Crowds to Queues: How Technology Transformed the Nature of Finance' Juan Pablo Pado-Guerra
14:30–15:30
 'Crowding of Adaptive Strategies: Signals and Noise in High-Frequency Trading' Ann-Christina Lange
15:30–16:00: Coffee Break 16:00–17:00
 'Crowded Networks: Microwave Technology and the Nature of Exchanges in the HFT world' Alexandre Laumonier


Last updated by: Tobias Brask 13/04/2015