External Resources

Curated links to papers, articles, videos, and discussions on latency and market microstructure.

This is a living collection of external content worth reading. Updated regularly.

Academic Papers

Academic Papers on Latency & Market Microstructure Key research papers exploring how latency affects market outcomes. Foundational Papers The High-Frequency Trading Arms Race Budish, Cramton, Shim (2015) - Quarterly Journal of Economics Shows how speed competition creates socially wasteful arms race. Proposes frequent batch auctions as alternative. Key finding: 1 microsecond advantage → $75,000/year profit for single symbol Mechanism: Queue priority capture The Flash Crash: High-Frequency Trading in an Electronic Market CFTC-SEC Report (2010) ...

Industry Articles & Blog Posts

Industry Articles & Blog Posts Practitioner perspectives on latency, trading infrastructure, and market microstructure. Exchange Engineering Coinbase: Building a Real-Time Trading Engine Deep dives on matching engine architecture, latency optimization, and infrastructure. Binance: Technology Behind High-Performance Trading Engineering posts on handling millions of trades/second. Jane Street: OCaml and Low-Latency Systems Functional programming approaches to trading systems. Infrastructure & Networks Beeks Financial Cloud: The Geography of Latency Proximity hosting, network paths, and latency measurement. ...

Videos & Talks

Videos & Conference Talks Presentations on latency, HFT, and market microstructure. Academic Talks Eric Budish: The High-Frequency Trading Arms Race Chicago Booth, 2015 The paper that changed how economists think about latency competition. Explains why speed races are wasteful and proposes frequent batch auctions. Key insight: Competition for queue priority creates negative-sum game Maureen O’Hara: Market Microstructure in Practice Various conferences Overview of how market structure affects price discovery and liquidity. ...

Online Discussions

Online Discussions & Communities Where practitioners discuss latency, trading infrastructure, and market microstructure. Twitter/X Key Accounts to Follow: Researchers: @ericbudish - HFT arms race research @matt_levine - Bloomberg columnist on markets @riskReversal - Market structure commentary Crypto/MEV: @hasufl - MEV research @bertcmiller - Flashbots @gakonst - Paradigm research Infrastructure: Various exchange engineering teams Trading firm tech accounts Reddit r/algotrading Algorithmic trading discussion including latency optimization. r/quant Quantitative finance including market microstructure. ...