Foreword by Former U.S. Senator Ted Kaufman
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Introduction 1
Chapter 1: Broken Markets 7
Chapter 2: The Curtain Pulled Back on High Frequency
Trading 23
Chapter 3: Web of Chaos 45
Chapter 4: Regulatory Purgatory 67
Chapter 5: Regulatory Hangover 83
Chapter 6: The Arms Merchants 97
Chapter 7: It’s the Data, Stupid 111
Chapter 8: Heart of Darkness 125
Chapter 9: Dude, Where’s My
Order? 141
Chapter 10: The Flash Crash 151
Chapter 11: The Aftermath 177
Chapter 12: Killing the Stock Market That Laid the Golden
Eggs 195
Chapter 13: Call to Action 217
Appendix: Themis Trading Whitepapers
233
Index 289
Sal Arnuk is partner, cofounder, and co-head of equity
trading of Themis Trading, LLC, a leading independent agency
brokerage firm that trades equities for institutional money
managers and hedge funds. Arnuk has extensive experience in
equities trading and is an expert in electronic trading and market
structure. Prior to founding Themis in 2002, he was with
Instinet Corporation, where he headed the team responsible for
equity sales and trading for institutional money managers, for more
than 10 years.
His opinions are sought by leaders, regulators, market
partici-pants, and the media and are presented via white
papers and Themis’ widely read blog. He is a frequent speaker
at industry conferences, such as Trader Forum, Waters, National
Organization of Investment Professionals (NOIP), and Fusion IQ’s
Big Picture, on issues involving market access, algorithmic
trading, and other sell- and buy-side concerns.
He also provides expert commentary for media outlets
such as the Associated Press, BBC Radio, Bloomberg TV and Radio,
BNN, CNBC, Fox Business, NPR, Barron ’s, The New York Times, The
Wall Street Journal, USA Today, Time, Los Angeles Times, Bloomberg
News, Pensions & Investments, and Advanced Trading.
Arnuk earned an MBA in finance from New York University’s
Stern School of Business and a Bachelor’s degree in
finance from SUNY Binghamton University.
Joseph Saluzzi is partner,
cofounder, and co-head of equity trading of
Themis Trading, LLC. Saluzzi has extensive experience in
equities trading and is an expert in electronic trading and market
structure. Prior to Themis, he headed the team responsible for
equity sales and trading for hedge fund accounts at Instinet
Corporation for more than 9 years.
Saluzzi has provided analysis to regulators, including the
Securities and Exchange Commission and as a member of the Commodity
Futures Trading Commission’s new Subcommittee on
Automated and High Frequency Trading.
He has appeared or been quoted on market
structure issues by media outlets such as CBS’s 60 Minutes,
BBC Radio, Bloomberg Television and Radio, CNBC, Fox Business, BNN,
The New York Times, The Wall Street Journal, USA Today, Reuters,
Associated Press, Los Angeles Times, and Bloomberg News. Saluzzi
also has authored articles for Traders Magazine, Dow Jones,
Journal of Investment Compliance, and Journal of Indexes.
He earned an MBA in finance from the University of North Caro- lina
at Chapel Hill and a Bachelor’s degree in finance from New York
University.
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