Greg Laughlin is a professor at the University of California, Santa Cruz (Department of Astronomy and Astrophysics). I came to know his work when I started to study the microwave networks used to speed the flow of market data. Laughlin, Joseph Grundfest and Anthony Aguirre published “Information Transmission between Chicago and New York” in 2013, focusing on the “latency decrease attributed to line-of-sight microwave networks” – an interesting insight into the price correlations between New York equities and Chicago futures related to the last technologie, very helpful to understand what the fastest traders in the world do. Greg Laughlin also has a blog (I’ll talk about it in Part V of the microwave series) and wrote this wonderful piece, “Third Data Server From the Sun”.
Laughlin’s interest in market microstructure and HFT led him to analyze the legal files given by Virtu to he SEC when the firm tried an IPO, and wrote a short study titled “Insights Into High Frequency Trading From The Virtu Initial Public Offering”. Curiously, this study hit the news recently, so Greg Laughlin slightly updated it. The new version is here. “At time scales where the finite speed of light is a consideration, equity HFT consists largely of market making, accelerated by arbitrage of fleeting intermarket price discrepancies and by predictive models“, Laughlin writes. That’s why some HFT firms need microwave networks. Market making is hard.