Broken Markets

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.    

Foreword by Former U.S. Senator Ted Kaufman     x
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