On 6 May 2010, major American stock indices and stock index futures
nosedived by more than five percent before sharply recovering in less than 30
minutes. Since that infamous flash crash, high frequency traders (HFTs) have
drawn the attention of regulators, exchanges and market participants, despite
the fact that the crash was not triggered directly by HFTs, according to an
official joint report released by the US CFTC and SEC. Nonetheless,
fragmentation of trading venues and the establishment of the US Regulation
National Market System and the European Union’s Markets in Financial
Instruments Directive (MiFID) in 2007 requiring brokerages to find the best
execution for customers, have led to the explosive growth of HFTs.
