High-frequency trading lecture

Now that I’ve been asked to give a lecture on the topic of high-frequency trading, I finally had the opportunity to shed a bit of light in a slightly more consistent way on the theoretical and empirical findings the literature has produced over the last seven years. It was a good feeling going back to some ‘old’ papers. Although, I have doubt that we answered all questions that were hanging in the air. Please enjoy. HFT Theory, HFT Empirics