"Insights Into High Frequency Trading From The Virtu Initial Public Offering"

That's the title of the 5 page PDF linked in MoneyBeat's "Virtu’s Losing Day Was 1-In-1,238; Odds Say It Shouldn’t Have Happened at All":

When the high-frequency trading firm Virtu Financial LLC published details about how the firm operated earlier this year, one fact stood out: The firm had only “one losing trading day” over 1,238 days of trading.

Virtu release the information as part of its regulatory filings to offer stock to the public.

Unfortunately for Virtu, the planned IPO also coincided with the publication of “Flash Boys,” Michael Lewis’s vehemently anti-high-frequency trading book. Amid swirling negativity around the industry, Virtu opted to postpone the IPO indefinitely in April.

However, the disclosure remained the subject of fascination to Greg Laughlin, a professor of astrophysics at the University of Santa Cruz.

Using Virtu’s disclosure and data from Nasdaq, he recently completed a short academic study of how a firm like Virtu could be so consistently profitable. “The portrait drawn from the newly public data concerning Virtu’s operations is largely at odds with the currently popular viewpoint surrounding HFT,” he wrote. Here is a link to the study.

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