School of Social and Political Science

Research project type

A Material Sociology of High-Frequency Trading

Principal investigator

Principal investigator

Research team



Ultrafast, automated high-frequency trading or HFT is a vital part of today's financial markets. You can view a video above of Donald describing our research to a Chicago traders’ news service, or read our working papers below.

Donald's book on HFT, Trading at the Speed of Light: How Ultrafast Algorithms are Transforming Financial Markets (also available on audiobook) was published by Princeton University Press in 2021. You can read an early review by Diane Coyle

Project goals

Thirty years ago, most financial trading took place either face-to-face or on the telephone. Now, trading is mainly electronic, and, increasingly, takes place among computer algorithms rather than directly involving human beings.

Our project is examining how this epochal change gave rise to high-frequency trading, an astonishing high-tech domain in which time is measured in nanoseconds. In a nanosecond (a billionth of a second), the fastest signal – light in a vacuum – can travel only around 30 cm, or roughly a foot. Getting as close as possible to the speed of light has become an important practical matter in HFT.

Among the issues we are examining are how HFT algorithms make their decisions to buy and sell, the very big differences among markets in the extent of HFT within them, and the role of government regulation in the evolution of HFT.

We are also investigating how HFT compares to other broadly similar activities, such as cryptocurrency mining and the ‘real-time bidding’ that plays such an important role in today's digital advertising.

Our project, which runs from January 2018 to December 2022, is funded by the UK Economic and Social Research Council.

Our research in the news

How we're collecting data

The primary way in which we are collecting data is by interviewing people who work in high-frequency trading and analogous activities or for electronic trading venues, as well as those who have other market roles (for example, as broker-dealers), who regulate trading and who supply trading firms with software, hardware and communication links.

We are also taking part in events such as industry meetings and training courses.


We will fully respect the anonymity and confidentiality of participants in the study, as well as the commercial confidentiality of the firms for which they work -when, for example, we speak to people in automated trading firms, we are careful never to probe for ‘secret sauce’.

Those who take part in this study are guaranteed that nothing will ever be attributed to them or to their organisations in anything we write or say, unless they give us their explicit permission to do so.

For more information, see our Participant Information Sheet

Project Working Papers

Spoofing: Law, Materiality and Boundary Work In Futures Trading, Donald MacKenzie, Economy and Society, January 2022

Opinion: High-frequency trading brings real benefits but still could wind up hurting the stock market – Here's why, Donald MacKenzie, Dow Jones MarketWatch, June 2021

How to Make Money In Nanoseconds, Donald MacKenzie, Princeton Ideas, May 2021

The War among Algorithms, Donald MacKenzie, Berfrois, April 2021

Market Devices and Structural Dependency: The Origins and Development of 'Dark Pools' Donald MacKenzie, May 2019

Pick a nonce and try a hash [bitcoin mining] Donald MacKenzie, April 2019.  Draft article for the London Review of Books

How Fragile Is Competition in High-Frequency Trading? Donald MacKenzie, March 2019, published on the Tabb Forum

Can Trading's Playing Field be Leveled? Donald MacKenzie, February 2019, published on the Tabb Forum

How Algorithms Interact: Goffman's 'Interaction Order in Automated Trading, Donald MacKenzie, June 2018

Material Signals: A Historical Sociology of High-Frequency Trading, Donald MacKenzie, May 2018, published in the American Journal of Sociology

Aren't They Scared? Donald MacKenzie, January 2018. Draft article on the VIX (Volatility Index) for the London Review of Books

A Material Political Economy: Automated Trading Desk and Price Prediction in High-Frequency Trading, Donald MacKenzie, November 2016

    Header photo shows microwave towers of the kind used in high-frequency trading. Image courtesy of Bird&Renoult.

    Please check back for details of upcoming events.