Modern Electronic Market Making

Is there any good recently written material or books on this topic?

Mostly interested in market making in index futures.

Thanks

 

Try SSRN.

 

Thanks for reminding me about SSRN. Totally slipped my mind.

 

If you find anything, please post. A long time ago, I was doing clerical work for a Nasdaq marketmaker. Curious how new electronic market making actually works, especially equity index futures.

 

Definitely will if I find anything worth while.

 

The Tradeworx report to the SEC is worthwhile reading. So is the SEC's findings on the Flash Crash. And there is also some decent work on flow toxicity coming from Marcos Lopez de Prado as well.

Lots of good stuff out there.

 

Social Science Research Network?

and maybe advancedtrading.com has some pointers on their site

 

Thanks. I will look into his papers. I took a quick glance, and not sure if this is what I am looking for, but need to read them before I know for sure.

 

High Frequency Trading and the New-Market Makers

Check the works cited for further reading.

 

Joush Lukeman's book "The Market Maker's Edge", he was a Nasdaq Market Maker for a Tier One Firm. I found his information to be transferable to any type of Market, for $3.00 off Amazon's old books it's worth the price.


Active Trader has a old article how the NYSE Specialist makes a Market in the new electronic world of trading. That's a couple of years ago, are Markets that different from Stocks and Options to Forex and Futures?