Albert Wenger

But

It was interesting because I graduated from college in 1990, and computerized trading was a tiny, tiny fraction.

It was in its infancy compared to what it is today.

And some of the things I wrote about in this thesis actually have since become true in terms of what the impact of it has been on volatility.

Yeah, yeah.

I mean, it was a very theoretical approach to using sort of a game theoretic model of two types of traders, people who trade with information and people who trade for liquidity.

But what that model allowed you to explore was the difference between an open and a closed order book.

Today, one of the biggest structural issues we have in the market is that even though we're trading often with open order books, many of the orders in these open order books are basically phantom orders.

They're orders that can be withdrawn from the market at millisecond speeds and so at no cost to the person who had originally placed that order.

And so we actually, in a way, have the worst of both worlds.

So the reason I have an open order book is because it provides real signal about where the market is at and that can help to reduce volatility.

So in the model that I had, having an open order book reduced volatility relative to having a closed order book.

But now we have the simulation of an open order book without actually having one because so many of the orders can just evaporate.

And so I think there's a lot we still need to do to get that right, as it turns out.

Yeah, I think in general, algorithmic trading will be problematic for markets.

Yeah, absolutely.

Interesting.

Well, so...

In my thesis, I look at a couple of questions.

One is the question of firm size, and that's obviously continued to be a really interesting question as we now see some mega corporations in terms of at least their reach, not necessarily their employment.