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Forgot most important - programs Index vs. basket programs are typical HF arbs. Because they go vapor quickly, that is true. But most of all because the execution is what brings in the green bills. Information structure on constituants and index are not the same. That is what makes the...

Hi, first post :) To my knowledge, reference to high frequency *analytics* is mostly of interest to academics and researchers, who can now study market microstructure matters on a tick-by-tick scale, which result in new implications for risk management, dynamic hedging, agents behavior, etc...