The first section of this which relates HFT to one-pass algorithms is kind of useless. Online estimation algorithms are much more broadly applicable than that, and I'd expect that their relevance to HFT would be immediately obvious. I've never worked in HFT, but I've probably written the online variance algorithm at 3 of 4 companies I've worked. If you care about metrics such as "how quickly are each of my customers sending me requests?", then this stuff is relevant to you.<p>But more to the point, is there anyone in these fields who <i>doesn't</i> know this stuff? At a basic level, the things that you can do a really good job estimating in an online way are closely related to sufficient statistics, which every undergrad stats course should cover. And hopefully anyone actually involved in writing HFT systems has way more stats background than that -- right?