I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems.
I have done research about this topic and found some valuable nuggets here:
Extreme Value Theory and Fat Tails in Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.
Algorithmic Trading and DMA
However, as I see, algorithmic trading is an extremely hidden topic. Therefore, I really would appreciate from you as financial professionals, a hint about papers about risk managment in hft/algorithmic trading/blackbox trading!