Chasing the Same Signals : How Black-box Trading Influences Stock Markets from Wall Street to Shanghai.
Conventional wisdom suggests that markets are efficient, random walks and that stock prices rise and fall with the fundamentals of the company. How then have black-box traders prospered and how do they exploit market inefficiencies? Are their strategies on their last legs or will they adapt to the n...
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| Format: | eBook |
| Language: | English |
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Chichester :
Wiley,
2012.
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Table of Contents:
- Cover; Contents; Title page; Copyright page; Dedication; Acknowledgments; CHAPTER 1: The Canary in the Coal Mine; THE SIGNAL OF IMBALANCE; THE CROWDED TRADE EFFECT; THE BLACK-BOX PHENOMENON; THE EVOLUTION OF QUANTS; WHAT SIGNALS ARE THEY CHASING?; THE SAME SIGNALS; CHAPTER 2: The Automation of Trading; THE LEGEND OF DoCoMo MAN; COMPUTER-TO-COMPUTER TRADING; THE LIBERALIZATION OF U.S. EQUITY MARKETS; THE IMPACT OF TECHNOLOGY; A SYSTEMATIC INDUSTRY; CHAPTER 3: The Black-Box Philosophy; THE MARRIAGE OF SCIENCE AND ECONOMICS; THE CULTURAL DIVIDE; THE BLACK-BOX COMMUNITY; THE COMING OF AGE.
- CHAPTER 4: Finding the FootprintSTATISTICS AND ARBITRAGE; THE LAW OF LARGE NUMBERS; INSIDE THE ORDER BOOK; A GAME OF MILLISECONDS; LIQUIDITY PROVIDERS AND MARKET EFFICIENCY; CHAPTER 5: Disciples of Dispersion; ECONOMETRIC RESEARCH; MARKET-NEUTRAL STRATEGIES; WINNERS AND LOSERS; RISK FACTOR MODELS; THE LEVERAGE EFFECT; THE DISPERSION EFFECT; CHAPTER 6: The Arms Race; THE SUPPLIERS AND DEMANDERS OF LIQUIDITY; THE SIGNIFICANCE OF MARKET STRUCTURE; THE SIGNIFICANCE OF TRANSACTION COSTS; THE ERA OF ALGOS; THE FRAGMENTATION OF LIQUIDITY; THE LONG TAIL OF MARKET IMPACT.
- CHAPTER 7: The Game of High FrequencyTHE MOST ACTIVE INVESTORS; THE SPREAD; PREDATORS, SPECULATORS, OR INVESTORS; THE COMPETITION FOR LIQUIDITY; CHAPTER 8: The Russell Rebalance; THE RUSSELL RECONSTITUTION; THE IMPACT OF TRACKING RISK; THE GUARANTEED TRADE; THE RUSSELL EFFECT; THE CLOSING PRICE; CHAPTER 9: The Ecology of the Marketplace; THE CASH BUSINESS; TRENDS IN ORDER SEGMENTATION; BEST-EXECUTION MANDATES; THE EVOLUTION OF LIQUIDITY; CHAPTER 10: Globalization of Equity Markets; GLOBALIZATION OF TRADING STRATEGIES; THE GLOBAL LANDSCAPE; DIVERSITY OF EQUITY MICROSTRUCTURE; REGULATORY RISK.
- CHAPTER 11: An Adaptive IndustryTHE DECAY EFFECT; THE SEARCH FOR SIGNALS; ECONOMIC CHALLENGES; ADAPTIVE MACHINE THEORY; CHAPTER 12: Conclusion; Notes; Index.