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Chasing the same signals : how black-box trading influences stock markets from Wall Street to Shanghai / / Brian R. Brown
| Chasing the same signals : how black-box trading influences stock markets from Wall Street to Shanghai / / Brian R. Brown |
| Autore | Brown Brian R. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Singapore : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (238 p.) |
| Disciplina |
332.632
332.6322 |
| Collana | Wiley Trading |
| Soggetto topico |
Electronic trading of securities
Investment analysis Stock exchanges Speculation |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-19963-8
1-118-58044-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910139425203321 |
Brown Brian R.
|
||
| Singapore : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Chasing the same signals : how black-box trading influences stock markets from Wall Street to Shanghai / / Brian R. Brown
| Chasing the same signals : how black-box trading influences stock markets from Wall Street to Shanghai / / Brian R. Brown |
| Autore | Brown Brian R. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Singapore : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (238 p.) |
| Disciplina |
332.632
332.6322 |
| Collana | Wiley Trading |
| Soggetto topico |
Electronic trading of securities
Investment analysis Stock exchanges Speculation |
| ISBN |
1-119-19963-8
1-118-58044-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910831090303321 |
|
Brown Brian R.
|
||
| Singapore : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||