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 new landscape amidst the global financial crisis?
Chasing the Same Signals is a unique chronicle of the black-box industry's rise to prominence and their influence on the market place. This is not a story about what signals they chase, but rather a story on how they chase and compete for the same signals
Table of Contents
1 The Canary in the Coal Mine. How the First Signal of the Financial Crisis Wasn’t Noticed.
2 The Automation of Trading. When Machines Became the Most Active Investors.
3 The Black-Box Philosophy. Why the Best Hedge Funds Don’t Attend Conferences.
4 Finding the Footprint. What Coke and Pepsi Do Not Have in Common.
5 Disciples of Dispersion. Why Some Investors Don’t Read Fundamental Research.
6 The Arms Race. Why a Company’s Trading Volume Is More Closely Watched than Its Earnings.
7 The Game of High Frequency. Why Nobody Has Heard of the Most Active Investors.
8 The Russell Rebalance. Why the Market’s Close Doesn’t Always Reflect Our Economic Health.
9 The Ecology of the Marketplace. Whatever Happened to the Buy-and-Hold Investor?
10 Globalization of Equity Markets. Why Does American Airlines Have a Higher Trading Volume than Singapore Airlines?
11 An Adaptive Industry. What Signals Will They Be Chasing Next?
Brian R. Brown is a Wall Street veteran in quantitative trading. He spent eight years as an executive at Morgan Stanley in Hong Kong, serving as director of pan-Asia systematic trading, where he was influential to Asian reforms that increased market efficiency and attracted global investors. Brian formerly researched and managed statistical arbitrage strategies for Trout Trading Management, one of the legendary Market Wizards. He has advised the industry's largest hedge funds on how to adapt their models in emerging markets. Brian was born in Canada and graduated from the University of Waterloo. He currently lives in Hong Kong with his wife, two children and the family dog, Hotrod.
If you want to understand how computerized trading is impacting our markets, this book is for you. -- Charles D. Ellis, Author, The Partnership: The Making of Goldman Sachs
The interplay between algorithmically driven and traditional trading strategies affects the returns of all investors. Brian Brown's new book provides a very clear overview of how these new strategies work and more importantly, how they influence liquidity, volatility, and prices in the global equity market. -- Andrew J. Morton, Co-creator of the Heath-Jarrow-Morton (HJM) Framework
Technology advances over the past decade have dramatically changed the dynamic world of stock market trading. Most analysts have failed to account for this "brave new world" in their "Monday morning quarterback" analysis of the recent worldwide financial systems collapse. Brian Brown has written the first book that clearly and colorfully describes the new technologically-driven way of doing business on the Street, and he does this with great precision and street knowledge. This new world played a central role in the Wall Street collapse, and, paradoxically, will help drive the next ascent. -- Thomas F. Coleman, Dean and Professor, Faculty of Mathematics Director, Waterloo Research Institute in Insurance, Securities, and Quantitative Finance, University of Waterloo
Much has been made of the activities of "High Frequency Traders" during the Global Financial Crisis. In many cases they have been vilified, but often out of ignorance about the vital function that they perform in today's hyper-speed financial markets. Brian sets out to demystify High Frequency Trading and does so in an eminently readable fashion. This book will appeal to anyone, market professional or not, who wants to understand this often secretive group. -- E. John Fildes, Chief Operating Officer, Asia, Instinet Pacific
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