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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 new landscape amidst the global financial crisis?"Chasing the Same Signals" ...more
Hardcover, 198 pages
Published March 15th 2010 by John Wiley & Sons
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Very accessible account into the world of high-frequency and algorithmic trading, equally weighing pros and cons of these new market forces exploiting market structure and improving market effeciency. A lot of great insights into how market micro-structure impacts volatility and the competition for liquidity. Unfortunately the narrative is marred by frequent misspellings/grammatical errors, at its worse when frequently referencing minimum tick size and bid/ask spreads in fraction of cents even t ...more