Chasing the Same Signals: How Black-Box Trading Influences Stock Markets from Wall Street to Shanghai

Notes

Chapter 1: Canary in the Coal Mine

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Chapter 2: The Automation of Trading

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Chapter 3: The Black-Box Philosophy

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Chapter 4: Finding the Footprint

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Chapter 5: Disciples of Dispersion

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Chapter 6: The Arms Race

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Chapter 7: Game of High Frequency

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Chapter 8: The Russell Rebalance

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Chapter 9: Ecology of the Marketplace

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Chapter 10: Globalization of Stock Markets

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Chapter 11: An Adaptive Industry

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^[1] Jayne Jung, "Quants' Tail of Woes", Risk Magazine, October 1, 2007.

^[2] Andrew W. Lo and Amir E. Khandani, "What Happened to the Quants in August 2007", white paper, November 2007.

^[3] Wall Street Journal, "How Market Turmoil Waylaid the Quants", September 2007, article on Peter Muller.

^[4] The growth of institutional investors in U.S. markets is profiled by Eric Kelley and Ekkehart Boehmer, "Institutional Investors and the Informational Efficiency of Prices", July 24, 2007.

^[5] Mark Ready, "Determinants of Volume in Dark Pools", white paper, November 2008.

^[6] For a brief overview of the impact of SEC rule changes on electronic commerce networks refer to Island Inc., "The Island ECN Inc. Company History", January 2009.

^[7] For a discussion of spreads and order imbalances, see Shane A. Corwin, "Differences in Trading Behavior Across NYSE Specialist Firms", ...