Chasing the same signals : how black-box trading influences stock markets from Wall Street to Shanghai
(eBook)
Author
Published
Singapore : J. Wiley & Sons (Asia), 2010.
Format
eBook
Physical Desc
1 online resource (ix, 198 pages) : illustrations.
Status
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Subjects
LC Subjects
OCLC Fast Subjects
Other Subjects
Analyse financière.
Bourse.
Electronic trading of securities.
Electronic trading of securities.
exchange (method of acquisition)
Investment analysis.
Investment analysis.
speculating.
Speculation.
Speculation.
Spéculation.
Stock exchanges.
stock exchanges.
Stock exchanges.
Valeurs mobilières -- Commerce électronique.
Bourse.
Electronic trading of securities.
Electronic trading of securities.
exchange (method of acquisition)
Investment analysis.
Investment analysis.
speculating.
Speculation.
Speculation.
Spéculation.
Stock exchanges.
stock exchanges.
Stock exchanges.
Valeurs mobilières -- Commerce électronique.
More Details
Language
English
Notes
Bibliography
Includes bibliographical references (pages 185-189) and index.
Description
The worst stock market crash since Black Monday during October of 1987 occurred during the first week of August of 2007. But nobody noticed. On the morning of August 6th 2007, investment professionals were baffled with unprecedented stock patterns. Mining sector stocks were up +18% but manufacturing stocks were down -14%. It was an extreme sector skew yet the S&P index was unchanged at +0.5% on the day. The next few days would continue with excessive volatility. MBI Insurance, a stock that had rarely attracted speculation would finish up +15% on Aug 6th, followed by another +7% on Aug 7th, and then finish down -22% over the subsequent two days. The brief rally in MBI was short lived. Only weeks later would investors begin to have insights on the dispersion patterns. Prominent hedge funds that had never had a negative annual performance began disclosing excessive trading loses with many notable firms reporting several hundred millions were lost - in a single day. Hedge funds were hemorrhaging in excess of 30% of their assets when the S&P index was unchanged. The market dispersion was the side effects of the synchronous unwind ignited by the hordes of "computerized" strategies that were caught off guard when history didn't repeat. It was the industry's first world wide panic - by machines. Over the past decade, computerized (or black-box) trading has had a coming of age. Black-box firms use mathematical formulas to buy and sell stocks. The industry attracts the likes of mathematicians, astrophysics and robot scientists. They describe their investment strategy as a marriage of economics and science. Their proliferation has been on the back of success, black-box firms have been among the best performing funds over the past decade, the marquee firms have generated double-digit performance with few if any months of negative returns. Through their coming of age, these obscure mathematicians have joined the ranks of traditional buy-n-hold investors in their influence of market valuations. A rally into the market close is just as likely the byproduct of a technical signal as an earnings revision. They are speculated to represent a one third of all market volume albeit their influence to the day-to-day gyrations goes largely unnoticed. CNBC rarely comments on the sentiments of computerized investors. Conventional wisdom suggests that markets are efficient, random walks and that stock prices rise and fall with the fundamentals of the company. How then ...
Local note
O'Reilly,O'Reilly Online Learning: Academic/Public Library Edition
Citations
APA Citation, 7th Edition (style guide)
Brown, B. R. (2010). Chasing the same signals: how black-box trading influences stock markets from Wall Street to Shanghai . J. Wiley & Sons (Asia).
Chicago / Turabian - Author Date Citation, 17th Edition (style guide)Brown, Brian R. 2010. Chasing the Same Signals: How Black-box Trading Influences Stock Markets From Wall Street to Shanghai. J. Wiley & Sons (Asia).
Chicago / Turabian - Humanities (Notes and Bibliography) Citation, 17th Edition (style guide)Brown, Brian R. Chasing the Same Signals: How Black-box Trading Influences Stock Markets From Wall Street to Shanghai J. Wiley & Sons (Asia), 2010.
MLA Citation, 9th Edition (style guide)Brown, Brian R. Chasing the Same Signals: How Black-box Trading Influences Stock Markets From Wall Street to Shanghai J. Wiley & Sons (Asia), 2010.
Note! Citations contain only title, author, edition, publisher, and year published. Citations should be used as a guideline and should be double checked for accuracy. Citation formats are based on standards as of August 2021.
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Grouped Work ID
5b28ed9f-eb00-d557-cf92-19a77dbdb553-eng
Grouping Information
Grouped Work ID | 5b28ed9f-eb00-d557-cf92-19a77dbdb553-eng |
---|---|
Full title | chasing the same signals how black box trading influences stock markets from wall street to shanghai |
Author | brown brian r |
Grouping Category | book |
Last Update | 2023-12-11 15:41:25PM |
Last Indexed | 2024-03-29 02:49:37AM |
Book Cover Information
Image Source | default |
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First Loaded | Jul 8, 2022 |
Last Used | Mar 28, 2024 |
Marc Record
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Last File Modification Time | Dec 11, 2023 03:47:15 PM |
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245 | 1 | 0 | |a Chasing the same signals :|b how black-box trading influences stock markets from Wall Street to Shanghai /|c Brian R. Brown. |
260 | |a Singapore :|b J. Wiley & Sons (Asia),|c 2010. | ||
300 | |a 1 online resource (ix, 198 pages) :|b illustrations. | ||
336 | |a text|b txt|2 rdacontent | ||
337 | |a computer|b c|2 rdamedia | ||
338 | |a online resource|b cr|2 rdacarrier | ||
490 | 1 | |a [Wiley trading] | |
504 | |a Includes bibliographical references (pages 185-189) and index. | ||
505 | 0 | |a The Canary in the coal mine : how the first signal of the financial crisis wasn't noticed -- The automation of trading : when machines became the most active investors -- The black-box philosophy : why the best hedge funds don't attend conferences -- Finding the footprint : what Coke and Pepsi do not have in common -- Disciples of dispersion : why some investors don't read fundamental research -- The arms race : why a company's trading volume is more closely watched than its earning -- The game of high frequency : why nobody has heard of the most active investors -- The Russell rebalance : why the market's close doesn't always reflect our economic health -- The ecology of the marketplace : whatever happened to the buy-and-hold investor? -- Globalization of equity markets : why does American Airlines have a higher trading volume then Singapore Airlines? -- An adaptive industry : what signals will they be chasing next? | |
520 | |a The worst stock market crash since Black Monday during October of 1987 occurred during the first week of August of 2007. But nobody noticed. On the morning of August 6th 2007, investment professionals were baffled with unprecedented stock patterns. Mining sector stocks were up +18% but manufacturing stocks were down -14%. It was an extreme sector skew yet the S&P index was unchanged at +0.5% on the day. The next few days would continue with excessive volatility. MBI Insurance, a stock that had rarely attracted speculation would finish up +15% on Aug 6th, followed by another +7% on Aug 7th, and then finish down -22% over the subsequent two days. The brief rally in MBI was short lived. Only weeks later would investors begin to have insights on the dispersion patterns. Prominent hedge funds that had never had a negative annual performance began disclosing excessive trading loses with many notable firms reporting several hundred millions were lost - in a single day. Hedge funds were hemorrhaging in excess of 30% of their assets when the S&P index was unchanged. The market dispersion was the side effects of the synchronous unwind ignited by the hordes of "computerized" strategies that were caught off guard when history didn't repeat. It was the industry's first world wide panic - by machines. Over the past decade, computerized (or black-box) trading has had a coming of age. Black-box firms use mathematical formulas to buy and sell stocks. The industry attracts the likes of mathematicians, astrophysics and robot scientists. They describe their investment strategy as a marriage of economics and science. Their proliferation has been on the back of success, black-box firms have been among the best performing funds over the past decade, the marquee firms have generated double-digit performance with few if any months of negative returns. Through their coming of age, these obscure mathematicians have joined the ranks of traditional buy-n-hold investors in their influence of market valuations. A rally into the market close is just as likely the byproduct of a technical signal as an earnings revision. They are speculated to represent a one third of all market volume albeit their influence to the day-to-day gyrations goes largely unnoticed. CNBC rarely comments on the sentiments of computerized investors. Conventional wisdom suggests that markets are efficient, random walks and that stock prices rise and fall with the fundamentals of the company. How then ... | ||
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