Chasing the Same Signals · How Black-Box Trading Influences Stock Markets From Wall Street to Shanghai by Brown, Brian R. -- Read -- Imperial Library of Trantor

Index

1.1. THE SIGNAL OF IMBALANCE 1.2. THE CROWDED TRADE EFFECT 1.3. THE BLACK-BOX PHENOMENON 1.4. THE EVOLUTION OF QUANTS 1.5. WHAT SIGNALS ARE THEY CHASING? 1.6. THE SAME SIGNALS

2. The Automation of Trading

2.1. THE LEGEND OF DoCoMo MAN 2.2. COMPUTER-TO-COMPUTER TRADING 2.3. THE LIBERALIZATION OF U.S. EQUITY MARKETS 2.4. THE IMPACT OF TECHNOLOGY 2.5. A SYSTEMATIC INDUSTRY

3. The Black-Box Philosophy

3.1. THE MARRIAGE OF SCIENCE AND ECONOMICS

3.1.1. Econometrics 3.1.2. Microstructure Research 3.1.3. Optimization and Execution

3.2. THE CULTURAL DIVIDE

3.2.1. Measure, Manage, and Model

3.3. THE BLACK-BOX COMMUNITY 3.4. THE COMING OF AGE

4. Finding the Footprint

4.1. STATISTICS AND ARBITRAGE 4.2. THE LAW OF LARGE NUMBERS 4.3. INSIDE THE ORDER BOOK 4.4. A GAME OF MILLISECONDS 4.5. LIQUIDITY PROVIDERS AND MARKET EFFICIENCY

5. Disciples of Dispersion

5.1. ECONOMETRIC RESEARCH 5.2. MARKET-NEUTRAL STRATEGIES 5.3. WINNERS AND LOSERS 5.4. RISK FACTOR MODELS 5.5. THE LEVERAGE EFFECT 5.6. THE DISPERSION EFFECT

6. The Arms Race

6.1. THE SUPPLIERS AND DEMANDERS OF LIQUIDITY 6.2. THE SIGNIFICANCE OF MARKET STRUCTURE 6.3. THE SIGNIFICANCE OF TRANSACTION COSTS 6.4. THE ERA OF ALGOS 6.5. THE FRAGMENTATION OF LIQUIDITY 6.6. THE LONG TAIL OF MARKET IMPACT

7. The Game of High Frequency

7.1. THE MOST ACTIVE INVESTORS 7.2. THE SPREAD 7.3. PREDATORS, SPECULATORS, OR INVESTORS

7.3.1. Pinging the Book 7.3.2. Predatory Algorithms 7.3.3. The Rebate Structure

7.4. THE COMPETITION FOR LIQUIDITY

8. The Russell Rebalance

8.1. THE RUSSELL RECONSTITUTION 8.2. THE IMPACT OF TRACKING RISK 8.3. THE GUARANTEED TRADE 8.4. THE RUSSELL EFFECT 8.5. THE CLOSING PRICE

9. The Ecology of the Marketplace

9.1. THE CASH BUSINESS 9.2. TRENDS IN ORDER SEGMENTATION 9.3. BEST-EXECUTION MANDATES

9.3.1. Unbundled Research 9.3.2. Boutique Research

9.4. THE EVOLUTION OF LIQUIDITY

10. Globalization of Equity Markets

10.1. GLOBALIZATION OF TRADING STRATEGIES

10.1.1. The Technology Gap

10.2. THE GLOBAL LANDSCAPE

10.2.1. European Markets 10.2.2. Asian Markets

10.3. DIVERSITY OF EQUITY MICROSTRUCTURE

10.3.1. Costs of Trading 10.3.2. Market Access

10.4. REGULATORY RISK

11. An Adaptive Industry

11.1. THE DECAY EFFECT 11.2. THE SEARCH FOR SIGNALS

11.2.1. Weather Data 11.2.2. Location Data 11.2.3. Search Data

11.3. ECONOMIC CHALLENGES

11.3.1. Short-Sell Restrictions 11.3.2. The Cost of Borrowing 11.3.3. Market Structure 11.3.4. Investor Behavior

11.4. ADAPTIVE MACHINE THEORY

12. Conclusion Notes

Chapter 1: Canary in the Coal Mine Chapter 2: The Automation of Trading Chapter 3: The Black-Box Philosophy Chapter 4: Finding the Footprint Chapter 5: Disciples of Dispersion Chapter 6: The Arms Race Chapter 7: Game of High Frequency Chapter 8: The Russell Rebalance Chapter 9: Ecology of the Marketplace Chapter 10: Globalization of Stock Markets Chapter 11: An Adaptive Industry