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Chasing the Same Signals: How Black-Box Trading Influences Stock Markets from Wall Street to Shanghai by Brian R. Brown

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Notes

Chapter 1: Canary in the Coal Mine

[1]

[2]

[3]

Chapter 2: The Automation of Trading

[4]

[5]

[6]

[7]

[8]

[9]

Chapter 3: The Black-Box Philosophy

[10]

[11]

[12]

[13]

Chapter 5: Disciples of Dispersion

[25]

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[27]

[28]

Chapter 8: The Russell Rebalance

[42]

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[46]

Chapter 9: Ecology of the Marketplace

[47]

[48]

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Chapter 10: Globalization of Stock Markets

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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", ...

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