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Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market |  |
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Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market | |
网友对Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market的评论
自己本身做这行的， 不过貌似国内没有几个同行。 High frequency trading 这两年也是极度下滑的情况，看看回忆一下08年以前的疯狂。 个人觉得要一些背景知识读起来才有意思，不然肯定读不下去。 建议证监会的同学读一读，看看美国资本市场是如何玩的。
My background...I have been heavily trading the stock markets for the last two years. I'm also an AI expert.
This book is a 'must read'. Not only does it give a great summary on how the stock market became computerized (as other reviewers mention), but it really helped me understand how the modern market came to be.
My goal in reading the book was to up my trading game, and while the book gives few trading ideas, it does a great job explaining how 'big money' and the HFTs game (cheat? trade?) the market. Understanding this alone really helps me understand price action at a whole new level.
I did have to remove one star though for the authors lack of understanding of computer algorithms and how they work. He uses "AI" as a catch-all phrase for any computer algorithm, even if it was a crude program that simply trades a stock spread.
High frequency trading has been in the financial press a fair amount in the last few years. There was the May 6, 2010 "flash crash" and the demise of Knight Capital as a result of a software error (were Knight lost $440 million in 40 minutes). Scott Patterson's excellent book Dark Pools provides a very engaging background on the evolution of the computer trading networks and the risk of HFT.
Even for someone with a background in finance, Dark Pools is a fascinating account. Scott Patterson manages to paint interesting portraits of the early pioneers of computer network trading (the so called SOES bandits) and the evolution of the trading networks. There's a very interesting portrait of Josh Levine, who wrote the software for the Island trading network. I have a book of essays by Haim Bodek on HFT. However, I didn't know his history in HFT until I read about it in Dark Pools.
I was also impressed that Patterson got people at Renaissance Technology to talk to him at all, although he doesn't have a much better picture of how Renaissance trades than anyone else.
The only fault that I can find with Dark Pools is that Scott Patterson does not understand software. He has an annoying habit of referring to any complex trading software as Artificial Intelligence (AI) software. Back in the 1960s AI got a bad reputation so very few people refer to complex decision making algorithms as AI. And in many cases the software that Patterson refers to would not be classified as under the old definition AI (although some of the learning algorithms might be).
But software is not the strong point of this book: computer trading networks are and Patterson does a good job describing these and how HFT evolved.
This is really a series of stories of several of the key players in the development of high frequency trading. It all started innocently enough trying to reduce the time and amount of paperwork it took to make a trade. In addition, it also attacked the arbitrary gaps in pricing that increased the margins of the old line Wall Street firms.
Greed took over as a way to make money through high frequency trading. Ironically, there was a race to the bottom with faster and faster trades that rely on smaller and smaller margins. The real losers are the millions of people that relied on investing for their retirements. With more than 50% of the trades being executed by the HFT, what would have been compounded growth to build a retirement nest egg is going into the fastest traders with the best game plans.
If you read Flash Boys, this is a great book to augment the picture of HST.
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