发表于2025-02-25
Dark Pools 2025 pdf epub mobi 电子书
108页的几段话:“由于买入英特尔的最佳价格是111美元,他感觉有些愚蠢的做市商并不会注意到一个额外加的数字。他深呼吸了一下并键入了一个以111.25美元售出1000股的指令。然后有个做市商接受了他的报价。他马上手舞足蹈起来。‘我赚了100万美元!’莱文振臂高呼,‘我...
评分主线是描写了科技如何改变了股票交易市场,尤其是几个大的exchange的故事,核心人物是Joshua Levine, 一个大学都没上的程序员,有理想的屌丝,如何孜孜不倦地不为名利(虽然也成了富翁)跟车匪路霸NYSE, Nasdaq做斗争,然后启动了“科技改变生活”的连续剧。 基于该作者第一本...
评分暗池指的是一些非公开的“私人”市场,在纽交所和纳斯达克等公开市场交易的投资者是不知道暗池中正在发生什么样的交易。大型投资者使用暗池做交易,目的在于回避在交易所电子系统中大量的自动交易算法,在池子中你是看不到价和量的。最初设计暗池的目的是为了给大型投资者提供...
评分108页的几段话:“由于买入英特尔的最佳价格是111美元,他感觉有些愚蠢的做市商并不会注意到一个额外加的数字。他深呼吸了一下并键入了一个以111.25美元售出1000股的指令。然后有个做市商接受了他的报价。他马上手舞足蹈起来。‘我赚了100万美元!’莱文振臂高呼,‘我...
评分在京东上买书的时候冲着Scott Patterson 的大名凑单买的一本。 Scott 是《宽客》的作者,写写量化领域的八卦还是有两下子的。这本《暗池》讲的是美帝电子交易从无到有的编年史,由中国金融期货交易所组织翻译,虽然不是专业的译者,但都有过甚至从事着交易方面的工作,因此专业...
图书标签: 金融 高频交易 Finance 金融技术 量化 交易 Microstructure 英文原版
A news-breaking account of the global stock market's subterranean battles, Dark Pools portrays the rise of the "bots"- artificially intelligent systems that execute trades in milliseconds and use the cover of darkness to out-maneuver the humans who've created them.
In the beginning was Josh Levine, an idealistic programming genius who dreamed of wresting control of the market from the big exchanges that, again and again, gave the giant institutions an advantage over the little guy. Levine created a computerized trading hub named Island where small traders swapped stocks, and over time his invention morphed into a global electronic stock market that sent trillions in capital through a vast jungle of fiber-optic cables.
By then, the market that Levine had sought to fix had turned upside down, birthing secretive exchanges called dark pools and a new species of trading machines that could think, and that seemed, ominously, to be slipping the control of their human masters.
Dark Pools is the fascinating story of how global markets have been hijacked by trading robots--many so self-directed that humans can't predict what they'll do next.
很不错,对于当代美国证券发展有了全新的认识和体会,差距太大了
评分splash crash is awesome!
评分Another book by scott patterson: his previous book the quant and this one are both interesting and informative.
评分这本书充分体现了Patterson作为作者的优点和缺点。他这本书比Lewis出的还早,但无论是故事性、人物刻画都要弱些,而且很多地方写得不深入或穿插的不好。
评分Michael Lewis的front run big order以及latency arb理论在这里得到了确认,尤其是利用速度差欺负limit order。front-run自古以来皆有之,从market maker欺负基金到Maschler欺负NASDAQ SOES的market maker反应不如电脑快。更新一代系统利用期货价格指导现货价格。cost of ignorance(trader不如巴菲特聪明,所以担心买亏了从而主观扩大spread)的理论引出了maker-taker的佣金制度. 到2010年时,因为激烈的竞争,平均下来只有maker-taker才能给HFT赚钱
Dark Pools 2025 pdf epub mobi 电子书