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Trading at the Speed of Light

How Ultrafast Algorithms Are Transforming Financial Markets

Donald MacKenzie

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Princeton University Press img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Wirtschaft

Beschreibung

A remarkable look at how the growth, technology, and politics of high-frequency trading have altered global financial markets

In today’s financial markets, trading floors on which brokers buy and sell shares face-to-face have increasingly been replaced by lightning-fast electronic systems that use algorithms to execute astounding volumes of transactions. Trading at the Speed of Light tells the story of this epic transformation. Donald MacKenzie shows how in the 1990s, in what were then the disreputable margins of the US financial system, a new approach to trading—automated high-frequency trading or HFT—began and then spread throughout the world. HFT has brought new efficiency to global trading, but has also created an unrelenting race for speed, leading to a systematic, subterranean battle among HFT algorithms.

In HFT, time is measured in nanoseconds (billionths of a second), and in a nanosecond the fastest possible signal—light in a vacuum—can travel only thirty centimeters, or roughly a foot. That makes HFT exquisitely sensitive to the length and transmission capacity of the cables connecting computer servers to the exchanges’ systems and to the location of the microwave towers that carry signals between computer datacenters. Drawing from more than 300 interviews with high-frequency traders, the people who supply them with technological and communication capabilities, exchange staff, regulators, and many others, MacKenzie reveals the extraordinary efforts expended to speed up every aspect of trading. He looks at how in some markets big banks have fought off the challenge from HFT firms, and how exchanges sometimes engineer technical systems to favor certain types of algorithms over others.

Focusing on the material, political, and economic characteristics of high-frequency trading, Trading at the Speed of Light offers a unique glimpse into its influence on global finance and where it could lead us in the future.

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Schlagwörter

Financial instrument, Market structure, Server (computing), Electronic trading, Debt, Futures exchange, Data center, Leverage (finance), Order book, Auction, Chicago Mercantile Exchange, Eurodollar, Sociology, Computation, Stock trader, Economics, Employment, Broker-dealer, Institutional investor, Online advertising, Trader (finance), Writing style, Proprietary trading, Algorithmic trading, Profit (economics), Politician, European Research Council, Bid price, Market liquidity, Market participant, Instinet, Finance, Currency, Disadvantage, Insider, Globex, Illustration, Market maker, Brokerage firm, Materiality (auditing), Political economy, Price Change, Open outcry, Expense, Reuters, Customer, Stock exchange, Academic writing, Supply and demand, Government bond, Investor, Social science, Commodity Futures Trading Commission, Order book (trading), Share price, Market data, Intercontinental Exchange, New York Stock Exchange, Trading room, Arbitrage, NASDAQ, Economist, S&P 500 Index, High-frequency trading, Technology, Futures contract, Requirement, Behalf, Economic and Social Research Council, Manual Trader