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I looked forward to and just finished reading this follow-up to the informative book, 'the Quants.' by Scott Patterson.
Without getting into the issue of bias against hft; I felt it was one of the few books that really divulged and traced a lot of the evolution towards what is currently going on in the HFT world, for those of us who are on the outside and looking in (100million dollars per 1ms latency shave... wow).
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chiral3
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| Founding Member |
| Total Posts: 4528 |
| Joined: Mar 2004 |
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| After "the quants" I can't imagine Mr Patterson offering anything well-balanced or well researched. The first sentence of the AMZ description seems to signal this sentiment "In the beginning was Josh Levine, an idealistic programming genius who dreamed of wresting control of the market..." Let's count the number of times he calls someone a "genius". |
Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist. |
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chiral3
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| Total Posts: 4528 |
| Joined: Mar 2004 |
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| OK, I read it, just so that I can qualify my statement. This book was horrible. Patterson is clearly only interested in sensationalizing his topics and selling books. He had some currency in my mind a view years ago, as a journalist, as a researcher, but he is clearly a shill. |
Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist. |
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amateur
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| I would not recommend the book either... |
“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better” |
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| It was entertaining and had some facts in it. Think of him as the Ben Mezrich of the quant world. |
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I'm wondering whether the thrashings are more due to his anti-hft bias, sensationalist writing style (and possibly colored recounts of what happened), or more on the basis that just about everything he recounted were just completely fictitious, or worse, downright fabrications. It seemed from the amazon negative reviews, that some of the reviewers were upset about not being portrayed as the geniuses. Personally, I don't care much for who did what or who was a 'genius' or not; I'm more interested in the technical veracities (i.e. was 0+ scalping strategy a fabrication or did it plausibly exist, is microwave the superior low-latency transmission method over fiber nowadays).
If one were to associate this book to Mezrich's 'Bringing down the house,' and compare to say, Thorp's 'beat the Dealer/Market' books-- are there any mass media (or more obscure would be fine) books in the HFT world that would come closer to Thorp?
I liked Poundstone's work (e.g., 'Fortune's Formula', but most of that is outdated ), which is why I felt this book was a good read-- the scope seems timely. |
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chiral3
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| Founding Member |
| Total Posts: 4528 |
| Joined: Mar 2004 |
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| I'll offer my view: he writes sensationally, with deliberate imbalance and tilt, and he purports to "uncover" and "explain", yet there is more hyperbole than real details or substantive arguments. By "details" I don't mean technical minutiae, but journalistic middle ground, which is technically a journalist's value added: hard-researched facts presented in lay terms to convey basic themes (even the technical flash crash postmortem had an "abstract"). His sources seem few and suspect, yet the yarns that he spins from them appear to encapsulate and explain an industry. I appreciate ATXtrader's comparison to BM but offer the footnote that BM's well-known body of work was not offered as an exposition on how "99%" of the country's retirement is being scalped but that some kids outsmarted some casinos; the latter is implicitly acceptable while the former is white-collared regulator-sanctioned crime. Also, for BM to get his facts straight he only had to interview a few people. SP has a history of enjoying stories from arbitrary sources. Also, some of what he says is just outright incorrect or are clearly unsubstantiated statistics. This reckless style is entirely consistent with the Quants. Yes, it's entertaining, and for people that like hyper-reality it is a satisfying explanation. Maybe he's just harmless, but his work has not been important. |
Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist. |
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quantie
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Just skimmed through it and think given the lack of any decent book on HFT this can quickly become the MBA
HFT book
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| We're not really the target demographic. Our community is too small to be profitably catered to. |
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london
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Having now read the book, here are my 2c for anyone still sitting on the fence:
Set your expectations suitably low. This isn't aimed at the average reader of NP
The bad:
It's certainly not an exhaustive history book and some of the implications he suggests are questionable. Don't expect the truth, the whole truth and nothing but the truth. Some things are exaggerated, some of his facts are wrong and his sensationalist writing style is repetitive and annoying.
He also conveniently overlooks the world outside the US. Didn't LSE get rid of open outcry and go automated in '87? Didn't a founder of one of the London CTAs publish work on automated, computer driven market making back in the early 90s?
These events were a full decade before the events Patterson describes breathlessly as changing the world from the US.
The good:
However, i think he's done a good job of weaving an interesting story out of the facts he has.
Some of his explanations are intuitive to a lay person: For example, he "gets" market impact and explains it simply. Too many professionals on the buy side (generally older) still don't get it.
He also gives a comprehensive overview how the equity micro-structure in the US has changed over the last 20 years: how one group of privileged insiders has been replaced with another group ... of privileged insiders.
But the reasonable content is padded and diluted by the sensationalism and narrative about the weather, what people were wearing, their humble childhood backgrounds, etc. He also extrapolates from equity microstructure to all other markets without any evidence.
The book could have been a factual review of historical events. However, that would have appealed to a smaller audience, as ATX noted above. Besides, it flatters the vanity of the characters who spoke to him and the author is clearly a huge, huge fan of them.
As it is, don't expect too much and just enjoy the read. I did.
For complete disclosure:
I was close to one of the firms profiled and have told various NPers stories from Monty Pythons Flying Quant Shop over the years. Paterson's done a great job making a resounding failure sound sexy....I only wish we had him doing marketing & investor relations at the time!
I assumed he would embellish other episodes in a similar fashion. And so am not surprised to see confirmation from "Donnelly" on Amazon reviews (who sounds credible) attempting to state the facts behind another company featured in the book.
In summary:
Scott goes looking for AI and machine learning and finds them where-ever he looks. That's the story he wanted to tell and he wasn't going to let the facts stop him(!). His thesis suggests that the common thread running through all these firms is that their secret sauce is AI.
I'd question if this was truly the case. As opposed to, say, business opportunities presented by regulation / deregulation, the changing microstructure landscape combined with pragmatic engineering.
The companies he features fall into two categories: (1) the groundbreaking, successful ones and (2) those run by convincing salesmen persuading investors to pony up funds to chase a dream. Unfortunately, Scott is either unable or unwilling to differentiate between the two. This provides the latter category with some (presumably useful) publicity but left me somewhat skeptical while reading about them.
The more interesting story (at least to me) is about the latter category themselves. The personalities and morals of the entrepreneurs, VCs & startups building the new, new thing. Some work, some don't, but the enablers look for a profit regardless.
The rules of that game are as old as trading itself: greed, ignorance, the transfer of wealth and buyer beware. The advances in technology are just a smoke screen this time around.
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pj
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> As it is, don't expect too much
> and just enjoy the read. I did.
(and the rest of the review)
Hear! Hear!
I enjoyed the book. And for aspiring
professionals there
is always Irene Aldridge. |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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Scotty
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I'm reading this book - which I find at least fairly easy and interesting reading - given I'm heading into this morass of electronic trading.
I also have "Algorithmic Trading and DMA" which has more content but is less fun to read.
Are there other books worth reading along the lines of Dark Pools but without the apparent deficiencies? |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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