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第14章
1.An illuminating book on this topic is Roger Penrose,Shadows of the Mind(Oxford University Press,1994).A more summary approach for investors can be found in John Palicka's article“Cyberanalysts Will Outperform Humans,”Equities Magazine,December 1996.
2.Javier Estrada,“Black Swans in Emerging Markets,”Journal of Investing 18,no.2(Summer 2009):50-56,summarized in CFA Digest 39,no.4(November 2009):111-112.
3.See“Ineluctable Assured Algorithms,”FTSE Global Markets,July/August 2006,54-58.
4.This study was reported for fi nancial planners and other investment professionals interested in comparingthese approaches.See Craig L.Israelsen,“What's In a Name?”Financial Planning,June 1,2010,139-141,http://www.fi nancial-planning.com/fp_issues/2010_6/whats-ina-name-2667032-1.html?zkPrintable=1＆nopagination=1(accessed October 5,2011).
5.Morningstar,FundInvestor:Glossary,http://mfi.morningstar.com/Glossary.aspx(accessed October 5,2011).
6.A good summary of these trends is found in Michael Santoli's“Requiem for Floor Traders,”Barron's,November 20,2006.
7.Simon Emrich,“Using Smarter Algorithms vs.Smarter Use of Algorithms,”A Guide to Global Liquidity II,Institutional Investor,Spring 2010,42.
8.Example based on example in Adam Bradbery,“Traders Fret Algorithmic Systems”,Wall Street Journal,February 21,2007,b11.
9.Max Palmer,“Dark and Lit Markets:A User's Guide,”A Guide to Global Liquidity II,Institutional Investor,Spring 2010,96.
10.Ibid.,97-98.This example is based on Palmer's example in his article.
11.Aaron Lucchetti,“Firms Seek Edge Through Speed as Computers Trading Expands,”Wall Street Journal,December 15,2006,A1,A12.
12.Ibid.,A1.
13.Reported and adapted from Jeremy W.Peters,“From Reuters,Automatic Trading Linked to News Events,”New York Times,December 11,2006,C2.
14.Santoli,“Requiem for Floor Traders.”
15.Ivy Schmerken,“CalPERS Crunches FX Data to Search for Alpha in Electronic Trading,”Wall Street＆Technology,June 10,2010,http://wallstreetandtech.com/trading-technology/showArticle.jhtml?articleID=225600225＆cid=nl_wallstreettech_daily(accessed October 5,2011).