Donald MacKenzie

"Trading at the Speed of Light tells the story of how many of our most important financial markets have transformed from physical trading floors on which human beings trade face-to-face, into electronic systems within which computer algorithms trade with each other. Tracing the emergence of ultrafast, automated, high-frequency trading (HFT) since the early 2000s, Donald MacKenzie draws particular attention to the importance of what he deems the 'material political economy' of twenty-first century finance. Fast transmission of price data used to involve fibre-optic cables, but the strands in such cables are made of materials (usually a specialised form of glass) which slow light down to around two-thirds of its speed in free space. By contrast, microwave and other wireless signals used in HFT travel through the atmosphere at nearly full light speed. At these nanosecond speeds, the physical nature of information transmission and the precise spatial location of the equipment involved become hugely important, thus creating inevitable pinch points in the system. MacKenzie details the ways in which these pinch points - individual frequency bands, specific locations on the roofs of computer data centres, and particular sites for microwave towers - are especially advantageous, making it possible for those who control them to profit from that control. The book draws from over 300 interviews conducted with high-frequency traders around the world, the people who supply them with technological systems and communication links, exchange staff and regulators, as well as with others who function within markets that have not yet become dominated by HFT. MacKenzie focuses most closely upon the four main sites of international HFT - Chicago, New York, Amsterdam, and London - and examines both the technology and the politics underpinning modern financial markets"--

How Ultrafast Algorithms Are Transforming Financial Markets

Trading at the Speed of Light

In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

How Financial Models Shape Markets

An Engine, Not a Camera

Salute from a Dead Man

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.

When John Raven is somehow connected to the case of a criminal abortion that ended in death he finds himself embroiled with his old nemesis, former Chief Superintendent Drake of Scotland Yard. But what Drake doesn't realise is the death is only incidental to the plan for a million-dollar heist. Soon Raven is involved in rescuing a damsel in distress, saving his own skin, preventing a bank robbery and foiling the relentless machinations of his old enemy. 'Expertly plotted' Publishers Weekly 'The action is violent and intricately plotted, but it is completely convincing' Spectator

Raven and the Ratcatcher

When a bent London policeman carries out two ruthless murders, it is with the goal of making himself rich through the sale of stolen diamonds. And to cover his tracks he sets up an ingenious labyrinth of false covers and alibis. But when ex-cop John Raven is brought into the case by accident, it becomes a whodunit with Raven as detective in an exhilarating race against time. 'Donald MacKenzie is a born storyteller' Guardian

Raven's Shadow

Beware of the Genial Stranger. Confidence tricksters are operating throughout Europe! Be on your guard against the man wanting to reward you for returning his dropped wallet. Before parting with money to strangers on any pretext check with your banker or with the local police Thus read the warning posters...

The Genial Stranger

Paul Gregory, a Canadian confidence trickster operating in London, targets a wealthy Canadian woman in Britain to sell her collection of valuable coins. When she agrees to give him legal control over the sale, he completes the deal without her knowledge, stashes the proceeds in a safe deposit box, and then deliberately waits to be caught by the police. Gregory plans on getting a five-year sentence, with time off for good behaviour, and then collecting his loot when he is released. But when the judge hands Gregory a ten-year term, his only way out is escape...

Nowhere to Go

John Raven - the ex-cop with a taste for exotic adventures and voluptuous adventurers - is unexpectedly thrust into the thick of the action. His Andalusian holiday turns out to be no picnic when he finds himself at the crossroads of the snow-white heroin trail and the blood-red trail of international murder . . . 'A swift, stylish novel' Publishers Weekly

Raven Settles a Score

Gefährliches Schweigen

Paul Baudisch

Kriminalroman

Dangerous silence. Kriminalroman

For six years Kit Fraser has been an honest man, selling burglary insurance for his father-in-law. But no one knows the truth about his history, and why he is so uniquely placed to advise his clients. No one, that is, except Kline, who emerges from the shadows of the past with an offer that Kit may have no choice but to accept - even through it will jeopardise his secure life, and his future.

Dangerous Silence

Neil MacFarlane, a gentleman gambler on the French Riviera, is caught in a run of bad luck. His only chance to recoup his losses lies in gaining admittance to a private game, far from the eagle-eyed supervision of the Cannes casino croupier. But by the time he has succeeded in extracting an invitation from the rich Whitakers to dinner and a friendly game at their house, he is completely cleaned out. His hotel room is locked against him, and the angry manager refuses to open it until his bill is paid. Then an enigmatic Englishman makes him a curious offer, which he accepts - and is drawn into a game in which the stakes are much higher than he could ever have imagined . . .

Knife Edge

When Kirstie Macfarlane's younger brother is framed for stealing a Van Eyck portrait, she puts the case in the able hands of ex-Scotland Yard Inspector John Raven. Seduced away from his quiet life on the Thames, Raven dives back into the seamy London underworld filled with police corruption and high-handed swindles. Kirstie and Raven soon realise they have more than one opponent and their lives are perilously on the line. 'Donald MacKenzie is a born storyteller' Guardian

Raven After Dark

The charge against Shane Stafford was assault occasioning actual bodily harm. Stafford had attacked gossip columnist Gavin Legge. Legge had been engaged to Shane's twin sister. In Shane's view Legge had not just let down his sister, but had hounded her to suicide. It was the custom of the Stafford clan to stick together. Shane's attack on Legge had been public and conspicuous. The police believed they had an open-and-shut case. But did they?

Deep, Dark and Dead

Diane-Laure Arjaliès

Philip Grant

Iain Hardie

Ekaterina Svetlova

Investment is no longer a matter of individual savers directly choosing which shares or bonds to buy. Rather, most of their money flows through a 'chain': an often extended sequence of intermediaries. What goes on in that chain is of huge importance: The world's investment managers, who are now almost as well paid as top bankers, control assets equivalent in value to around a year of total global economic output. In Chains of Finance, five social scientists discuss the ways in which the intermediaries in the chain influence each other, channel the flows of savers' money, enhance investment decisions, and form audiences for each other's performances of financially competent selves. The central argument of the book is that investment management is fashioned profoundly by the opportunities and constraints this chain creates. Whether chains constrain or enable, however, they always entangle, tying intermediaries to each other - silently and profoundly shaping the investment management industry. Chains of Finance is a novel analysis that will make students, social scientists, financial professionals, and regulators looking at the workings of financial markets in a new light. A must-read for anyone looking for insights into the decision-making processes of investment managers and those influenced by and working for them.

How Investment Management Is Shaped

Chains of Finance

Financial markets, processes, and instruments can be difficult to fathom; and recent turbulence suggests they may be out of control in some respects. In this book, Donald MacKenzie puts forward a material sociology of markets, rooted in the actors and agents that shape modern finance.

How Economic Agents are Constructed

Material Markets

Lucia Siu

Fabian Muniesa

Around the globe, economists affect markets by saying what markets are doing, what they should do, and what they will do. Increasingly, experimental economists are even designing real-world markets. But, despite these facts, economists are still largely thought of as scientists who merely observe markets from the outside, like astronomers look at the stars. Do Economists Make Markets? boldly challenges this view. It is the first book dedicated to the controversial question of whether economics is performative--of whether, in some cases, economics actually produces the phenomena it analyzes. The book's case studies--including financial derivatives markets, telecommunications-frequency auctions, and individual transferable quotas in fisheries--give substance to the notion of the performativity of economics in an accessible, nontechnical way. Some chapters defend the notion; others attack it vigorously. The book ends with an extended chapter in which Michel Callon, the idea's main formulator, reflects upon the debate and asks what it means to say economics is performative. The book's insights and strong claims about the ways economics is entangled with the markets it studies should interest--and provoke--economic sociologists, economists, and other social scientists. In addition to the editors and Callon, the contributors include Marie-France Garcia-Parpet, Francesco Guala, Emmanuel Didier, Philip Mirowski, Edward Nik-Khah, Petter Holm, Vincent-Antonin Lépinay, and Timothy Mitchell.

Donald MacKenzie

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