110AB0064 李少珠

1.) Dark Pool 暗池

Andrew W. Lo gave a speech about “ Can Financial Engineering Cure Cancer?”.
This story began when he got angry, sick, and tired of losing his mother and many of his
close ones to cancer.  Andrew wonders whether he a financial economist can help to
cure cancer. As he dug deep to find an answer he now believed that financial
engineering can play a major role in curing cancer. Financial had nothing to do with the
scientific agenda but even more, it drives the scientific agenda. Scientific agenda can
not be processed without financial support. Drugs and biomedical research need
investors, however, in the investor's view drug development is getting harder, which
means financial risk is getting bigger and funding is getting lower. Andrew W. Lo
claimed that the succession of drug development is like investing 200 million dollars and
It takes 10 years, where you get nothing in between. Where your payoff depends on
drawing a ball from an urn. The urn has 20 balls, 19 of them are yellow, and one is red.
And if you draw a yellow ball, you get nothing. But if you draw the red ball, you get 12.3
billion dollars. A fantastic pay, but remember, you only have a one out of 20 chance of
picking that ball.19 out of 20 times you get nothing. These brought Andrew to the next
point. which is that finance can help lower risk. Instead of investing in one project at a
time. Make an investment in a portfolio of a hundred and fifty projects all at the same
time. First, you need 150 times 200 million or 30 billion dollars. And Make 150 times
experiment. By doing this it increases 98% of chances of success in developing drugs
out of 150 times. Andrew knows a  number of people who are supremely qualified to
manage this mega-fund as well as a large number of investors who would be delighted
to invest. Andrew believed that his work is to develop the financial models that bring
these two groups together and accomplish amazing things.  Andrew wanted to be like
Harvey Lodish. In 1983, Harvey co-founded a small biotech company focused on
developing therapies for Gaucher's disease, a rare genetic disorder that affects maybe
one in 20,000 births here in the US. Harvey successfully develop a drug that cures this
disease and his company earned about 20 billion dollars. That is not why Andrew
wanted to be like Harvey. Andrew wanted to be like Harvey because in 2002 Harvey
and his wife's first grandchild- Andrew was born with the mutation for Gaucher's
disease. But Andrew was just fined, living a perfect life thanks to his grandfather's drug.
Andrew W Lo. believed that the mega-fund that we invest in will someday cure our
loved ones. 

I was very touched and felt sorry for Andrew to know that there is a way to cure
his mother's yet that the drug has not arrived. The scientific agenda need time and
financial support to research and develop drugs. The financials do not only influence in
scientific agenda but drive the agenda. It is heartbroken to Listen to Andrew said that
"Now, as an economist, I guess I understand, but as the son of a dying patient, I was
absolutely outraged. What do interest rates, stock market volatility, and Fed policy have
to do with whether you should treat non-small cell lung cancer with angiogenesis
inhibitors or immunotherapy?". At the same time, this shows Andrew that there is hope
to cure all diseases with great funds and skilled people to manage them.
 
dark pool

The book "Dark Pools" tells us about the beginning of  “The Birth of a Machine on
Wall Street" that occurred in the US stock market. And this is the true story of HFT, a
high-speed stock trading machine that shook US stock markets in 2011 and is
spreading across stock markets, currencies and commodities around the world,
including the Thai stock market.

The book is divided into chapters. In each chapter it tells us a person who had a
major role in the financial world. The book includes both the story of the succession of a
person and the failure time. 
 
The prologue started with a man named  Dan Mathisson. In 2001, he devoted
himself to building a space-age advanced trading platform Credit Suisse. It's called a
progressive electronic system. He is the market master craftsman. It is an architect who
does not design trading strategies or plans for making money. but to connect various
pipes to the market until a large trading network is formed by computers 
Mathisson knows that. After getting started with AES, he saw the computer-driven
power that would permanently change the stock market. He created a prototype of the
matching engine. Refers to a computer system that performs order-matching and sales
orders, which as of early 2011 accounted for 14% of trading volume, the total volume of
US stocks traded was almost 1 billion shares per day. He is the brains behind Gerilla.
Or the first ever large market trading robot algorithm. It was able to buy and sell stocks
so quickly that other Algos were undetectable, a lethal weapon in the next wave of what
would become known as the Algo War.

In chapter1, the book tells us about Haim Bodek, the founder of Trading
Machines LLC. Haim Bodek was a wealthy man during that time. He had everything he
wanted.He had money, a beautiful wife, a classically trained musician with the mental chops to
match Bodek himself. A beautiful house on the beach in Stamford. Three beautiful children.
Most important: He had his freedom. He could have  all these things because of the trading
machine he created.The Trading machine was a series of complex algorithms that collectively
reflected a two decades’ tradition of elite trading strategies. In short the machine allows his
client to buy the stock at the time and price they want. One day Bodek was so busy fixing his
machine. Bodek and his team did all they could to fix it at the same time his firm ran out of cash
due to the broken machine. As a result he then realize that it was the machine that broke but the
market had a new  development system that his machine was not allowed to buy the stock at a
certain time and Bodek firm was forced to shut. From this story we learn that we cannot we
cannot be sure of any strategy.

Chapter 2 is about a man name Joshua Levine is a drop out college student and
join  Russo securities as a runner.Levine found that traders used the NASDAQ's SOES
system to defeat the pros in their games. Later, Levine built a range of tools for traders.
While the experts at NASDAQ try to eat spreads on orders generated from retail and
institutional clients, Datek traders exploit vulnerabilities in the system to get ahead of the
queue and extract a fraction of the spread the experts make. Datek traders beome rich
because of Levine’s tool. Later on, Lavine came up with the concept of “Island". Island
is  an order matching system outside the realm of the NASDAQ. Super fast and cheap
execution attracted a huge order flow, and in 1996 almost 50% of orders. to NASDAQ
from Island. At the end 

In the third chapter the book tells us about a man named Jerry Putnam. He is a
failed company owner. He wanted to create a kit for day traders from Chicago similar to
Datek NY. He started an SOES strategy-based venture to make money. He recruited
day traders, improved the UI of the trading system to create the interface. Faster and
easier for day traders.

Dave Cummings, a Chicago-based pit trader, decided there had to be a better way to
market and started Tradebot, an automated market maker. His idea was ridiculed in many places
before he met the founder of GETCO. GETCO immediately adhered to the idea and partnered
with Tradebot.

These are people who create a big impact to financial world.

2.) Can financial engineering cure cancer?

Andrew W. Lo gave a speech about “ Can Financial Engineering Cure Cancer?”.

This story began when he got angry, sick, and tired of losing his mother and many of his
close ones to cancer.  Andrew wonders whether he a financial economist can help to
cure cancer. As he dug deep to find an answer he now believed that financial
engineering can play a major role in curing cancer. Financial had nothing to do with the
scientific agenda but even more, it drives the scientific agenda. Scientific agenda can
not be processed without financial support. Drugs and biomedical research need
investors, however, in the investor's view drug development is getting harder, which
means financial risk is getting bigger and funding is getting lower. Andrew W. Lo
claimed that the succession of drug development is like investing 200 million dollars and
It takes 10 years, where you get nothing in between. Where your payoff depends on
drawing a ball from an urn. The urn has 20 balls, 19 of them are yellow, and one is red.
And if you draw a yellow ball, you get nothing. But if you draw the red ball, you get 12.3
billion dollars. A fantastic pay, but remember, you only have a one out of 20 chance of
picking that ball.19 out of 20 times you get nothing. These brought Andrew to the next
point. which is that finance can help lower risk. Instead of investing in one project at a
time. Make an investment in a portfolio of a hundred and fifty projects all at the same
time. First, you need 150 times 200 million or 30 billion dollars. And Make 150 times
experiment. By doing this it increases 98% of chances of success in developing drugs
out of 150 times. Andrew knows a number of people who are supremely qualified to
manage this mega-fund as well as a large number of investors who would be delighted
to invest. Andrew believed that his work is to develop the financial models that bring
these two groups together and accomplish amazing things.  Andrew wanted to be like
Harvey Lodish. In 1983, Harvey co-founded a small biotech company focused on
developing therapies for Gaucher's disease, a rare genetic disorder that affects maybe
one in 20,000 births here in the US. Harvey successfully develop a drug that cures this
disease and his company earned about 20 billion dollars. That is not why Andrew
wanted to be like Harvey. Andrew wanted to be like Harvey because in 2002 Harvey
and his wife's first grandchild- Andrew was born with the mutation for Gaucher's
disease. But Andrew was just fined, living a perfect life thanks to his grandfather's drug.
Andrew W Lo. believed that the mega-fund that we invest in will someday cure our
loved ones. 

I was very touched and felt sorry for Andrew to know that there is a way to cure
his mother's yet that the drug has not arrived. The scientific agenda need time and
financial support to research and develop drugs. The financials do not only influence in
scientific agenda but drive the agenda. It is heartbroken to Listen to Andrew said that
"Now, as an economist, I guess I understand, but as the son of a dying patient, I was
absolutely outraged. What do interest rates, stock market volatility, and Fed policy have
to do with whether you should treat non-small cell lung cancer with angiogenesis
inhibitors or immunotherapy?". At the same time, this shows Andrew that there is hope
to cure all diseases with great funds and skilled people to manage them.