Long-Term Capital Management and the sociology of arbitrage

By Donald MacKenzie. 2003

279 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5dd9312f0c12bb22bcca07a7483b11ed84f0ac2f

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Citations in the corpus

THE IMPACT OF CORPORATE SOCIAL RESPONSIBILITY ON INVESTMENT RECOMMENDATIONS. (2010, methodology): “…explore this issue, we follow extensive prior research in adopting a sociological approach towards the processes and mechanisms associated with the assessment of corporate policies by financial markets (Zuckerman, 1999; Cetina & Bruegger, 2002; MacKenzie, 2003; Zajac & Westphal, 2004; Lok, 2010).”
Opening the black boxes of global finance (2005, background): “(It is possible at least crudely to test quantitatively for the presence of arbitrage capital flight rather than more general mechanisms of financial crisis: see MacKenzie, 2003b for details and data.)”
The Social Construction of Market Value: Institutionalization and Learning Perspectives on Stock Market Reactions (2004, background): “For example, studies of trader markets have shown that investors base their investment decisions on the actual or anticipated decisions of other market players rather than on independent forecasts of the assets’ economic performance (Abolafia 1996; Knorr Cetina and Bruegger 2002; MacKenzie 2003).”
Take an issue: cultural economy and finance (2007, background): “The papers by Fabian Muniesa, Donald MacKenzie and Hirokazu Miyazaki demonstrate and develop this notion well by following the practices and materials within key financial market developments.”
Economic markets as calculative collective devices (2005, methodology): “Comparability and substitutability are at the heart of methods for pricing derivatives and of arbitrage techniques ( Beunza & Stark , 2004 ; Mackenzie , 2003b ) .”
Computer Algorithms, Market Manipulation and the Institutionalization of High Frequency Trading (2016, background): “Also, ANT-inspired scholars such as MacKenzie (2003, 2004, 2006) studied the performative role of technology and pricing models in ﬁnance.”
Sentiment Polarity Identification in Financial News: A Cohesion-based Approach (2007, background): “The emergent domain of sociology of ﬁnance examines ﬁnancial markets as social constructs and how communications, such as e-mails and news reports, may be loaded with sentiment which could distort market trading (MacKenzie, 2003).”
Tools of the trade: the socio-technology of arbitrage in a Wall Street trading room (2004, unknown): “…and Millo (2001) focus on another leg of the quantitative revolution, the rise of mathematical formulae and their consequences for trading (see also MacKenzie 2002).1 The mathematical formulae of modern finance, they argue, do not represent markets so much as constitute part of a network (also…”
Markets, market-making and marketing (2007, background): “…performativity has been adopted by sociologists, in particular those who have studied the operation of financial markets (Knorr-Cetina and Bruegger, 2002; MacKenzie, 2001, 2003, 2004; MacKenzie and Millo, 2003) following earlier studies of the social structures of market traders (Abolafia, 1996).”
The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004, background): “Portfolios worth only in the order of $2 billion had been protected by over-the-counter puts, a mere fraction of portfolio insurance’s $60–$90 billion coverage (SEC 1990: 25; Voorhees 1988: 57).”
Derivatives (2004, unknown): “MacKenzie (2003b) has argued that this was indeed one of the main reasons for the (de facto) collapse of the hedge fund LTCM in 1998, which caused widespread panic on Wall Street.”
The Impact of Corporate Social Responsibility on Investment Recommendations: Analysts’ Perceptions and Shifting Institutional Logics (2015, methodology): “…explore this issue, we follow extensive prior research in adopting a sociological approach towards the processes and mechanisms associated with the assessment of corporate policies by financial markets (Zuckerman, 1999; Cetina & Bruegger, 2002; MacKenzie, 2003; Zajac & Westphal, 2004; Lok, 2010).”
Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009, background): “Essentially, opportunities which 2For detailed analysis of the LTCM crisis see e.g. Edwards (1999), Loewenstein (2000), MacKenzie (2003).”