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This study explores the elusive social dimension of quantitative finance. We conducted three years of observations in the derivatives trading room of a major investment bank. We found that traders use models to translate stock prices into estimates of what their rivals think. Traders use these estimates to look out for possible errors in their own models. We found that this practice, reflexive modelling, enhances returns by turning prices into a vehicle for distributed cognition. But it alsodoi:10.2139/ssrn.1285054 fatcat:wn3st5yb3vd2dikt2sikqzdvza