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http://www.litres.ru/pages/biblio_book/?art=6149175
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: , ; ; 2014
ISBN 978-5-91657-848-5

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a division of Random House, Inc. Synopsis Literary
Agency
Scott Patterson, 2010. All rights reserved
,
, . , ,
2014
.


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(www.litres.ru)
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Nearly Destroyed It, - Crown Business 2010 , : ,
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- . 1990 39 10. 2000
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-, Morgan
Stanley, Goldman Sachs, Citigroup, Lehman Brothers,
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1961 ,
Beat the Dealer: A Winning Strategy for the Game of Twenty-One (Vintage,
1962).
Fortunes Formula: The Untold Story of the Scientific Betting System That
Beat the Casinos and Wall Street (Hill and Wang, 2005). ,
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. 14 1932 ,

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12

(American Statistical
Association, ASA) , 1839
. ( 2003
) 1888 .
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13

: Getting a Hand: They Wrote

the First Blackjack Book but Never Cashed In // Boston Globe, 20
2008 .

 , .
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, - . ( 8 50 ), , . .
1959 , , (Massachusetts Institute of Technology, MIT). MIT

,
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C.
L. E. Moore Instructor14,
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(18761931), MIT 1904

. 1994

, ,
. ( 15 ,
.)
, .
, ,
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. The Proceedings of the
National Academy of Sciences ( ). : . 1931 . . .
15

Nasar S. A Beautiful Mind. Simon & Schuster, Reprint edition, 2011.

,
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1960
MIT.
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(The Invention of the First Wearable Computer, http://

graphics.cs.columbia.edu/courses/mobwear/resources/thorp-iswc98.pdf).

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1961
. , , .
: (Fortunes
Formula: A Winning Strategy for Blackjack). Associated Press
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1827 . .
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20

The Random Character of Stock Market Prices / P. Cootner (ed.). Risk

Books, 2000. . .

.
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, .

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1900
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Thorp E., Kassouf S. Beat the Market: A Scientific Stock Market System.
Random House, 1967. . .

 , S&P 50022,
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S&P 500 (Standard & Poors 500) . . .

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1940 , . . 99 1 ,
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23

: . . .: , 2007. . .

 , .
1949 A. W. Jones & Co.
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.
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.
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, ( 24, 1960- ). 670% 10 , 358%
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, .
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, 140 -. .
, 1969 .
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27

New York Jets, Baltimore Colts . . .

 , Butcher & Sherrerd. ,

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Hedge Associates. 1975
Princeton/Newport Partners.
,

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( 14,3%). ,
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9830A, -.
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Texas Instruments -

,
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.
1974 Princeton/Newport Partners
,
Wall Street Journal:
:
(Playing
the Odds: Computer Formulas Are One Mans Secret to
Success in the Market).
, , , -
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20%- , . , , , ,
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S&P 500 26%,
9,7%.
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. 1982

 . , . 12 1985 Princeton/
Newport 12%, S&P 500
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130- .
1961 10 . ( 1969 ,
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, .
:
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31 . , 31

, -

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Morgan Stanley 1980 . . Morgan . , ,
, 10
. , ,
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Motors, Ford.
, GM .
.
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, ,
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Morgan Stanley -.
:
A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of
Financial Innovation. John Wiley & Sons, 2007.

.
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Morgan.
APT
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 Morgans Exxon . ,
-
(Super
Designated Order Turnaround System), SuperDOT,
. APT , 5% .
6 . 1986 40 , 1987 50 . -,
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,

APT. , ,
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Stanley.

28 . D. E. Shaw,
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,
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APT 900 300 . , 1 8 ( 8

 ). 1989 APT .
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APT.

. Morgan
, , -, .
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, ,
. , . BOSS
Partners (Bamberger and Oakley Sutton Securities; ). 13-
57 -. 5 , 30% . 1988 BOSS
100- .
1988 BOSS, APT,

. , -. BOSS - .
.
,
Princeton/Newport. , - ,
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Sachs. D. E. Shaw , . , APT, 1990-
Renaissance Technologies. , , -
2006 , Morgan , ,
. , , , Citadel. -

 ,
2007 .

.
MIT .
.
,
1970-.
25 000
, . 1985 Hull Trading,
.
, . 1999
Goldman Sachs Hull 531
-.

.
1986 1987
BOSS. -

. .
.
.

 4

33 19 1987 .
20-
. . , , , Adolphus.
.
.
. , 23% .
, Merc, . 33

Wall Street Journal, ,

: Stewart J. B., Hertzberg D. The Crash of 87 Before the Fall:
Speculative Fever Ran High in the 10 Months Prior to Black Monday (11 1987 ). , , : MacKenzie D. An Engine, Not a Camera: How Financial Models
Shape Markets. MIT Press, 2006; . : . .:
, 2008.

 .
.
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Merc. , , . Merc , S&P 500.
, - ,
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120 .
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34

Chief Financial Officer, . . .

 .

19 1987 , - .
.

.
11 1976 35
, 35- , .
. - . .
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35

. - (.:
, 2009). : Leland H. E., Rubinstein M. The
Evolution of Portfolio Insurance // Portfolio Insurance: A Guide to Dynamic
Hedging / D. Luskin (ed.). John Wiley & Sons, 1988.

 , ,
.
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, -
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, IBM 50 , . 3 ,
, IBM 45 (
50 ). 3
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 .
, , ,
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, , ,
, . 1981 Leland OBrien Rubinstein
Associates,
LOR. 1984 .
, 1982
, S&P
500. - LOR , S&P. ,
. ! .
1987
50 ,

 ( ). , LOR,
100 ,
.
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York Mets - , 1986 . , , .
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, 15% .
Shearson Lehman Brothers
.
. -

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300 ( ,
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1738,74, 508 .

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,
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10 .
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, - 60% ,
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. . ,

. -
102 . 186,84.

.

 . ,
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, - : .
, -:
, , Wall Street Journal , ,
37.
. . .
,
23% , ?
37

- (2010 2008 ). . .

 -
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, 19 1987 .
, 1995 , , 27 ,
160

10
:
20 20 38, 20 ,

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.

38

13,5 , 20 . .
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, . , 27 , 100 ,
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2007 .

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39 1940 , 16 . . - 1936 39

2008 .
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1953 , .
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Derman E. My Life as a Quant: Reflections on Physics and Finance.

John Wiley & Sons, 2004. . 226.

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. 27%, S&P 500
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Hagen-Dazs , . 1976 . . .

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-, , , 10 . ,
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1980-, - . ,
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49

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, .
: Vickers M. Citadels Griffin: Hedge Fund Superstar.
Fortune, April 3, 2007; Burton K. Citadel Returns 26 Percent, reaks Hedge
Fund Mold, Sees IPO. Bloomberg News Service, April 29, 2005; Anderson J.
Will a Hedge Fund Become the Next Goldman Sachs? New York Times, April
4, 2007.

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, . ,
, , How
I Became a Quant: Insights from 25 of Wall Streets Elite. Lindsey R. R.,
Schachter. John Wiley & Sons, 2007. . .

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1985
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1966 - . 4 , -.
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,
. (How I Became a Quant). AQR. : Lux H. Beta Blocker: Profile of
AQR Capital Management / Institutional Investor, May 1, 2001; Nocera J.
The Quantitative, Data-Based, Risk-Massaging Road to Riches / New York
Times Magazine, June 5, 2005.

 , , .
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.

LSAT (Law School Admission Test)

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50/50, ,
56. . 1952
, - . ,
, , - ,
.
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, . , - .
, . , : . . 56

: Engine, Not a Camera: How Financial Models Shape

Markets. P. 63.

 - , , . -, - 57 Merrill Lynch , .
. , ,

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, ,
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.
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 Goldman Sachs Asset

Management ,
-.
, .
, :
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, . 1992 Pimco, , . ,
( ).
. Pimco OAS, 61 .
61

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 Pimco .
1993 . ,
: -.
, Goldman GSAM. ,
, Goldman
. , , ? Pimco.
. ,
Goldman . 1994 ,
,
Quantitative Research Group.
.


1980-

, , . .
-,
1993 62.

.
.
,
. , .
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.
. 62

(Searching for Bobby Fischer)

. . .
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 : -63 .
, . - Stuyvesant , Newsday, . : ,
.
: , , .
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-, . , . ,
-,
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, Merrill Lynch , 63

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PBS 1970 2005 . . .

 . , .

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. , , . ,
, . Goldman.

Goldman
.
1991 . .
.
, 1993
. ,
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. , , -

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, , -.
1995 , , Merrill Lynch . -. Donaldson Lufkin Jenrette (DLJ)
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.
( ) -. .
,
.
1990-
, .
, -

 -. ,


, , . , . -, -

, . -
-.
1998 Deutsche
Bank,
Merrill. Deutsche .
Bankers Trust - ,
. ,
,
Deutsche 800 .
.

 , . , , ,
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.
, . 1990- Bankers Trust.
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.
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1994 ,
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Capital Management (LTCM).
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.

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.
: . ,
, CEO

.
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. . , J. P. Morgan,
. , , .

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. 1994 , LTCM , , - Ridgeline Partners. LTCM ,
. , .
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, . .
- , . LTCM 1994 28%, 43%. 1996 41%,
1997- 17. , 1997
3 .
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.
: -!

Salomon Brothers,

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.
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: . . Long-Term Capital Management,

. .: , 2006. . 237. . .

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, . . , 2007 .
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. ,
. Deutsche
Bank J. P. Morgan
: Citigroup, Bear Stearns, Credit Suisse,
Lehman Brothers, UBS, Royal Bank of Scotland,
Goldman Sachs, Merrill Lynch, Morgan Stanley . , . - ,
, .
, American International Group, - AIG

Financial Products,
,
.
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1960-,

.
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, , , .
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67

: Brown A. The
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.


.
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Los Alamos National Laboratory,
. -, ,
, .
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1980-,
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Technologies, , , . -,
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1655. 50 , - .
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. .
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69. -
, , . , -. 69

: Morris T. Setauket: Spy Ring Foils the British // Newsday,

February 22, 1998.

 ,
.
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, . , .
- , . 22 1790 Roes ,
.
,
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,
. Renaissance Technologies
, , , , .
: Geer J. Simons Doesnt Say // Financial World, October
21, 1996; Teitelbaum R. Simons at Renaissance Cracks Code, Doubling
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71

: .
, , , , , , .
.

 1955 MIT. ,
Volkswagen Beetle
Jack & Marion.
MIT ,
, . . , ,
- MIT. ,
.
()72 1950-.

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73,
New York Times Magazine. .
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1967 .

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1985 -. Axcom

, , , 1982 Renaissance Technologies.
,
. ,
MIT.

1960- .
,
. 1988
Medallion

 , .
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1980-
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75

Laufer H. Normal Two-Dimensional Singularities. Princeton University

Press, 1971. . .

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.
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,
, - - Millennium Partners.
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Burton K., Teitelbaum R. Ex-Simons Employees Say Firm Pursued

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Davis A. How Giant Bets on Natural Gas Sank Brash Hedge-Fund

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Prial D. Newest Hot Internet Issue Raises Question: How to Price It

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November 7, 2008; Strasburg J., Patterson S. A Hedge Fund King
Comes Under Siege // Wall Street Journal, November 20, 2009.

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