Rational quantitative trading in efficient markets

• 成果类型: Article
• 署名作者: Rossi, Stefano; Tinn, Katrin
• 署名单位: Bocconi University; Centre for Economic Policy Research - UK; European Corporate Governance Institute; McGill University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105127
• 发表日期: 2021
• 关键词: Quantitative trading; Uncertainty about informed trading; market efficiency; learning

摘要

We present a model where quantitative trading - trading strategies based on the quantitative analysis of prices, volumes, and other asset and market characteristics - is systematically profitable for sophisticated traders whose only source of private information is knowing better than other market participants how many fundamental traders, i.e., traders informed about fundamentals, are active in the market. In equilibrium, the direction of optimal quantitative trading depends on the number of fundamental traders and often switches sign when order flow increases: with few fundamental traders, optimal quantitative trading is trend-following (re. contrarian) after small (re. large) price changes; with many fundamental traders, the opposite holds: it is contrarian (re. trend-following) after small (re. large) price changes. (C) 2020 Elsevier Inc. All rights reserved.