Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts
| LEADER | naa a22 4500 | ||
|---|---|---|---|
| 001 | 528787101 | ||
| 005 | 20180924065502.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 180924e20110914xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.3929/ethz-b-000039686 |2 doi |
| 024 | 7 | 0 | |a 10.1371/journal.pone.0024391 |2 doi |
| 035 | |a (ETHRESEARCH)oai:www.research-collecti.ethz.ch:20.500.11850/39686 | ||
| 245 | 0 | 0 | |a Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts |h [Elektronische Daten] |c [Wei-Xing Zhou, Guo-Hua Mu, Wei Chen, Didier Sornette] |
| 246 | 0 | |a PLoS ONE | |
| 506 | |a Open access |2 ethresearch | ||
| 520 | 3 | |a We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions, and (iii) real traders to random strategies with respect to timing that share otherwise all other characteristics. We find in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by traders. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets. | |
| 540 | |a Creative Commons Attribution 3.0 Unported |u http://creativecommons.org/licenses/by/3.0 |2 ethresearch | ||
| 700 | 1 | |a Zhou |D Wei-Xing |e joint author | |
| 700 | 1 | |a Mu |D Guo-Hua |e joint author | |
| 700 | 1 | |a Chen |D Wei |e joint author | |
| 700 | 1 | |a Sornette |D Didier |e joint author | |
| 773 | 0 | |t PLoS ONE |d Lawrence, KS, USA : Public Library of Science |g 6 (9), p. e24391 |x 1932-6203 | |
| 856 | 4 | 0 | |u http://hdl.handle.net/20.500.11850/39686 |q text/html |z WWW-Backlink auf das Repository (Open access) |
| 908 | |D 1 |a Journal Article |2 ethresearch | ||
| 950 | |B ETHRESEARCH |P 856 |E 40 |u http://hdl.handle.net/20.500.11850/39686 |q text/html |z WWW-Backlink auf das Repository (Open access) | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Zhou |D Wei-Xing |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Mu |D Guo-Hua |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Chen |D Wei |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Sornette |D Didier |e joint author | ||
| 950 | |B ETHRESEARCH |P 773 |E 0- |t PLoS ONE |d Lawrence, KS, USA : Public Library of Science |g 6 (9), p. e24391 |x 1932-6203 | ||
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B ETHRESEARCH |F ETHRESEARCH |b ETHRESEARCH |j Journal Article |c Open access | ||