| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9958 |
| DP9958 Man or machine? Rational trading without information about fundamentals | |
| Stefano Rossi; Katrin Tinn | |
| 发表日期 | 2014-05-04 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We present a model of quantitative trading as an automated system under human supervision. Contrary to previous literature we show that price-contingent trading is the profitable equilibrium strategy of large rational agents in efficient markets. The key ingredient is uncertainty about whether a large trader is informed about fundamentals. Even when uninformed, he still learns more from prices than market participants who still wonder about whether he is informed. Therefore, he will trade a non-zero quantity based on past prices, whose direction ? trend-following or contrarian ? depends on parameters. When informed, he will trade on that information and disregard the algorithm. One implication is that future order flow is predictable even if markets are semi-strong efficient by construction. |
| 主题 | Financial Economics |
| 关键词 | Kyle model Log-concavity Rational expectations Rational price-contingent trading |
| URL | https://cepr.org/publications/dp9958 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538791 |
| 推荐引用方式 GB/T 7714 | Stefano Rossi,Katrin Tinn. DP9958 Man or machine? Rational trading without information about fundamentals. 2014. |
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