| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13561
|
| DP13561 The Sound Of Many Funds Rebalancing |
| Alex Chinco; Vyacheslav Fos
|
| 发表日期 | 2019-03-01
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | This paper proposes that computational complexity generates noise. In modern financial markets, it is common to find the same asset held for completely different reasons by funds following a wide variety of threshold-based trading rules. Under these conditions, we show that it can be computationally infeasible to predict how these various trading rules will interact with one another. Formally, we prove that it is NP hard to predict the sign of the net demand coming from a large interacting mass of funds at a rate better than chance. Thus, market participants will treat these demand shocks as random noise even if they are fully rational. This noise-generating mechanism can produce noise in a wide range of markets and also predicts how noise will vary across assets. We verify this prediction empirically using data on the exchange-traded fund (ETF) market. |
| 主题 | Financial Economics
|
| 关键词 | Noise
Thresholds
Complexity
Indexing
|
| URL | https://cepr.org/publications/dp13561
|
| 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/542417
|
推荐引用方式
GB/T 7714 |
Alex Chinco,Vyacheslav Fos. DP13561 The Sound Of Many Funds Rebalancing. 2019.
|
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