Outsider Trading
| Autor: | Dorje C. Brody, Julian Brody, Bernhard K. Meister, Matthew F. Parry |
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| Jazyk: | angličtina |
| Rok vydání: | 2010 |
| Předmět: | |
| Popis: | In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can nevertheless pursue a profitable trading strategy. A large volume of blog data is used to demonstrate the existence of an inefficiency in the market. An information-based model that replicates the trading strategy is developed to estimate the degree of information disparity. 2 figures |
| Databáze: | OpenAIRE |
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