arXiv · arXiv q-fin · 2017
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor model. The evolving arbitrage opportunities are also studied by quantifying the performance of time-varying cross-sectional momentum and contrarian effects in the Chinese stock ma…
H. -L. Shi, W. -X. Zhou
arXiv · arXiv q-fin · 2017
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short …
Huai-Long Shi, Wei-Xing Zhou
arXiv · arXiv q-fin · 2015
This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding horizons are 1 month or l…
Huai-Long Shi, Zhi-Qiang Jiang, Wei-Xing Zhou
arXiv · arXiv q-fin · 2004
We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The model displays a smooth crossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediate phase, the stationary state is characterized by non-Gaussian features as well as by the formation of susta…
A. De Martino, I. Giardina, M. Marsili, A. Tedeschi
arXiv · arXiv q-fin · 2001
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends'' and changes her opinion to bearish (bullish) if there is (1) either a majority of bearish agents or (2) too strong a majority of bu…
A. Corcos, J. -P. Eckmann, A. Malaspinas, Y. Malevergne, D. Sornette
arXiv · arXiv q-fin · 2019
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic returns, respectively. After that the univariate portfolio analysis is conducted to investigate the r…
Huai-Long Shi, Wei-Xing Zhou
arXiv · arXiv q-fin · 2025
Using data from a live trading experiment on the Binance Bitcoin perpetual, we examine the effects of (i) basic order book mechanics and (ii) the persistence of price changes from immediate to short timescales, revealing the interplay between returns, queue sizes, and orders' queue positions. We document a fundamental trade-off: a negative correlation between maker fill likelihood and post-fill returns. This dictates…
Jakob Albers, Mihai Cucuringu, Sam Howison, Alexander Y. Shestopaloff
arXiv · arXiv q-fin · 2024
Mean-reverting behavior of individuals assets is widely known in financial markets. In fact, we can construct a portfolio that has mean-reverting behavior and use it in trading strategies to extract profits. In this paper, we show that we are able to find the optimal weights of stocks to construct portfolio that has the fastest mean-reverting behavior. We further add minimum variance and sparsity constraints to the o…
Sung Min Yoon
arXiv · arXiv q-fin · 2023
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH users strongly favor big losers over big gainers. We also uncover that they react rapidly, typically within an hour, when acquiring stocks that exhibit extreme negative returns. Further analyses suggest greater (lower) attention to overnigh…
David Ardia, Clément Aymard, Tolga Cenesizoglu
arXiv · arXiv q-fin · 2022
This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual investors in Italian stocks in the period January 2019-September 2021, investigating how their composition and the trading activity changed around the Covid-19 lockdown period (March 9 - May 19, 2020) and more generally in the period of the pa…
Paola Deriu, Fabrizio Lillo, Piero Mazzarisi, Francesca Medda, Adele Ravagnani
arXiv · arXiv q-fin · 2021
Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four parameters, we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes. Our simulation results and theoretical analysis reveal the relationships betw…
Yong Shi, Bo Li, Guangle Du
arXiv · arXiv q-fin · 2016
We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the optimal static pairs trading portfolio that best fits the Ornstein-Uhlenbeck process, and rigorously estimate the parameters. Therefore, we ensure that our portfolios match the mean-reverting process before trading. We then g…
Peng Huang, Tianxiang Wang
arXiv · arXiv q-fin · 2016
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of their assets in the risky asset and the remainder in a riskless asset. This requires regular adjustment of the portfolio weights as prices evolve. The CTA trading activity impacts the price change in the form of a power la…
Bernhard K. Meister
arXiv · arXiv q-fin · 2014
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in $1/T^γ$ with $γ\simeq 0.25$. Including this factor in the fits reinforces the square root shape o…
Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, Charles-Albert Lehalle