Rational quantitative trading in efficient markets

DOI10.1016/J.JET.2020.105127MaRDI QIDQ1995286zbMATH OpenOpenAlexFDO

Authors Stefano Rossi, Katrin Tinn

Publication date 23 February 2021

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2020.105127

zbMATH Keywords

learningmarket efficiencyquantitative tradinguncertainty about informed trading

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Informed traders
• Informed traders
• Optimal Liquidity Trading*
• Trading on marginal information
• A computational view of market efficiency

Cites work

• scientific article; zbMATH DE number 2117209 (Why is no real title available?)
• scientific article; zbMATH DE number 3417266 (Why is no real title available?)
• Aggregating the single crossing property
• Aggregation of Information in Large Cournot Markets
• Competing on speed
• Continuous Auctions and Insider Trading
• Herding and contrarian behavior in financial markets
• Information acquisition and under-diversification
• Information in Securities Markets: Kyle Meets Glosten and Milgrom
• Informed manipulation.
• Log-concave probability and its applications
• Manipulation and the Allocational Role of Prices
• Risk aversion, imperfect competition, and long-lived information
• Strict monotonicity in comparative statics
• The high-frequency trading arms race: frequent batch auctions as a market design response

Cited in

(4)

• A computational view of market efficiency
• QuantNet: transferring learning across trading strategies
• Trading on marginal information
• Beating the market? A mathematical puzzle for market efficiency

This page was built for publication: Rational quantitative trading in efficient markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1995286)