Meta-CTA Trading Strategies and Rational Market Failures
Portfolio Management
2022-09-13 v1
Abstract
Investors trade shifting prices, portfolio values, and in turn their ability to borrow. Concentrated ownership, high price impact and low collateral requirements are propitious for arbitrage.
Keywords
Cite
@article{arxiv.2209.05360,
title = {Meta-CTA Trading Strategies and Rational Market Failures},
author = {Bernhard K Meister},
journal= {arXiv preprint arXiv:2209.05360},
year = {2022}
}
Comments
5 pages