Outsider Trading
Trading and Market Microstructure
2010-03-09 v2
Abstract
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.
Cite
@article{arxiv.1003.0764,
title = {Outsider Trading},
author = {Dorje C. Brody and Julian Brody and Bernhard K. Meister and Matthew F. Parry},
journal= {arXiv preprint arXiv:1003.0764},
year = {2010}
}
Comments
2 figures