Rational Quantitative Trading in Efficient Markets

摘要: We present a model of quantitative trading as an automated system under human supervision. Contrary to previous literature we show that price-contingent is the profitable equilibrium strategy large rational agents in efficient markets. The key ingredient uncertainty about whether trader informed fundamentals. Even when uninformed, he still learns more from prices than market participants who wonder informed. Therefore, will trade non-zero quantity based on past prices, whose direction–trend-following or contrarian depends parameters. When informed, information and disregard algorithm. One implication future order flow predictable even if markets are semi-strong by construction.