机构交易员能预测牛市和熊市吗?

ERN: Financial Market Efficiency (Topic) Pub Date : 2011-09-19 DOI:10.2139/ssrn.1930197

Bahattin Buyuksahin, Celso Brunetti, J. Harris

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引用次数: 3

摘要

我们分析了对冲基金、掉期交易商和套利者活动在原油、玉米和Mini-SP(2003)的高波动性熊市和低波动性牛市之间的马尔可夫制度转换模型中的作用。对对冲基金活动和套利者活动的调节显著提高了我们的概率估计，表明机构头寸在确定类似泡沫模式的价格趋势是否会继续或逆转方面是有用的。

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Do Institutional Traders Predict Bull and Bear Markets?

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-SP 2003). Conditioning on hedge fund activity and arbitrageur activity significantly improves our probability estimates, demonstrating that institutional positions can be useful in determining whether price trends resembling bubble patterns will continue or reverse.

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ERN: Financial Market Efficiency (Topic)

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