IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1003.0764.html
   My bibliography  Save this paper

Outsider Trading

Author

Listed:
  • Dorje C. Brody
  • Julian Brody
  • Bernhard K. Meister
  • Matthew F. Parry

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.

Suggested Citation

  • Dorje C. Brody & Julian Brody & Bernhard K. Meister & Matthew F. Parry, 2010. "Outsider Trading," Papers 1003.0764, arXiv.org, revised Mar 2010.
    • Handle: RePEc:arx:papers:1003.0764
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1003.0764
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1003.0764. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.