Drareg
Member
- Joined
- Feb 18, 2016
- Messages
- 4,772
Check this out, the guy who done this research seems qualified so to speak, somebody posted about it on Reddit, I’m posting directly to the guys website.
This is nuts if correct, it’s blatant fraud.
The overnight market where retail traders are excluded for the most part make the biggest returns, intraday is making a pittance in comparison.
It’s basically information and meaning, use enough leverage to create and impact, you know what the impact will be before it happens and then trade accordingly.
It’s starting to look like the market is a weapon of the US government, the regulators we are told just can’t keep up, they are probably designed to be this way, it allows American markets to dominate.
@haidut
"The world’s stock markets display a strikingly suspicious, decades long pattern of overnight and intraday returns that nobody (other than us) has plausibly explained and that nobody (other than us) has clearly and persistently alerted you to. We use correspondence on this topic over the past five years to show that the silence of others on this issue does not arise from their having a good reason to believe this pattern is fine. Separately, and regardless of whether this pattern turns out to be fine, we have documented that people in a position to alert you to the presence of strikingly suspicious return patterns in the world’s stock markets that nobody can innocuously explain are aware of this issue, have no good reason to believe it is not a problem, and chose to not tell you".
"The second purpose of this article is to document an extraordinary failure in the institutions and personal in- centives we currently rely on for the transfer of important information. Setting completely to the side the issue of whether Figure 1 turns out to be the problem we strongly believe it to be, we clearly show five facts: (i) the world’s stock markets display a stunning pattern of overnight and intraday returns, (ii) many of the people you reason- ably rely on to bring such an issue to your attention – including financial regulators, journalists, and academic economists – are aware of the pattern, (iii) they have no plausible innocuous explanation for the pattern, (iv) they have no compelling reason to believe the pattern is not a problem, and (v) they chose to not tell you".
"The world’s stock markets display a decades-long pattern of overnight and intraday returns seem- ingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its trading moves prices more) and contract its portfolio later in the day (when its trading moves prices less), losing money on its daily round-trip trades to create mark-to-market gains on its large existing book. In the fourteen years since this extraordinary pattern of overnight and intraday returns was first noted in the literature, no plausible alternative explanation has been advanced. The main question remaining is therefore which of the few firms capable of profitably trading in this manner are guilty of having done so. If any of this is news to you, it is because the people you trust to alert you to such problems still haven’t told you".
This is nuts if correct, it’s blatant fraud.
The overnight market where retail traders are excluded for the most part make the biggest returns, intraday is making a pittance in comparison.
It’s basically information and meaning, use enough leverage to create and impact, you know what the impact will be before it happens and then trade accordingly.
It’s starting to look like the market is a weapon of the US government, the regulators we are told just can’t keep up, they are probably designed to be this way, it allows American markets to dominate.
@haidut
"The second purpose of this article is to document an extraordinary failure in the institutions and personal in- centives we currently rely on for the transfer of important information. Setting completely to the side the issue of whether Figure 1 turns out to be the problem we strongly believe it to be, we clearly show five facts: (i) the world’s stock markets display a stunning pattern of overnight and intraday returns, (ii) many of the people you reason- ably rely on to bring such an issue to your attention – including financial regulators, journalists, and academic economists – are aware of the pattern, (iii) they have no plausible innocuous explanation for the pattern, (iv) they have no compelling reason to believe the pattern is not a problem, and (v) they chose to not tell you".
"The world’s stock markets display a decades-long pattern of overnight and intraday returns seem- ingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its trading moves prices more) and contract its portfolio later in the day (when its trading moves prices less), losing money on its daily round-trip trades to create mark-to-market gains on its large existing book. In the fourteen years since this extraordinary pattern of overnight and intraday returns was first noted in the literature, no plausible alternative explanation has been advanced. The main question remaining is therefore which of the few firms capable of profitably trading in this manner are guilty of having done so. If any of this is news to you, it is because the people you trust to alert you to such problems still haven’t told you".
