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Meta-CTA Trading Strategies and Rational Market Failures

Author
Bernhard K Meister
Date Updated
2022/09/12
Category
q-fin.PM
Date Published
2022/09/12
Date Retrieved
2022/09/13
Description
Investors trade shifting prices, portfolio values, and in turn their ability to borrow. Concentrated ownership, high price impact and low collateral requirements are propitious for arbitrage.
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Posts
1
Readers
0
Score
0.25
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URL
https://arxiv.org/abs/2209.05360
Property
TOP