论文标题
他们仍然没有告诉你
They Still Haven't Told You
论文作者
论文摘要
世界上的股票市场展现出了数十年的通宵和盘中回报的模式，似乎仅与一个解释一致：一个或多个大型，长期持久的公司倾向于在当天早些时候扩大其投资组合（当它的交易更高的价格上涨）并在当天的投资组合更少（当它的交易较少的价格上涨时）在日常往来的货币上赚钱，以创造出来的货币。自从文献中首次注意到这种非凡的通宵和盘中回报模式以来的十四年中，没有提出合理的替代解释。因此，剩下的主要问题是，以这种方式有盈利交易的少数公司中有哪家是有罪的。如果这是您的新闻，那是因为您信任的人提醒您要解决此类问题的人仍然没有告诉您。
The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly 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.
