Strategies Used As Spectroscopy Of Financial Markets Reveal New Stylized Facts
The authors propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. They study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows them to compare a closed national market (A-shares) with an international market (B-shares), individuals and institutions and real investors to random strategies with respect to timing that share otherwise all other characteristics.