Cierto, pero el paper de Sharpe Capital va mucho más allá.
Del capítulo 5:
the sharpe investment platform quantitative
trading model
As introduced in Section 1, the investment strategy utilised by the model
is driven by the notion that asset prices are
driven by two forces. The first of
these is the
tendency for asset prices to move towards their ‘intrinsic’ value
through the equilibria achieved from supply-demand curves, based on the
collective opinions of very many traders or investors that, by and large, have
access to the same microeconomic data relating to each asset. This market
force is essentially that described by the
Efficient Market Hypothesis [18],
however, the efficient market hypothesis is not the whole story [19]: it fails
to take investor sentiment, emotional responses, and decision theory, into
account - these effects result in a market that is not entirely efficient, thus
permitting utilisation of the understanding of these effects in investment
strategies to develop an ‘edge’ over the market as a whole.
The second of
these two forces is therefore essentially an acknowledgement of the role of
cognitive bias, behavioural psychology, emotion and sentiment in human
decision making. The latter force causes asset prices to fluctuate and is
largely responsible for observed volatility in the stock market. As described
by Shull (2011) [4], the “real game” in trading is not investing based on one’s
beliefs of an asset’s price at some point in the future, but on one’s beliefs
of what other other traders, on average, believe the market will do. Belief
formation has been shown to have a crucial role in market behaviour, and
research shows that established beliefs in investment are resistant to change
trinc reception of new data [20], leading to confirmatory bias. To put it
another way, traders are constantly attempting to pre-empt each others’ decisions,
perceptions and beliefs when taking positions in the market, leading
to volatility and short-term ‘irrational’ deviations in asset prices. It should
be noted before moving forward that, in parts, this section is somewhat
technical at times for the benefit of the interested reader. While generally
described at a high level, aspects of this description are targeted at those
with a background in investments, quantitative modelling and complex systems
analysis
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Merece realmente la pena leerse el WP. Es algo denso y académico (el que lo escribe es un PHD de Oxford y creo que está acostumbrado a otro tipo de lector) pero tiene unas ideas muy buenas.