Meta-CTA Trading Strategies and Rational Market Failures

2022/09/12 by Bernhard K. Meister, Meister, Bernhard K · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM)

paper · pdf · doi:10.48550/arxiv.2209.05360

openalex publication_date 2022/09/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Cited by

• Caratheodory, Finite Resources and the Geometry of Arbitrage

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