Meta-CTA Trading Strategies and Rational Market Failures
Bernhard K Meister
TL;DR
This paper explores how meta-CTA trading strategies interact with market dynamics, highlighting how investor behaviors and market features can lead to rational market failures.
Contribution
It introduces a framework analyzing the impact of meta-CTA strategies on market stability and identifies conditions under which rational market failures occur.
Findings
Market failures can arise from rational investor behaviors.
High price impact and low collateral requirements contribute to arbitrage opportunities.
Concentrated ownership influences market efficiency.
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.
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Taxonomy
TopicsFinancial Markets and Investment Strategies