摘要翻译：
我们提出了一套新的量化金融市场结构的程式化事实。其关键思想是研究投资策略和价格的组合结构，以打开对金融和经济市场的一个质的新的理解水平。我们研究了中国深圳证券交易所2003年全年的详细订单流。这个庞大的数据集使我们能够比较(i)封闭的国内市场（a股）和国际市场（B股），(ii)个人和机构，(iii)真实的投资者在时机选择方面的随机策略，这些策略具有其他所有特征。我们发现，由于交易摩擦，更多的交易导致更小的净回报。我们揭示了具有非平凡指数的定量幂律，这些指数量化了投资者使用策略的频率和持有期对业绩恶化的影响。随机策略被发现比真实策略表现得更好，对赢家和输家都是如此。令人惊讶的大套利机会存在，尤其是在使用零智能策略时。这是对这些金融市场可能低效的诊断。
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英文标题：
《Strategies used as spectroscopy of financial markets reveal new stylized
  facts》
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作者：
Wei-Xing Zhou (ECUST), Guo-Hua Mu (ECUST), Wei Chen (SZSE), Didier
  Sornette (ETH Zurich)
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  We 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. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.
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PDF链接：
https://arxiv.org/pdf/1104.3616