Feedback Trading: The Intraday Case of Retail Derivatives
利用交易所交易和高频报价数据，发现零售投资者会主动对短期日内回报进行负反馈交易，部分投资者甚至对逐笔回报进行反馈交易，这种行为平均导致开仓日显著亏损，主要源于买卖价差和时机把握能力不足。
ABSTRACT We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique data set of exchange trades and high‐frequency quotes, we first provide evidence that retail investors actively and consciously respond to short‐term intraday returns in a negative feedback, contrarian fashion. Second, we show that some retail investors also feedback trade on tick‐by‐tick returns. Third, we find that on average this behavior leads to significant losses on the day they open a position. These losses are primarily due to the bid‐ask spread and to investors' timing inability, but not to market makers taking advantage of investors.