The Elasticity of Quantitative Investment
研究了现代截面资产定价模型指导下的统计套利者的需求弹性，发现其需求高度缺乏弹性，与经典模型假设相反，原因在于难以逆价格变化交易。
Abstract What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical models that rely on statistical arbitrageurs to create elastic market demand for assets. This inelasticity arises from the difficulty of trading against price changes. A quantitative equilibrium model shows that aggregate demand remains inelastic even with these statistical arbitrageurs in the market.