Related Theoretical and Empirical Work
In recent years, many non-arbitrage algorithmic trading systems have been emerged that rely on the idea of trend-following as do many hedge funds. A relatively recent trend, both in financial research and industrial practice, has been the development of increasingly sophisticated automated trading strategies. Fama’s statement from 1970 is obviously opposed to this development – and maybe it should be acknowledged that markets sometimes are not efficient at all.
KeywordsStock Return Limit Order Individual Investor Market Maker Investor Sentiment
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