As the first article in the quantitative behavioral finance series, we try to answer the following three questions. When we talk about behavioral finance, what are we talking about, what results do we want, and what support do we need.
When we’re talking about behavioral finance – what are we talking about?
If the price and valuation changes of spot stocks have been further explained by behavioral finance, then further into the field of derivatives, the research on the specific indicators of derivatives such as futures position, term structure of basis and implied volatility of options needs to be more specific to the trading behavior of different trading groups, which is the due meaning of “behavioral finance”.
When we talk about behavioral finance – what do we want?
When we apply behavioral finance in the environment of derivatives market, we want to make a deeper understanding of the increasingly unpredictable market in recent years. With the rapid development of China’s derivatives market, the trading heat of floor futures has far exceeded that in the past, and extreme markets are emerging one after another.
We will try to explain why thermal coal can get out of the “inverted V” market in two months;
Why is the trend of non-ferrous nickel so “evil”;
Why is there a steady flow of bottom hunting pig trading under the structure of deep premium;
How does the price fluctuation between non-ferrous metals conduct
When we talk about behavioral finance – what do we need?
We need investor behavior data, including: 1 Public opinion data (stock bar, snowball, Hithink Royalflush Information Network Co.Ltd(300033) and other communities) 2 Non trading behavior data (information hits, optional shares, etc.) 3 Competition data (private placement competition, futures daily competition, etc.) 4 Position data (foreign seats, CFTC, etc.)
We also need alternative fundamental data, including: 1 Industry popularity (Baidu Index, employment related indicators, etc.) 2 Satellite data (remote sensing satellite, starlight data, etc.)
As the first part of the series, this paper mainly tries to introduce our behavioral finance research background and the vision and objectives we want to achieve to investors. Next, we will share one classic case by one in combination with specific data and market. Please pay continuous attention.
