一、主題：Profitability and Capital Dynamics of Common Trading Strategies in a Simple Financial Model

二、主講人：鄧家品，bevictor伟德官网2010級金融工程2班本科生，bevictor伟德官网第一期卓越學術人才培養項目入選者，現保送至北京大學光華管理學院金融學專業直博生。大學期間，獲得大學生數學競賽全國一等獎，獲得學術科研獎學金、騁望獎學金等。

三、時間：2013年11月18日（周一）18:30-20:30

四、地點：bevictor伟德官网沙河校區主教308教室

五、點評人：戴韡，bevictor伟德官网金融工程系教師

文章摘要：

By empirical evidences, it is difficult to find a trading strategy with consistently good performance over a long period, and strategies’ profitability seem to be varying through time in a cycle fashion. Under the price formation mechanism based on a market-maker with risk aversion to inventory, this paper elaborately detects the crucial factors that affect strategy’s profitability with two common trading strategies, i.e. trend following strategy and value investing strategy, respectively and both together. We find that the capitals invested in strategies play an important role in limitingself’s pro?ts and affecting each other’s interactions. Also the market maker’s risk aversion to inventory could make positive or negative influence on strategies’ profitability through the price dynamics induced by his/her behaviors. Consistent with empirical evidences, the inverted parabola response of strategy’s payoffs to self’s capitals is found in the market niches with value investing strategy alone and in company with trend following strategy together. This pattern implies the pro?ts that the strategy could bring to its users are limited and originates from the balance between the increasing capitals invested and the decreasing payoffs per capital. Based on the cross influences of the variations in one strategy’s capitals on the other’s payoffs, the interactions between the two strategies could be prey- predator, symbiosis or competition depending on their capitals and the window length of trend following strategy. Moreover, the trend following strategy with a longer window length seems to be more competitive than the one with a shorter window length when encountering value investing strategy. In the long time horizon with the two strategies’ payoffs reinvestment, the market can spontaneously evolve to the equilibrium where each strategy gains even.