通过资金流动预测ETF表现策略

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学术论文

Are Authorized Participants of Exchange-Traded Funds Informed Traders?

作者策略合理性

机构
  • Zhejiang Gongshang University
  • Zhejiang Gongshang University (ZJGSU)
  • Research Network (United States)
  • Deakin University
  • Financial Research Network (FIRN)
  • La Trobe University

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:VNQ、IYR、RWX、SPY、BIL。再平衡:每月。Universe: VNQ, IYR, RWX, SPY, BIL. Parameters: rebalance=monthly.