论文标题
SEC表格13F-HR：交易失衡和盈利能力分析的统计调查
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
论文作者
论文摘要
拥有超过1亿美元资产管理资产的美国机构必须每季度将其部分职位的一部分披露为SEC 13F-HR表格。我们考虑连续报告期之间持有量的变化数量，以及计算购买资产的购买与销售行为的不平衡。如果外部投资者愿意交易违反13F文件失衡，就会出现一个巨大的利润机会。确实，失衡捕获了已经在市场上消耗的信息的数量，并且相关交易往往会因拥挤和放牧而膨胀。在每个财政季度结束后使用时间范围（相当于1-2个日历月份）之间，尤其是在使用21至42个交易日之间（相当于1-2个日历月份）的时间范围时，将价格相对短期的价格转移到了不平衡的迹象上。
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number of variations in holdings between consecutive reporting periods, and compute imbalances in buying versus selling behaviour for the assets under consideration. A significant opportunity for profit arises if an external investor is willing to trade contrarian to the 13F filings imbalances. Indeed, imbalances capture the amount of information already consumed in the market and the related trades tend to be inflated by crowding and herding. Betting on a relatively short-term movement of prices against the sign of imbalances results in a profitable strategy especially when using a time horizon between 21 and 42 trading days (corresponding to 1-2 calendar months) after each financial quarter ends.
