Effective market hypothesis and blind spot arbitrage

I don't know if you like blogs that teach you how to make money.

 

To make money, we need to grasp the market rules. However, either the Random Walk theory or the effective market hypothesis (efficient markets hypothesis) tells us that the market is unpredictable. In 《{
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The effective market hypothesis only tells us that price reflects everything, which cannot help us anything, believe that you can stay away from so-called masters, fund managers, financial media, and other so-called financial media.

However, the effective market hypothesis cannot explain the phenomenon of James Simons. Simons is a provincial student. In the late 1980s s, he developed a transaction strategy with Princeton University mathematician Henry larufer, and switched from fundamental analysis to quantitative analysis. Medallion, his hedge fund, used these quantitative analyses for transactions, with an average annual return rate of 1988 since its establishment in 34%. This rate of return has been deducted from 5% of the asset management fee and 44% of the investment income share, and has been audited.

 

Buffett, the greatest investor, also said, "the market is effective in most cases, but not absolute." It can be seen that there are also vulnerabilities in the effective market, savvy traders are always looking for such vulnerabilities.

We can refer to this vulnerability as "blind spot arbitrage". In the latest issue of Economic Observer, this report discloses the ETF arbitrage that opened one year after the Yangtze river power supply was suspended, however, this operation is only possible with large funds, and we cannot afford it. But there are some blind spots that we can grasp. Let's explain the two cases I have invested in:

 

1) Panzhihua Steel Vanadium (000629) warrants (031002) Arbitrage
In September November, the price of pangang steel and vanadium was stable between 8.7 and 9.5. The corresponding value of the warrants should be 7.5 yuan, but the warrants fell below 4 yuan in about 10 days. This is the best time to buy, A few days later, the warrants will return to normal and earn 100% yuan.

This example is fast and decisive, requiring rapid and extraordinary courage to make decisions. The following is an example of computation, but it is only a small profit.

2) 08 Tsingtao debt (126013) Arbitrage
The price of such bonds is stable. As long as Tsingtao beer does not close down in 2014, by April 2, 2014, the price of 08 Tsingtao Beer bonds should be 100 yuan, which is pushed back based on the current interest rate, the price of this bond can be calculated. Let's calculate the lowest price of 71 RMB in August 4, and how far is the deviation from the current value:

At that time, the value = 100/power (1.0513-0.008), 68/12) (0.0513 was the annual interest rate for the current five-year period, and 0.008 was the annual interest rate for the draft of the beer debt, 68 indicates that there are still 68 months since the debt of tsinge beer expires), the value of which deviates from the current price of 71 yuan by 10.77%.

Dummies also know that the profits of white and white points, coupled with the expected interest reduction at that time, are the best purchase points.

　　Blind spot Arbitrage is everywhere, because you learn more, observe more, and think more.