地点

同济大学数学系致远楼107室

主讲人

题目

Day Trader Behavior and Performance

摘要

This talk aims to extend the literature concerning four patterns of behavior exhibited by day traders and the impact on performance.

Based on the Sample of data from day traders from the Taiwan stock index futures (TXF) by analyzing transaction records of each trader. We will discuss why some day traders are profitable and others are not. By examining the transactions at an individual level, patterns of behavior can be identified. One goal of this paper is to better understand what patterns of day traders’behavior produce any given performance.

The conclusion is as follows:

No evidence found that trading too much is detrimental to investment performance. Disposition effect exists. A sizable portion of day traders in the sample are not shown to be loss averse, and do not experience a significant deterioration in trading performance. The lower 80 percent of day traders utilize a momentum strategy,