%0 Journal Article
%T Outsider Trading
%A Dorje C. Brody
%A Julian Brody
%A Bernhard K. Meister
%A Matthew F. Parry
%J Quantitative Finance
%D 2010
%I arXiv
%X In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can nevertheless pursue a profitable trading strategy. A large volume of blog data is used to demonstrate the existence of an inefficiency in the market. An information-based model that replicates the trading strategy is developed to estimate the degree of information disparity.
%U http://arxiv.org/abs/1003.0764v2