Although the original paper is short, it contains too much content. Specifically, I really don't understand it, and I don't think it is closely related to quantification. From the perspective of behavioral finance, more participants will bring some different results. This is the same in the world of financial markets and physical rules, but people are a complex thing. Affected by emotions, they can't respond to changes in the external environment as well as in the basic physical world, perhaps in the unpredictable quantum world.

Let's start with an example of positive support. In the high-frequency trading in the United States, if there are only two participants in the market on a certain day, one participant A sells stock I at market 1 at 5. 1, and the other participant B plans to buy stock I at market 2 at 5.2. If there is no other interference, the last two companies may negotiate a deal on 5./kloc-0. 5, and everyone is very satisfied, but at this time, there is. He discovered the existence of this price difference in advance, so he quickly bought it at 5. 1 in the A market and sold it at 5.2 in the B market, and he also made a profit. A and B didn't have extra losses, and even gained faster liquidity. This is the reason why high-frequency traders (similar to market traders) appear, which should coincide with the views of the paper.

On the other hand, some people try to understand the financial market from the rules of the physical world, some people see the idea of investment from Zen Buddhism, and some people understand his investment philosophy from the Book of Changes. It can only be said that these people are inspired by the thinking of some other disciplines after deeply thinking about investment. Of course, there is some truth, and they may also achieve good results at a certain stage, but it is more likely that they are close to the essence of investment and may not really realize this essential law.

It takes a lot of careful work to implement a certain thinking or idea into quantification. Take a well-known story about a monk buying stocks as an example. A successful monk explained that the secret of his success was his compassion. He bought stocks when no one wanted them and sold them when everyone wanted them, so he made a lot of money. So the question is, is compassion the key to investment? Of course not. His mode of operation coincides with the law of expected overreaction in behavioral finance. When most people expect optimism, the market often overreacts, so it is right to sell at this time. Similarly, when most people are not optimistic, it may be an overreaction, and buying will have a chance to make a profit. There is a model of "consistent expectation reversal" in quantitative strategy, which has also been successful in actual combat. The model is based on the analyst's prediction, and the reason is the same. However, how to select and analyze the data is the core of quantitative work. For example, how to quantitatively define what is consensus expectation?

Reprint Dai Liang's thoughts after reading. Without the author's consent, Science Network-More Different Feelings makes the content of the article clearer, hoping to help friends who haven't read this paper, or people like me who don't understand the paper understand the original text.