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摘要翻译：
研究了一组股票的集体动态可能导致一个特定的篮子违反有效市场假说的可能性。精确地说，我们表明，当被检测的时间尺度在几十秒量级时，系统地形成一个具有非平凡自相关结构的篮子是可能的。而且，我们表明这种情况是持续的，足以允许某种预测。
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英文标题：
《Optimizing a basket against the efficient market hypothesis》
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作者：
Fr\'ed\'eric Abergel and Mauro Politi
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are at the order of tens of seconds. Moreover, we show that this situation is persistent enough to allow some kind of forecasting.
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PDF链接：
https://arxiv.org/pdf/1006.5230
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