经济与社会科学2019papers.ssrn.com
靠日内交易为生？
Day Trading for a Living?
入门 · 约 45 分钟读完前置知识：日内交易基本概念、股票市场基础
导读
这篇论文研究了巴西股指期货市场中 2013–2015 年间开始日内交易（day trading）的个人交易者，追踪其长期表现。核心结论是：绝大多数日内交易者难以靠此谋生——只有极少数人能持续盈利，日内交易作为职业的成功率极低。
HN 关注点：是因为"能否靠日内交易为生"是个人理财领域的经典争议话题，而该研究用大样本真实数据给出了否定性证据，同时巴西市场的案例也引发了对交易培训行业营销骗局的讨论。
HN 评论精选
这几条评论里：质疑 1 补充 2 亲历 1
亲历巴西交易培训公司靠卖课和私有平台收割散户，甚至可能针对学员策略反向操作
他们写这篇文章是有原因的：有很多公司在欺骗巴西民众。我是巴西金融市场的软件开发者，也在作者所在的大学修过金融课程。近年来巴西股市爆发式增长，我的很多朋友决定去"做交易员"，他们都没有市场知识和经验，每次赚点钱就发 Instagram。这股狂热的根源是三四家公司的营销，它们兜售"通过高风险金融市场课程实现财务自由"的梦想，通常给名人免费提供课程，再利用名人形象说服大众。有意思的是，他们卖课程时通常附带一个私有交易平台——我怀疑他们用这个平台收集数据、针对使用该平台的交易者反向操作：因为他们知道学员会用什么策略（毕竟是他们教的），所以很容易反向收割。
jhoutromundo查看英文原文
They have a reason to make that article: there is a lot of companies fooling the Brazilian people over this. I'm a Brazilian software developer for the financial market. I also made some financial courses on the same university that the authors. Brazilian stock exchange market has exploded in the last years and most of my friends decided to 'work' as traders. None of them with prior knowledge or experience in the market. All of the posts on Instagram every time they earn some money. The cause for this fever was the marketing around 3 or 4 companies who sell the dream of financial independence through high-risk financial market lessons. Normally they offered courses to famous people for free and use their image to convince the rest of us. One interesting thing: they normally sell the course with a private platform to trade the stocks included. I believe that they use that platform to collect data and operate against the traders that use that platform. They know the strategy that they are going to use (because they teach them), so it is easy to operate against.
补充补充资料：Jim Simons 用算法长期跑赢市场是少数成功案例
推荐一个精彩的故事：世界级数学家 James Simons 创建了一家用算法在过去几十年持续跑赢市场的公司。相关链接：TED 演讲、YouTube 视频、维基百科。另外，Simons 基金会资助了 Quanta Magazine，其文章经常出现在 HN 上。
melling查看英文原文
For anyone interested in a great story about a world class mathematician who built a company that has used algorithms to beat the market for the last few decades, James Simons has an impressive record: https://www.ted.com/talks/jim_simons_a_rare_interview_with_the_mathematician_who_cracked_wall_street?language=en https://m.youtube.com/watch?v=QNznD9hMEh0 https://en.m.wikipedia.org/wiki/Jim_Simons_(mathematician) One other thing, the Simons Foundation funds Quanta Magazine, whose articles frequently appear on HN: https://www.quantamagazine.org/
质疑质疑研究样本期和方法能否支撑如此强的结论
我不怀疑标题结论，但"观察 2013 到 2015 年间在巴西股指期货市场开始日内交易的所有个人"这种取样方式，似乎是个得出该结论的奇怪途径。
davidu查看英文原文
I don't doubt the headline, but "We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market" seems like a weird way to come to that conclusion.
补充样本期恰逢巴西熊市放大了失败率，但这也说明靠交易谋生极难
2013 年初到 2015 年底，巴西股市表现非常糟糕，这大概解释了为什么几乎不可能赚钱——多数交易者应该是做多而非做空，即使只持仓一天，三年平均下来也会承受显著的下行压力。不过市场差只是随机性，恰恰说明了靠投资收入谋生的一大难处：有时行情会长期很糟，而账单还得照付。这还没算这些人是否大幅跑输大盘——他们很可能跑输了，但肯定也有人靠运气或技术跑赢。每个人都应该小额尝试一下股票投资，体会它有多难。这可能是世界上最难的赚钱方式，连最顶尖的投资者也常有糟糕的几年并因此终结职业生涯。
wtvanhest查看英文原文
If you take Jan 1, 2013 to Dec 31st, 2015, the Brazillian stock market did very, very poorly. That probably explains why it was nearly impossible since most traders are probably long, not short the market. So even taking 1 day positions in stocks, still on average over 3 years will experience signifigant downward price pressure. That said, the fact that the market is bad, is just randomness and shows one of the major difficulties with relying on investment income to support your life. Sometimes stuff just sucks, for very long periods of time. Meanwhile you must pay your bills. That doesn't even get in to whether or not these people dramatically underperformed the market. They very likely did, but I also bet some of them outperformed based on luck or skill. Stock market investing is something everyone should try at somepoint in small doses just to understand how difficult it is. Its probably the hardest way to make money in the world and even the best investors usually have a bad few years which ends their careers.
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