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We propose a new set of stylized facts quantifying the structure of financialmarkets. The key idea is to study the combined structure of both investmentstrategies and prices in order to open a qualitatively new level ofunderstanding of financial and economic markets. We study the detailed orderflow on the Shenzhen Stock Exchange of China for the whole year of 2003. Thisenormous dataset allows us to compare (i) a closed national market (A-shares)with an international market (B-shares), (ii) individuals and institutions and(iii) real investors to random strategies with respect to timing that shareotherwise all other characteristics. We find that more trading results insmaller net return due to trading frictions. We unveiled quantitative powerlaws with non-trivial exponents, that quantify the deterioration of performancewith frequency and with holding period of the strategies used by investors.Random strategies are found to perform much better than real ones, both forwinners and losers. Surprising large arbitrage opportunities exist, especiallywhen using zero-intelligence strategies. This is a diagnostic of possibleinefficiencies of these financial markets.

Strategies used as spectroscopy of financial markets reveal new stylized facts