  We propose a new set of stylized facts quantifying the structure of financial
markets. The key idea is to study the combined structure of both investment
strategies and prices in order to open a qualitatively new level of
understanding of financial and economic markets. We study the detailed order
flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This
enormous 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 share
otherwise all other characteristics. We find that more trading results in
smaller net return due to trading frictions. We unveiled quantitative power
laws with non-trivial exponents, that quantify the deterioration of performance
with frequency and with holding period of the strategies used by investors.
Random strategies are found to perform much better than real ones, both for
winners and losers. Surprising large arbitrage opportunities exist, especially
when using zero-intelligence strategies. This is a diagnostic of possible
inefficiencies of these financial markets.
