Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market
نویسندگان
چکیده
منابع مشابه
Market efficiency and the returns to simple technical trading rules: new evidence from U.S. equity market and Chinese equity markets
Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did...
متن کاملReturn, Trading Volume, and Market Depth in Currency Futures Markets
We use a class of stochastic volatility models with multiple latent factors to investigate the joint dynamics of return, trading volume, and open interest (a proxy for market depth) in currency futures markets. In accordance with theory, the empirical evidence indicates that there is more than one latent factor affecting these three variables. However, the evidence is ambivalent on the choice b...
متن کاملMarket Time DataTM Improving Technical Analysis and Technical Trading
The purpose of this paper is to demonstrate that by changing the underlying data used in technical analysis and technical trading systems the performance of these techniques can be greatly improved. We present two techniques – one for real-time (intraday) data and one for standard daily (end-of-day) data. For high frequency data we present a dynamic sampling technique that can generate a time s...
متن کاملThe Impact of Investor Sentiment on the Futures Market: Evidence from the Taiwan Futures Exchange
This study examines the impact of investor sentiment on the Taiwan Futures Exchange. The application of the EGB2 model reveals the existence of a clear and significant relationship between sentiment and volatility, particularly in the MSCI, TE and TF futures markets. We find that all sentiment variables have limited forecasting power, and that negative return shocks will ultimately lead to an i...
متن کاملDiscovering Technical Traders in the T-bond Futures Market
This study uncovers trading styles in the transaction records of US Treasury bond futures. We use statistical clustering techniques to group together trades that are similar. Trade profit was held back in the clustering process. Results show that clusters differ significantly in their profit and risk characteristics. Some clusters uncover "technical" trading rules. Using the information about t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computational Economics
سال: 2018
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-018-9851-4