The Technical Signal Based Trading Effects on Volatility
نویسنده
چکیده
This paper examines the technical signal based trading impact on volatility. We show that technical chart patterns, occurring within the euro/dollar currency market, attract the attention of two categories of technical traders. Technical chart patterns provide signals that trigger an increase in both volatility and market activity. The technical signals take place at the end of the chart completion creating heterogeneity within the market participants.
منابع مشابه
Effective options trading strategies based on volatility forecasting recruiting investor sentiment
This study investigates the algorithm of effective option trading strategy based on the superior volatility forecasts using actual option price data in Taiwan stock market. Forecast evaluation supports the significant incremental explanatory power of investor sentiments on the fitting and forecasting of future volatility to its adversarial multiple-factor model, especially the market turnover a...
متن کاملFuzzy logic, trading uncertainty and technical trading
0378-4266/$ see front matter 2012 Elsevier B.V. A http://dx.doi.org/10.1016/j.jbankfin.2012.09.012 ⇑ Corresponding author at: Faculty of Business Ad versity, 955 Oliver Road, Thunder Bay, ON, Canada P7 fax: +1 807 343 8443. E-mail addresses: [email protected] (N. (R. Gençay). From the market microstructure perspective, technical analysis can be profitable when informed traders make systemat...
متن کاملAuthor's Personal Copy Fuzzy Logic, Trading Uncertainty and Technical Trading
From the market microstructure perspective, technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price. However, chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift. Consequently, technical...
متن کاملThe impact of algorithmic trading in a simulated asset market
Algorithmic trading (AT) in asset markets has risen in importance over the past decade, revolutionizing the way market transactions are conducted. The extant empirical literature provides sometimes contradictory results on the impact of AT on market quality parameters such as liquidity and volatility. In this work we create a computer simulated asset market in order to make the effects of algor...
متن کاملAre Technical Trading Rules Profitable? Evidence for Head-and-Shoulder Rules1
The profitability of chartist trading rules on foreign exchange markets is still under debate. Since simple technical trading rules may not adequately capture the complex phenomenon of chartist trading, this paper focuses on the prominent head-and-shoulder pattern as a representative trading rule which incorporates various „technical“ ideas such as smoothed trends, trend reversal, resistance le...
متن کامل