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Market Ecologies : The Effect of Information on the Interaction and Profitability of Technical Trading Strategies

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journal contribution
posted on 18.02.2016, 12:22 by Daniel Ladley, A. Jackson
Technical trading strategies make profits by identifying and exploiting patterns in market prices—patterns generated by the interaction of market participants. Using a model market populated by individuals using a range of trading rules we show that the presence of technical traders may be beneficial, in some cases reducing volatility and increasing price efficiency. In particular, contrarian traders who base their decisions on high frequency data have the largest positive effect. It is also found that if technical traders condition their actions using ‘real time’ information, they partially emulate arbitrageurs and make positive profits.

History

Citation

International Review of Financial Analysis 2016, 47, pp. 270–280

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/Department of Economics

Version

AM (Accepted Manuscript)

Published in

International Review of Financial Analysis 2016

Publisher

Elsevier

issn

1057-5219

Acceptance date

10/02/2016

Copyright date

2015

Available date

17/02/2019

Publisher version

http://www.sciencedirect.com/science/article/pii/S1057521916300151

Notes

The file associated with this record is under a 36-month embargo from publication in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.

Language

en