Technical Trading with Imperfect Competition

时间:2018-04-10浏览:31设置

ShanghaiTech SEM Working Paper No. 2018-001


Ming Guo

ShanghaiTech University - School of Entrepreneurship and Management


Abstract

Technical analysis (TA) is modeled as a method to infer market liquidity demand.An informed trader and a number of uninformed technical traders employ TA and trade strategically with liquidity traders and risk-averse market makers. Price change is positively related to both order flow and accumulated order flow in the presence of technical traders...


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Keywords: Technical analysis; risk-averse market makers; imperfect competition; illiquidity; efficiency

JEL Classification: D4, D82, D84, G11, G12, G14


Date Written: March 30, 2018


Available at SSRN: https://ssrn.com/abstract=3152730


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