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...
[View Full Text and Download PDF Version]
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
