Market ecologies: The effect of information on the interaction and profitability of technical trading strategies

Jackson, Antony and Ladley, Daniel (2016) Market ecologies: The effect of information on the interaction and profitability of technical trading strategies. International Review of Financial Analysis, 47. 270–280. ISSN 1057-5219

Preview

PDF (Accepted manuscript) - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (295kB) | Preview

Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	technical trading rules,artificial market,market ecology
Faculty \ School:	Faculty of Social Sciences > School of Economics
Depositing User:	Pure Connector
Date Deposited:	22 Mar 2016 09:27
Last Modified:	22 Oct 2022 00:49
URI:	https://ueaeprints.uea.ac.uk/id/eprint/57770
DOI:	10.1016/j.irfa.2016.02.007

Downloads

Actions (login required)

View Item