Noise Trading and Technical Analysis
Date Issued
2005
Date
2005
Author(s)
Chen, Ming-Shenq
DOI
en-US
Abstract
Technical analysis is the use of past prices to infer future value of risky assets, and noise trading is a kind of trading behavior of uninformed traders. It and random supply prevent prices from fully revealing market information. In the rational economy, technical analysis has value under the assumption that traders have rational conjectures on the relation between prices and signals and prices can partially reveal market information. A three-period dynamic rational expectation equilibrium model under noisy and asymmetric information is used to demonstrate the changes of the value of technical analysis, market efficiency and the relationship between prices and volume while the market structure is unstable.
Subjects
雜訊
技術分析
理性預期模型
noise
technical analysis
REE model
asymmetric information
Type
thesis
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