English, Article edition: TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS FRANK H. WESTERHOFF

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Physical Description
  • article
Language
  • English

Edition details

Title
  • TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
Author
  • FRANK H. WESTERHOFF
Physical Description
  • article
Notes
  • We propose a novel stock market model and investigate the effectiveness of trading breaks. Our nonlinear model consists of two types of traders: while fundamentalists expect prices to return towards their intrinsic values, chartists extrapolate past price movements into the future. Moreover, chartists condition their orders on past trading volume. The model is able to replicate several stylized facts of stock markets such as fat tails and volatility clustering. Using the model as an artificial stock market laboratory we find that trading breaks have the power to reduce volatility and â if fundamentals do not move too strongly â also mispricing.
  • Stock market dynamics, technical and fundamental analysis, stylized facts, market efficiency, trading breaks, computer experiments
  • RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:227-244
Language
  • English
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