Technical analysis and liquidity provision

• 成果类型: Article
• 署名作者: Kavajecz, KA; Odders-White, ER
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg057
• 发表日期: 2004
• 页码: 1043
• 关键词: COMPUTATIONAL ALGORITHMS; statistical-inference; MARKET-EFFICIENCY; Trading rules; FOUNDATIONS; DYNAMICS; tests

摘要

The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We explore a previously unexamined feature of technical analysis-namely its relation to liquidity provision. We demonstrate that support and resistance levels coincide with peaks in depth on the limit order book and moving average forecasts reveal information about the relative position of depth on the book. Furthermore, we show that these relationships stem from technical rules locating depth already in place on the limit order book.