Currency orders and exchange rate dynamics: An explanation for the predictive success of technical analysis

• 成果类型: Article
• 署名作者: Osler, CL
• 署名单位: Brandeis University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00588
• 发表日期: 2003
• 页码: 1791-1819
• 关键词: stock; price; MARKET; transactions; futures; volume

摘要

This paper documents clustering in currency stop-loss and take-profit orders, and uses that clustering to provide an explanation for two familiar predictions from technical analysis: (1) trends tend to reverse course at predictable support and resistance levels, and (2) trends tend to be unusually rapid after rates cross such levels. The data are the first available on individual currency stop-loss and take-profit orders. Take-profit orders cluster particularly strongly at round numbers, which could explain the first prediction. Stop-loss orders cluster strongly just beyond round numbers, which could explain the second prediction.