Technical Analysis and Liquidity Provision.pdf

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1、TheSocietyforFinancialStudiesTechnicalAnalysisandLiquidityProvisionAuthor(s):KennethA.KavajeczandElizabethR.Odders-WhiteSource:TheReviewofFinancialStudies,Vol.17,No.4(Winter,2004),pp.1043-1071Publishedby:OxfordUniversityPress.Sponsor:TheSocietyforFinancialStudies.StableURL:http://www.jsto

2、r.org/stable/3598058.Accessed:09/04/201312:12YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawidera

3、ngeofcontentinatrusteddigitalarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..OxfordUniversityPressandTheSocietyforFinancialStudiesarecollaboratingwithJSTORtodigitize,preserveand

4、extendaccesstoTheReviewofFinancialStudies.http://www.jstor.orgThiscontentdownloadedfrom59.77.20.126onTue,9Apr201312:12:51PMAllusesubjecttoJSTORTermsandConditionsTechnicalAnalysisandLiquidityProvisionKennethA.KavajeczUniversityofWisconsin-MadisonElizabethR.Odders-WhiteUniversityofWisconsin

5、-MadisonTheapparentconflictbetweenthelevelofresourcesdedicatedtotechnicalanalysisbypractitionersandacademictheoriesofmarketefficiencyisalong-standingpuzzle.We-exploreapreviouslyunexaminedfeatureoftechnicalanalysisnamelyitsrelationtoliquidityprovision.Wedemonstratethatsupportandresistancel

6、evelscoincidewithpeaksindepthonthelimitorderbookandmovingaverageforecastsrevealinforma-tionabouttherelativepositionofdepthonthebook.Furthermore,weshowthattheserelationshipsstemfromtechnicalruleslocatingdepthalreadyinplaceonthelimitorderbook.Thereisanongoingbeliefintheinvestmentcommunityth

7、attechnicalanalysis,whichinvolvesthestudyofpastpriceandvolumedata,canbeusedtoinferthedirectionoffutureprices.Asubstantialsegmentoftheinvestmentsindustryisdedicatedtothisformofanalysis,withvirtuallyallinvestmentbanksandtradingfirmsemployingsometechnicaltradingstrateg