Profitable technical trading rules as a source of price instability

Goldbaum, D

Profitable technical trading rules as a source of price instability

Goldbaum, D

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Publication Type:: Journal Article
Citation:: Quantitative Finance, 2003, 3 (3), pp. 220 - 229
Issue Date:: 2003-06-01

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Field	Value	Language
dc.contributor.author	Goldbaum, D https://orcid.org/0000-0002-4228-1408	en_US
dc.date.issued	2003-06-01	en_US
dc.identifier.citation	Quantitative Finance, 2003, 3 (3), pp. 220 - 229	en_US
dc.identifier.issn	1469-7688	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3458
dc.description.abstract	This model incorporates technical trading rules (TTRs) that extract information from the price, allowing the users to benefit from the information. Sustainable profits are possible as long as the price movements reflect changes in the security's intrinsic value. The choice to use the TTR rather than fundamental information is endogenous to the model. Increases in the popularity of the TTR can produce price bubbles and diminish the TTR's ability to extract a reliable signal. Large fluctuations in the TTR's popularity lead to unsustainable periods of positive profits coupled with long-term losses.	en_US
dc.relation.ispartof	Quantitative Finance	en_US
dc.relation.isbasedon	10.1088/1469-7688/3/3/308	en_US
dc.subject.classification	Finance	en_US
dc.title	Profitable technical trading rules as a source of price instability	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	3	en_US

Abstract:

This model incorporates technical trading rules (TTRs) that extract information from the price, allowing the users to benefit from the information. Sustainable profits are possible as long as the price movements reflect changes in the security's intrinsic value. The choice to use the TTR rather than fundamental information is endogenous to the model. Increases in the popularity of the TTR can produce price bubbles and diminish the TTR's ability to extract a reliable signal. Large fluctuations in the TTR's popularity lead to unsustainable periods of positive profits coupled with long-term losses.

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http://hdl.handle.net/10453/3458