Technical Trading Rules, Volatility and Autocorrelation Patterns of Stock Returns

Start year: 2002

Summary: This project will seek to reconcile two observed features of financial markets. The first feature is that technical trading rules (that use certain patterns in stock price movements as buy/sell signals) are widely used by financial market practitioners. The second feature is that empirical studies indicate that there is a high degree of positive autocorrelation in stock returns, indicating that stock market movements in a certain direction tend to be self re-inforcing. A number of empirical studies have tried, with mixed success, to find a link between these two features of financial markets. This project will give a fresh perspective on this issue by building a theoretical model of technical trading rule behaviour. The dynamic characteristics of the model as a function of investor behaviour will be analysed.

Publications:

He, X-Z & Zheng, H 2016, 'Trading Heterogeneity Under Information Uncertainty', Journal of Economic Behavior and Organization, vol. 130, pp. 64-80.
View/Download from: Publisher's site

FOR Codes: Finance and investment services, Microeconomic issues not elsewhere classified, Economic issues not elsewhere classified, Applied Economics not elsewhere classified, Finance Economics, Finance, Financial Economics, Economics of Education, Economics of education

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.