برخی از مسائل بر ثبات معاملات مبتنی بر تجزیه و تحلیل فنی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|28364||2004||16 صفحه PDF||سفارش دهید||7538 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 337, Issues 3–4, 15 June 2004, Pages 609–624
Some stability effects of technical trading on financial/commodity markets are analyzed in this paper. Technical trading is characterized by using past price information within a time-delay horizon to forecast future price dynamics. By introducing fundamental and technical excess demand functions, the market dynamics is modeled as a time-delayed differential equation, whose (local) stability is determined by means of root-locus techniques. It is proven that the larger the time-delay horizon, the larger the stability margin. This means that short-run technical trading is more likely to induce market instabilities than large-run technical trading. It is also shown that, as expected, the larger the relative weight of technical trading with respect to fundamental trading, the smaller the stability margin of the market dynamics.
Fundamental trading strategies consist of macro, strategic assessments of where an asset, currency or commodity should be traded based on virtually any criteria but the price action itself. These criteria often include, e.g., economic conditions of the firm or the country, monetary policy and other “fundamental” elements  and . On the other hand, technical trading is probably the most common mean of making decisions and analyzing markets, including financial, forex and commodity markets. Technical trading differs from fundamental analysis in that technical analysis is applied only to the price action of the market, ignoring the fundamental factors . As fundamental data can often provide only a long-term or delayed forecast of price movements, technical analysis has become the primary tool with which to successfully trade shorter-term price movements and to set stop loss and profit target. Technical analysis consists primarily of a variety of technical studies, each of which can be interpreted to generate buy and sell signals or to estimate market direction  and . For instance, the head-and shoulder pattern is a representative chartist trading rule which incorporates various technical ideas such as smoothed trends, trend reversal and resistance levels  and . Foreign exchange markets are prominent examples of financial systems where technical rules have devoted a great influence  and . Traditionally, academic scholars have been skeptical about the usefulness of technical trading , probably due to the widespread feeling that relative prices must somehow be related to fundamentals and technical trading simply ignores fundamentals. Also many scholars doubt the very existence of some stable and rigid patterns in price behaviors. However, in the practice counterpart, these techniques continue to be very popular among market participants , , ,  and . In this way, a theoretical analysis intended to improve our understanding of market dynamics should consider the (positive and negative) effects of both fundamental and technical trading. In fact, the popularity of technical analysis, regardless of arguments in favor  or against  and its true profitability in actual markets, will have a significant impact on market stability and performance. Departing from Day and Huang's work , in the last decade a rapidly increasing interest in understanding the interaction between fundamental and technical trading can be observed. This is important since, in many markets, traders seems to use a combination of both strategies. Kirman , Brock and Hommes  and Lux and Marchesi  have used evolutionary games to study the effect of non-linearities by traders’ switching between technical and fundamental forecast rule. Farmer and Joshi  have used simple one-step ahead market models to study the interactions between technical traders and fundamentalists. Schmidt  has used a simple trading model to show that if technical traders are able to affect the market liquidity, their concerted actions can move the market price in the direction favorable to their strategy. As mentioned before, technical traders look for patterns in past prices, within a certain time window, and base their forecasts upon extrapolation of these patterns. In this way, technical trading can be seen as rules that fed back past (i.e., delayed) prices into the market dynamics. Although some important insights on the understanding of the market stability in the presence of technical trading have been gained with recent published works, there are several problems that deserve further study. Such problems include (i) the effects of fed-backing time-delayed prices by technical traders, and (ii) the role of fundamental trading in counteracting the possible unstabilizing of technical trading. In principle, information on these effects would provide a better understanding on the impacts of, e.g., short- and long-term price forecasting and trading in market dynamics. In turn, understanding in this line would allow policymakers to design systematic and successful strategies for stabilizing, e.g., forex markets . The aim of this paper is to study some effects of technical trading on the stability of markets. Specifically, we are interested on gaining some insights about the positive and negative effects of trading based on technical analysis on the performance and instability of market dynamics. By introducing fundamental and technical excess demand functions, the market dynamics is modeled as a time-delayed differential equation, for which a rigorous (local) stability analysis is made by means of root-locus techniques. It is proven that the larger the time-delay horizon is, the larger the stability margin becomes. This would indicate that short-run technical trading is more likely to induce market instabilities than large-run technical trading. It is also shown that, as expected, the larger the relative weight of technical trading with respect to fundamental trading, the smaller the stability margin of the market dynamics. Some comments on the economics implications of our results are also provided.
نتیجه گیری انگلیسی
Technical analysis can introduce complex phenomena in the dynamics of commodities, exchange currencies and stock markets, such as instabilities, sluggish dynamics, etc. Although the profitability of technical rules has been under discussion, they have to be studied in order to evaluate the positive and negative impacts on the market performance and stability. In this research line, we have used a simple price dynamics model with chartists and fundamentalists to study some stability issues associated with technical trading activity. By using a simple first-order price-trending rule that captures the essential features (e.g., use of delayed information) of the complex chartist trading, we have shown that technical trading can produce unstable departures from the fundamental equilibrium. This unstable behavior is more likely to occur when the expectations based on estimated price-trends are unrealistically magnified. Interestingly, such instability can be reduced if larger technical analysis time windows are used, inducing a sort of low-pass filtering in the price dynamics. That is, by using large technical analysis time windows, fast (high-frequency) dynamics that could lead to market instabilities are washed out and so are not fed back into the market activity. These findings lead naturally to the question of how a market undergoing an unstable stage can be stabilized around a commonly unknown fundamental price. It seems that technical trading can offer a suitable solution. In fact, technical trading does not make use of any estimate of fundamental value, so its implementation is made on the basis of price trends only. On the other hand, under certain trading parameters (in our terminology, conservative trend-following trading), technical trading acts as a damper of the market dynamics, which could lead to an effective counteraction of instabilities introduced by exacerbated expectations (in our terminology, optimistic trend-following trading). In turn, this corresponds to a feedback control problem that should be addressed in a future work.