Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate

摘要: The study analyses the interaction between trading behaviour of 1,024 moving average and momentum models fluctuations yen/dollar exchange rate. paper shows first that these would have exploited rate trends quite profitably 1976 1999, then aggregate transactions positions technical exert an excess demand pressure on currency markets since they are mostly at same side market. When produce signals either buying or selling; when maintain open long short. A strong prevails movements triggered by models. An initial rise due to news, e.g., is systematically lengthened through a sequence buy signals.