Chapter

Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume

Markus K. Brunnermeier

in Asset Pricing under Asymmetric Information

Published in print January 2001 | ISBN: 9780198296980
Published online November 2003 | e-ISBN: 9780191596025 | DOI: http://dx.doi.org/10.1093/0198296983.003.0004
Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume

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Focuses on dynamic models. The emphasis is on explaining technical analysis. These models show that past prices still carry valuable information. Some of these models also explain why it is rational for some investors to ‘chase the trend’. Other models are devoted to the informational role of trading volume. The insiders’ optimal dynamic trading strategy over different trading periods is derived in a strategic model setting.

Keywords: dynamic trading models; forecasting; infinite regress problem; technical analysis; trading volume; trend‐chasing

Chapter.  23302 words. 

Subjects: Financial Markets

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