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Technical Analysis Phenomenon in the Light of Agent-Based Modeling
Abstract
The phenomenon of technical analysis on financial markets is related to the effectiveness of technical analysis tools on the forex and futures markets, and huge popularity among investors. Classical models of financial markets do not provide the opportunity to examine the influence on prices of investors using technical analysis. Agent-based modeling, in particular, presented Westerhoff’s model, enables better understanding of the prices processes on the financial markets, by taking into account the interaction between different groups of investors. Statistical characteristics of assets’ prices on an artificial financial market did not differ from the values observed on the actual stock exchange. Matching linear regression model to the generated path allows positive verification of the hypothesis of greater volatility in periods of increased activity of investors using technical analysis methods.
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DOI: http://dx.doi.org/10.17951/h.2016.50.4.279
Date of publication: 2017-02-20 17:31:15
Date of submission: 2016-07-04 09:40:40
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Copyright (c) 2017 Elżbieta Aniela Kubińska, Tomasz Wira
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