Identifying noise traders: the head-and-shoulders pattern in U.S. equities

This paper identifies a specific set of agents as noise traders in U.S. equity markets, and examines their effects on returns. These agents, who speculate using the "head-and-shoulders" chart pattern, are shown to qualify as noise traders because (1) trading volume is exceptionally high when they are active, and (2) their trading is unprofitable. Head-and-shoulders sales lower prices and vice versa, effects that disappear within two weeks.

MoreLess

Year of publication:	1998
Authors:	Osler, C. L.
Institutions:	Federal Reserve Bank of New York
Subject:	Stock market \| Stock - Prices

More details

Extent:	text/html application/pdf
Series:	Staff Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 42
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005420491