Chesler Analytics

book list


Technical analysis is often criticized for lacking scientific rigour or worse, for lacking any basis whatsoever. For example, this ditty is typical:

"Technical analysis involves studying graphs of stock movement over time as a way to predict future moves. It's a widely used method on Wall Street, and it has exactly the same scientific validity as pretending you are a witch and forecasting market moves from chicken droppings."
Wall Street Journal, Betting on the Bad Guys by Scott Adam, 6/5/10

Yet considerable research exists which supports and explains virtually all core technical principles, such as the existence of trending and mean reversion behavior, momentum and sentiment effects, and support and resistance. Only a small sample of the publicly available academic research is presented here, as a tribute to the doubters. Links designated PDF are internal links to Adobe PDF documents.

Academic research and misc presentations

A Century of Evidence on Trend-Following Investing - Hurst, Ooi, Pedersen
A computational exploration of the efficacy of Fibonacci Sequences in Technical analysis and trading - Bhattacharya & Kumar PDF
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets - Hong & Stein PDF
An Evolutionary Approach to Technical Trading and Capital Market Efficiency - The Wharton School PDF
An Evolutionary Adaptive Learning Model with Fundamentalists and Moving Average Traders - Gerwin A. W. Griffioen PDF
Analogy Between Scientific Study of Technical Analysis and Ethnopharmacology, Waldemar Stronka PDF
Behavior and Performance of Investment Newsletter Analysts - Yale School of Mgt. PDF

Bollinger Bands Thirty Years Later - Mark Leeds PDF
Can Exchange Rates Forecast Commodity Prices? - Chen, Rogoff, Rossi PDF
Can Individual Investors Beat the Market? - Coval, Hirshleifer & Shumway PDF
Chartist Prediction in the Foreign Exchange Market - Ahrens & Reitz
Charting and Technical Analysis - Aswath Damodaran, NYU Stern PDF
Currency Traders and Exchange Rate Dynamics - Cheung & Chinn PDF
Cultural and stock price clustering: Evidence from the People's Republic of China - Brown & Mitchell
Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis - C. L. Osler, Federal Reserve Bank of New York PDF
Does trend following work on stocks? - Cole Wilcox and Eric Crittenden PDF
Deviations from Put-Call Parity and Stock Returns PDF
Fact, Fiction and Momentum Investing - Asness, Frazzini, Israel, Moskowitz PDF
Foundations of Technical Analysis - Lo, Mamaysky & Wang PDF
Economic Fundamentals, Risk, and Momentum Profits - Liu, Warner & Zhang
Equity Returns at the Turn of the Month - Xu and McConnell PDF
Evidence for Feignebaum Universality in Stock Indices Behavior - A.V. Batunin PDF
Exchange rate changes and net positions of speculators in the futures market - Klitgaard and Weir
Expected returns and liquidity premiums on the Paris Bourse: an empirical investigation - Hamon & Jacquillat
Head & Shoulders: not just a flaky pattern - Osler & Chang, Federal Reserve Bank of New York
Herd Behavior in Financial Markets - Bikhchandani & Sharma
Herding and delegated portfolio management - Maug & Naik
How rewarding is technical analysis? Evidence from Singapore stock market - Wong, Manzur & Chew PDF
How Charts Influence Decisions to Buy and Sell Stocks PDF
High Frequency Exchange Rate Forecasting - Fiess & MacDonald PDF
Ignore Momentum at Your Own Peril - Dimson, Marsh, Staunton - PDF
Index funds and stock market growth - William Goetzmann PDF
Investor sentiment and the cross-section of stock returns - Baker & Wurgler PDF
Institutional Trading and Stock Returns - Cai & Zheng PDF
Is technical analysis in the foreign exchange market profitable? - St. Louis Federal Reserve Bank PDF
Implied Volatility Indices as Leading Indicators of Stock Index Returns? - Pierre Giot PDF
Generating Excess Returns through Global Industry Rotation - Loudon & Okunev PDF
Giving Content to Investor Sentiment: The Role of Media in the StockMarket - Paul C. Tetlock PDF
Long Lasting Momentum in Weekly Returns - Gutierrez & Kelley PDF
Macroeconomic Implications of the Beliefs & Behavior of Foreign Exchange Traders - UC Santa Cruz PDF
Market Law Found? Supply and Demand Follow Same Pattern for all Firms PDF
Market Timing: A Test of a Charting Heuristic - Leigh, Paz & Purvis
Market Timing - Aswath Damodaran, NYU Stern PDF
Momentum and Autocorrelation in Stock Returns - Lewellen PDF
Momentum Strategies - Chan, Jegadeesh, Lakonishok PDF
New Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of Technical Analysis - Neftci PDF
Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists - Westerhoff & Reitz PDF
Number Preference In Australian Stock Prices - Chris Doucouliagos
Point and Figure charting: A computational methodology and trading rule performance in the
S&P 500 futures market - Anderson & Faff
Price clustering and natural resistance points in the Dutch stock market: a natural experiment - Joep Sonnemans
Price Exhaustion and Number Preference: time and price confluence in Australian stock prices - Hristos Doucouliagos
Price Momentum and Trading Volume - Lee & Swaminathan PDF
Profitability of Momentum Strategies in the International Equity Markets - Chan, Hameed & Tong PDF
Psychological Barriers in Gold Prices? - Brian Lucey
Random Walk Hypotheses and Profitability of Momentum Based Trading Rules - Venkataramani PDF
Reference list of misc. TA related academic research papers PDF
Returns to Buying Winnners and Selling Losers: Implications for Stock Market Effeciency - Jegadeesh PDF
Return reversal in UK shares - Glen C. Arnold & Rose D. Baker PDF
Re-Examining the Profitability of Technical Analysis with White’s Reality Check - Hsu & Kuan PDF
Round Numbers and Security Returns - Edward Johnson PDF
Smoke and Mirrors? Charting and Technical Analysis - Aswath Damodaran PDF
Support for Resistance: Technical Analysis and Intraday Exchange Rates - Carol Osler PDF
Stock Market Trading Rule Discovery Using Technical Charting Heuristics PDF
Stop Loss Orders and Price Cascades in Currency Markets - Osler PDF
Systematic Noise - Barber, Odean & Zhu PDF
Technical Analysis in Foreign Exchange – The Workhorse Gains Further Ground - Gehrig & Menkhoff PDF
Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach - Fiess & MacDonald PDF
The empirical relationship between stock returns, return volatility and trading volume - Roland Mestel PDF
The Predictive Power of Head-and-Shoulders Price Patterns in the U.S. Stock Market - U. of Iowa
The Predictive Success and Profitability of Chart Patterns in the EuroDollar Foreign Exchange Market - Walid Ben Omrane, Finance Unit, Catholic University of Louvain PDF
The Profitability of Technical Analysis: A Review - Park and Irwin PDF
The Extent and Significance of Technical Analysis in the Foreign Exchange Markets - Aaron Schiff PDF
The Influence of Positive Feedback Trading on Return Autocorrelation - Bohl & Reitz PDF
The Reversal of Large Stock Price Declines: The Case of Large Firms - Benou & Richie
Temporary Movements in Stock Prices - Jonathan Lewellen PDF
Technical Analysis in Financial Markets, Gerwin A. W. Griffioen, University of Amsterdam PDF
Technical Analysis in the Foreign Exchange Market: A Layman’s Guide - Christopher J. Neely PDF
Technical Analysis and Liquidity Provisions - Kavajecz and White PDF
Technical Analysis with a Long Term Perspective: Trading Strategies and Market Timing Ability - Dušan Isakov & Didier Marti PDF
Technical Analysis, Momentum and Autocorrelation - Honga and Satchellb
The Hidden Language of the Charts - NY Times PDF
This Alchemy May Yield Real Gold - Business Week PDF
Trading Rules and Trading Volume - Stefan Nagel PDF
Trading Styles and Trading Volume - Stefan Nagel PDF
Two centuries of trend following - Capital Fund Management, Paris PDF
Use of Momentum in trading across industry sectors - Yuri Krapivin PDF
When Do Stop-Loss Rules Stop Losses? - Kaminski & Lo PDF

Market Microstructure Papers

Market Microstructure:A Practitioner’s Guide - Ananth Madhavan PDF
Price Discovery: The Impact of Orderflow and Liquidity on the Yield Curve - Brandt and Kavajecz PDF
The Microstructure Approach to Exchange Rates - Richard K. Lyons PDF
Are Supply and Demand Driving Stock Prices? - Carl Hopman PDF
Stock Returns and Trading at the Close - Cushing and Madhavan PDF
Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation - Gideon Saar PDF
The Informational Role of Stock and Option Volume - Chan, Chung, Fong PDF

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