Technical Analysis Bibliography (last updated in 1998)
Academic research on technical analysis has been surprisingly unprogressive since its inception in the 1950s. Forty years later, we still lack basic definitions and an uncontroversial set of stylised empirical facts to be explained. While tens of articles on technical analysis have appeared in top journals, they have failed to establish a direction for research in this area. As a result, research in the field remains highly fragmented.
This fragmentation has led to research that is not always well connected to the existing literature. The bibliography below is intended as a partial remedy to this problem and as a first step towards a review of the technical analysis literature (on which I am currently working). This review will propose some definitions, collect the most important research issues and empirical evidence as well as provide a classification of extensive bibliographic references.
The definition of 'Technical Analysis' used to compile this bibliography is that of Skouras (2001). According to this definition the use of decision rules that allow an investor to take at most trinary positions in a market (long, short or neutral) constitutes Technical Analysis. The terms technical trading, chartism and market timing are often used synonymously. My intention is to include any academic research that examines such rules (including for example papers that measure the 'Economic Value' of an econometric model by using it in a technical trading rule) in the bibliography. The bibliography does not include the countless papers published in practitioner journals (unless some paper in such a journal has been referred to often in the academic literature) but suggests where these can be found.
If you know of a paper I have missed which you believe meets these criteria or if you are writing a forthcoming paper which you think should be included in this bibliography, please do not hesitate to contact me. If you find this resource useful, please reference it in your work.
Acar E., Satchell S. (Eds), 1997, Advanced Trading Rules, Butterworth-Heinemann.
Alexander S. S., 1961, 'Price Movements in speculative markets: trends or random walks', Industrial Management Review v2 n2, May, 7-26.
S., 1964, 'Price Movements in speculative markets: trends or random walks,
No.2', in P. H. Cootner (Ed.), The random
character of stock prices, (MIT,
Allen F., Karjalainen R., 1996, 'Using Genetic Algorithms to find
Technical Trading Rules', working paper,
Allen P. M., Phang H. K., 1994, Managing Uncertainty in Complex Systems: Financial Markets, in Evolutionary Economics and Chaos theory, in L. Leyesdorff, P. Van den Besselaar,(eds) 1994, Evolutionary Economics and Chaos Theory, Pinter, London.
Allen P. M., Phang K., 1993, Evolution, Creativity and Intelligence in Complex Systems, in H. Haken and A. Mikhailov (eds.), Interdisciplinary approaches to Nonlinear Complex Systems, Springer-Verlang, Berlin, 1993.
Baskin B., 199?, Technical Analysis, the stochastic properties of securities prices and profits in trading, Unpublished Ph.D. dissertation CUNY.
Bessembinder H. and Chan K., 1998, `Market Efficiency and the returns to technical analysis', Financial Management, 27 (2), 5-17.
Bessembinder H. and Chan K., 1997, `The profitability of Technical Trading Rules in the Asian Stock Markets', Pacific-Basin Finance Journal, July, 257-284.
Bilson J.F.O., ' 'Technical' currency trading', in The Currency Hedging Debate, Lee R. Thomas III (Ed.), IFR Pubishing, London
Bird P. J. W. N., 1985, 'The Weak form efficiency of the London Metal Exchange', Applied Economics 17, 571-587.
Brock W., Lakonishok J., LeBaron B., 1992, 'Simple Technical Trading Rules and the stochastic properties of Stock Returns', Journal of Finance, 47(5): 1731-1764.
Brock W., Lakonishok J., LeBaron B., 1991, Simple Technical Trading Rules and the Stochastic properties of Stock Returns, Santa Fe Institute working paper. (NB: Includes some material in addition to that of the JoF paper).
Brown S. J., W. N. Goetzmann and A. Kumar, 1998, 'The Dow Theory: William Peter Hamilton's Teack Record Reconsidered', working paper.
Chang P.H.K. and C.L. Osler, 1994, 'Evaluating Chart-based technical analysis: The head and shoulder pattern in foreign exchange markets', Federal Reserve Bank of New York research paper.
Chiang T. F., 1992, Technical Trading Rules Based on Classifier Systems: A New Approach ro Learn from Experience, Unpublished Dissertation UCLA.
Cheung Y., Wong C.Y., 1997, 'The performance of trading rules on four asian currency exchange rates', Multinational Finance Journal, v1 n1., 1-22.
Conrad J. and G. Kaul, 1998, 'An Anatomy of Trading Strategies', Review of Financial Studies, V.11, No.3, pp.489-519.
Cornell, W. B. and Dietrich, J. K. (1978) The efficiency of the market for foreign exchange under floating exchange rates. Review of Economics and Statistics 60, 111-120.
Corrado, C.J. and S.H. Lee, 1992, 'Filter Rule tests of the economic significance of serial dependencies in daily stock returns', Journal of Financial Research, 15(4), 369-387.
Curcio R., C. Goodhart, D. Guilaume and R. Payne, 1997, 'Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market', Int. J. Fin. Econ. v2, n4. Special Issue on Technical Analysis and Financial Markets.
Dacorogna M. M., 1995, 'The Main ingredients of simple trading models for use in genetic algorithm optimization', Olsen Associates internal document 1993-03-22.
Dooley, M. P.
and Shafer, J. (1983), 'Analysis of short run exchange rate behavior: March
1973 to November 1981', in Exchange Rate and Trade Instability: Causes,
Consequences and Remedies, eds D. Bigman and T. Taya, pp. 43-69.
Fama E.F. and M.E. Blume, 1966, 'Filter rules and stock market trading', Journal of Business, 39, 226-241.
Gencay Ramazan, 1998, 'Optimization of technical trading strategies and the profitability in security markets', Economics Letters 59, 249-254.
Gencay Ramazan, 1999, `Linear, Nonlinear and Essential Foreign Exchange Rate Prediction with Simple Technical Trading Rules', Journal of International Economics, 47(1), 91-107.
Gencay Ramazan, 1996, `Non-linear Prediction of Security Returns with Moving Average Rules', Journal of Forecasting, 15, 165-174.
Gencay R. and T. Stengos, 1996, 'Technical Trading
Rules and the size of the risk premium in security returns',
Gencay Ramazan, 1996, `The predictability of
security returns with simple technical trading rules',
Goldbaum D., 1996, 'A nonparametric examination of market information:
Application to Technical Trading Rules',
D., Schulmeister S., (1989), ''Technical Analysis and Stock Market
Goodhart C.A.E. and R. Curcio, 1992, 'When support/ resistance levels are broken, can profits be made? Evidence from the foreign exchange market.', LSE Financial Markets Group Discussion Paper Series, L.142, July.
Henriksson and Merton R. C., 1981, 'On market timing and investment performace II: Statistical procedures for evaluating forecasting skills', Journal of Business, 54, 513-533.
Hudson R., Dempsey M., K. Keasey, 1996, 'A Note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994', Journal of Banking and Finance, 20, 1121-1132.
Irwin S. H., and J. W. Uhrig, 1984, 'Do Technical Analysts have holes in their shoes?', Review of Research in Futures Markets, 3: 264-277.
James, F., 1968, 'Monthly Moving Averages: - An effective investment tool', Journal of Financial and Quantitative Analysis, 3, 315-526.
Jensen, M. and G. Bennington, 1970, ''Random Walks and Technical Theories: Some Additional Evidence', Journal of Finance, 25, 469-482.
Kho B. C., 1996, Time-varying risk premia, volatility and technical trading rule profits: Evidence from foreign currency futures markets, Journal of Financial Economics 41:249-290.
Knez P. J. and M. J. Ready, 1996, 'Estimating the Profits from Trading Strategies', Review of Financial Studies, v9, n4.
LeBaron B., 1998, `Technical Trading rules and Regime shifts in Foreign Exchange', in Acar E. and Satchell S. (eds), Advanced Trading Rules, Butterworth Heinemann.
LeBaron B., 1998b, `An evolutionary bootstrap method for selecting dynamic
LeBaron, B. (1996) Technical trading rule
profitability and foreign exchange intervention. NBER
Working Paper 5505 or
LeBaron B., (199?), 'Nonlinear Diagnostics and Simple Trading Rules for High-Frequency Foreign Exchange Rates', in Predicting the Future and Understanding the Past: A Comparison of Approaches , N. Gershenfeld and A. Weigend. (Eds.) Addison-Wesley, 1993.
LeBaron B, 1992, 'Do Moving Average Trading Rule Results Imply Nonlinearities in the Foreign Exchange Markets?', U. Wisconsin w.p..
Lee, Ch. I. and Mathur,
Leitch G. and J.E. Tanner, 1991, 'Economic Forecast Evaluation: Profits Versus the Conventional Error Measures', AER 81(3), pp. 580-590.
Leuthold R., 1972, 'Random Walk and Price Trends: The Live Cattle Futures Market', Journal of Finance, 27: 879-889.
Levich R., and L. Thomas, 1993, 'The significance of technical-trading rules profits in the foreign exchange market: A bootstrap approach', Journal of International Money and Finance, 12(5), 451-474.
Levy R.A., 1971, ''The predictive significance of Five-Point Chart Patterns'', Journal of Business, Vol. 44, No. 3, July: 316-323.
Levy R.A., 1967, ''Relative Strength as a Criterion for Investment Strategies '', Journal of Finance, 22, 595-610.
Logue D., R. Sweeney and T. Willett, 1978, ''The Speculative Behaviour of Foreign Exchange Rates During the Current Float'', Journal of Business Research Vol. 6, May: 159-74.
Lukac L.P. and B.W. Brorsen, 1990, 'A comprehensive test of futures market disequilibrium', The Financial Review, v.25 n.4, 593-622.
Lukac L.P. and B.W. Brorsen and S.H. Irwin, 1989, 'The usefulness of historical data in selecting parameters for technical trading systems', Journal of Futures Markets 9, 55-65.
Lukac L.P. and B.W. Brorsen and S.H. Irwin, 1988, 'Similarity of computer guided technical trading systems', Journal of Futures Markets 8, 1-13.
Lukac L.P., B.W. Brorsen and S.H. Irwin, 1988, 'A test of futures market disequilibrium using twelve different technical trading systems', Applied Economics, 20, 623-639.
Lukac L.P., B.W. Brorsen and S.H. Irwin, 198?, A comparison of twelve technical trading systems, Traders Press also available as Station Bulletin #495, Department of Agricultural Economics, Purdue University, 1986.
Lyon A.B., 1990, 'Capital Gains tax rate differentials and tax trading strategies', U. of Maryland, w.p. 90-27.
Menkhoff, L. and Schlumberger, M. (1995) Persistent profitability of technical analysis on foreign exchange markets? Banca Nazional Di Lavoro Quarterly Review 193, 189-216.
Mills T.C., 'Technical Analysis and the London Stock Exchange: Testing Trading Rules using the FT30', Int. J. Fin. Econ. v2, n4. Special Issue on Technical Analysis and Financial Markets.
Moody J., Saffell M., Liao Y., Wu L.,
1998, Reinforcement Learning for Trading Systems and Portfolios: Immediate
vs. Future Rewards, mimeo,
Narowcki, D., 1984, 'Adaptive trading rules and dynamic market disequilibrium' Applied Economics, 16, 1-14.
Neely C. (1998) Technical Analysis and the profitability of US foreign exchange intervention. Fed Reserve Bank of St.Louis Review July/August 1998, 3-17.
Neely C., 1997, Technical
Analysis in the Foreign Exchange Market: A layman's guide', Federal Reserve
Neely C. and Weller P.
(1998) Technical Trading Rules in the European Monetary System. Federal
Reserve Bank of
Neftci S.N. and A.J. Policano, 1981?, "Can Chartists Outperform the Market? Market Efficiency Tests for 'Technical Analysis' ", Journal of Futures Markets, No.4, pp.465-478.
Osler C.L., 1998, 'Identifying Noise Traders: The head and shoulders pattern in US equities', Federal Reserve Bank of New York research paper.
Osler C. L. and P.H.K.
Chang, 1995, Head and Shoulders: Not just a Flaky Pattern, Federal Reserve
Pau L. F., 1991, Technical analysis for portfolio trading by symmetric pattern recognition, Journal of Economic Dynamics and Control 15, 715-730.
Pictet O. V., Dacorogna M. M., Dave R. D., Chopard B., Schirru R., Tomassini M., 1996, 'Genetic Algorithms with collective sharing for robust optimization in financial applications', Neural Network World, 5(4), pp.573-587.
Pictet O.V., Dacorogna M.M., Muller U.A., Olsen R.B., and Ward J.R., 'Real time trading models for foreign exchange rates', Neural Network World 2(6), 713-744.
Pruitt S. W. and R. E. White, 1989, 'Exchange-traded options and CRISMA trading', Journal of Portfolio Management, 15:4.
Pruitt S. W. and R. E. White, 1988, 'The CRISMA Trading System: Who Says Technical Analysis Can't beat the Market?', Journal of Portfolio Management, Spring, 55-58.
Ready M. J., 1997,
'Profits from Technical Trading Rules',
Saacke P., 1998, 'Technical Analysis and
the Effectiveness of Central Bank Interventions',
Schulmeister S., 1988?, 'Currency Speculations and Dollar Fluctuations', Banca Nazionale di Lavoro ???
Schulmeister S., 1987, 'An Essay on Exchange
Rate Dynamics', Discussion Paper IIM/LMP 87-8, Wisenscaftszentrum
Silber W.L., 1993, 'Technical Trading: When it works and when it doesn't',
Skouras S., 2001, `Financial Returns and Efficiency as seen by an Artificial Technical Analyst', Journal of Economic Dynamics and Control 25(1-2), 213-44.
Smidt S., 1965, 'A test of the Serial dependence of price changes in Soybeans futures', Food Research Institute Studies, 5: 117-136.
Stevenson, R., and Bear, R., 1970, 'Commodity Futures: Trends or Random Walk', Journal of Finance, 25, 65-81.
Sullivan R, Timmerman A., White H., 1997, `Data-snooping, technical trading rule performance, and the bootstrap', forthcoming Journal of Finance.
Sweeney, R. J. and E.J. Lee, 1990, 'Trading Strategies in the Forward Exchange Markets', in Raj Aggarwal and C. F. Lee (Eds.), International dimensions of securities and currency markets, Advances in financial planning and forecasting series Vol.4, part A., JAI Press, Greenwich, Conn., 55-79.
Sweeney, R. J., 1988, 'Some New Filter Tests: Methods and Results', Journal of Financial and Quantitative Analysis, 23, 285-300.
Sweeney, R. J. (1986). Beating the Foreign Exchange Market. Journal of Finance 41, 163- 182.
Sweeney, R. J. and P. Surajaras, 1989, 'The stability of speculative profits in the foreign exchanges', in R.M.C. Guimaraes, B.G. Kingsman and S.J. Taylor , A reappraisal of the efficiency of financial markets, New York: Springer-Verlag.
Taylor S. J., 1994, 'Trading Futures using a channel rule: A study of the predictive power of technical analysis with currency examples', Journal of Futures Markets, 14(2), pp.215-235.
Taylor S. J., 1992, 'Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?', Supplement to the Economic Record 1992: Special issue on Futures Markets
Taylor S. J. and A. Tari, 1989, 'Further Evidence against the efficiency of futures markets (with commentary by R. Ball)', in R.M.C. Guimaraes, B.G. Kingsman and S.J. Taylor , A reappraisal of the efficiency of financial markets, New York: Springer-Verlag.
Taylor S. J., 1989,
'Profitable currency futures trading: a comparison of technical and
time-series trading rules', in The Currency Hedging Debate, Lee R.
Thomas III (Ed.) , IFR Punlishing,
Taylor S. J., 1983,
'Trading rules for investors in apparently inefficient futures markets', in Futures
Markets - Modelling, Managing and Monitoring
Futures Trading, Basil Blackwell,
Thomas L.R., 1990, 'Random Walk Profits in currency futures trading', in The Currency Hedging Debate, Lee R. Thomas III (Ed.), IFR Punlishing, London
Van Horne J.C. and G.C.C. Parker, 1968, 'Technical Trading Rules: A comment', Financial Analysts Journal, XXIII, November-December 1967: 87-92.
Acar E., `Expected returns of directional forecasters', in Acar E. and Satchell S. (Eds), Advanced Trading Rules, Butterworth Heinemann.
Acar E. and S.E. Satchell, 1997, 'A theoretical analysis of trading rules: an application to the moving average case with Markovian returns', Applied Mathematical Finance, 4, 165-180.
Arthur W. B., J. H. Holland, B. LeBaron, R. Palmer, and P. Tayler, 1998, 'Asset Pricing Under Endogenous Expectations in an Artificial Stock Market' in The Economy as an Evolving Complex System II, edited by W. B. Arthur, S. Durlauf, and D. Lane, Addison-Wesley, 1997.
Brown David P, and Robert H. Jennings, 'On Technical Analysis', Review of Financial Studies, 2(4), 527-55.
Blume L., Easley D., O'Hara M., 1994, Market Statistics and Technical Analysis: The role of Volume, Journal of Finance, Vol. XIIX, No. 1.
Cumby R. E., D. M. Modest, 1987, 'Testing for Market Timing Ability: A framework for forecast evaluation', Journal of Financial Economics 19, pp169-189.
Dewachter (1997) Can Markov switching models replicate chartist profits in the foreign exchange markets? Center for Economic Studies Discussion Paper, 132.
Levin J. H., 1997, 'Chartists, Fundamentalists and Exchange Rate Dynamics', Int. J. Fin. Econ. v2, n4. Special Issue on Technical Analysis and Financial Markets.
Merton R. C., 1981, 'On market timing and investment performance, I: An equilibrium theory of market forecasts', Journal of Business 54, 363-406.
Neftci S. N., 1991, 'Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of 'Technical Analysis' ', Journal of Business, 64(4).
Roberts H. V., 1959, 'Stock-Market 'Patterns' and Financial Analysis: Methodological Suggestions', Journal of Finance 14:1, March, 1-10.
Skouras Spyros, 1998, `Risk Neutral Forecasting', European University Institute working paper 98-40.
Treynor J. L.,
Tvede L., 1992, 'Reasons trends may be predictable in financial markets', Journal of International Securities Markets, Spring.
Tomek W.G. and S.F. Querin, 1984, 'Random Processes in Prices and Technical Analysis', Journal of Futures Markets, 4: 15-23.
Vigfusson R., 1997, 'Switching between Chartists and Fundamnetalists: A Markov Regime-Switching Apprach', Int. J. Fin. Econ. v2, n4. Special Issue on Technical Analysis and Financial Markets.
Trading Rules developed by economists and derived from:
1. Econometric Models (selective)
Breen William, Lawrence
R. Glosten and
Pesaran M. Hashem and Alan Timmerman, 1995, 'Predictability of Stock Returns: Robustness and Economic Significance', Journal of Finance Vol.L, No. 4, 1201-1228.
Satchell Steve and Alan Timmerman, 1995, An Assesment of the Economic Value of Non-linear Foreign Exchange Rate Forecasts, Journal of Forecasting, Vol. 14, 477-497.
2. Professional Forecasts
Goodman S. H., 1979, 'Foreign Exchange Forecasting Techniques: Implications for Business and Policy', Journal of Finance, XXXIV, 2, May.
3. Market Anomalies (selective)
Conrad J., M. Gultekin and G. Kaul, 1997, 'Profitability of short-term Contrarian Portfolio Strategies: Implications for Market Efficiency', Journal of Business and Economic Statistics, 15, 379-386.
Jegadeesh N. and S. Titman, 1995, 'Overreaction, Delayed reaction, and Contrarian Profts', Review of Financial Studies, 8, 973-993.
Lakonishok J, Vishny R. W., Shleifer A, 1993, 'Contrarian Investment, Extrapolation and Risk', NBER, wp 4360.
Sullivan R, Timmerman A., White H., 1998, `Dangers of data-driven inference: the case of calendar effects in stock returns', UCSD discussion paper 98-16.
Direct empirical evidence on the practice of Technical Analysis
Allen H. and Taylor M.
P., 1993, 'Chartist Anaysis', in Eatwell J., M. Milgate and P.
Newman, The New Palgrave Dictionary of Money and
Allen H, Taylor M. P.,(1990), ''Charts, Noise and Fundamentals in the London Foreign Exchange Market'', Economic Journal, 100, pp.49-59
Allen H.,Taylor M. P., 1989, The Use of Technical Analysis in the Foreign Exchange market., Journal of International Money and Finance 11: 304-314.
Frankel, J.A. and Froot, K (1990), 'Chartists, Fundamentalists and Trading in the Foreign Exchange Market', AER 80:2, 181-5.
Frankel, J.A. and Froot, K (1990), 'Exchange rate forecasting techniques, survey data, and the implications for the foreign exchange market.', IMF Working Paper WP/90/43 or NBER 3470.
Frankel, J.A. and Froot, K (1990), 'Chartists, fundamentalists and the demand for dollars', in A.S. Courakis and M.P. Taylor (Eds), Private Behaviour and Government Policy in Interdependent Economies, Oxford University Press: Oxford.
Lui Y.H. and D. Mole, 199?, 'The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong Evidence', mimieo., City University of Hong Kong.
Murphy J.A., 1986, 'Futures Fund Performance: A test of the effectiveness of Technical Analysis', Journal of Futures Markets 6:2, 175-185.
Sylla R., 1993, 'Chartists' Language',
in Eatwell J., M. Milgate
and P. Newman, The New Palgrave Dictionary of
Money and Finance, Macmillan:
Taylor, M. P., 1998, 'Editorial Comment', Int. J. Fin. Econ. v2, n4. Special Issue on Technical Analysis and Financial Markets.
Taylor, M. P. and Allen, H. (1992) The use of technical analysis in the foreign exchange market. Journal of International Money and Finance 11, 304-314.
Curcio R., Goodhart C., 1991, Chartism: A Controlled Experiment., Discussion Paper #124, Financial Markets Discussion Group Series, LSE.
Practitoners' References (highly selective)
Edwards, R.D. and J.
Magee, 1992, Technical Analysis of Stock Trends, John Magee Inc,
Kaufman, 1978, Commodity Trading Systems and Methods, John Wiley & Sons.
Murphy J. J., 1986, Technical
Analysis of the Futures Markets,
Journals featuring many technical analysis papers
The Technical Analysis of Stocks and Commodities
Financial Analysts' Journal
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