Keisuke Teeple, assistant professor at the University of Waterloo will present to our economics graduate students and faculty on Wednesday, September 20th, 2023 at 11:30am (EST) in LRW 3001.
Please note the unusual seminar location of LRW 3001.
Keisuke will present the paper “Support, Resistance, and Technical Trading”.
“I use coarse Bayesian updating to explain asset price levels at which the price will tend to stop and reverse. With limited attention, traders discretize the space of expected prices. Points where traders’ expectations jump from one discrete value to the next are shown to correspond to support and resistance levels in equilibrium prices. The exchange is facilitated by a market maker, who carries out a Walrasian tâtonnement process based on incoming market orders. A notable feature of equilibrium is that it is non-revealing: heterogeneous coarse Bayesians generate volatile prices, yet prices are shown to be uninformative so traders are unable to learn their differences. The model is then extended to incorporate power law trade volume and heavy-tailed prices.”
You can visit Keisuke’s professional site here.