Technical Analysis (TA) is a security analysis methodology based on the study of past market data. Although it has been criticized by academics and the profitability of many related strategies has been statistically rejected, TA remains highly popular among practitioners and retail investors, in...

The overwhelming empirical support of the Efficient Market Hypothesis makes it one of the widely accepted understandings in modern economics. The internal contradiction, relating to the fact that if inefficiencies didn't exist, opportunists would not search for them, which would in turn give...

The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology...

We present the "Tax Day Trade," a one day trade that gains an average of 1/2%. The trade was developed using the "Strategic Analysis of Markets Method (SAMM)" described in the two volume series "The Strategic Analysis of Financial Markets" (forthcoming from World Scientific). Detective work...

The hidden order is currently increasingly popular as a standard feature of electronic limit order book markets. The invisible order allows traders to hide all, or partially hide their orders to avoid exposure to risk. I propose a new hidden order detection algorithm for the limit order book to...

We present the first direct evidence of algorithmic imprints during batch auctions. Order anticipation is an integral part of high-frequency traders' strategies. Hence, some participants may have economic incentive to encrypt noise in the data. We use machine learning to identify five types of...

I show that the growth of high-frequency trading, due to its heavy reliance on computer algorithms, can be associated with a reduction of human errors and financial anomalies in the market. Trades in which a non-high-frequency trader is the liquidity demander exhibit abnormally high buy (sell)...

This paper approaches the presence of the Gone Fishin' effects on returns from 32 advanced and emerging markets during two periods of time: a relative quiet one and a turbulent one. For the first period we found that calendar anomaly was more pregnant on the advanced markets than on the emerging...

We study crowded markets using a symmetric model of trading among strategic informed traders. Traders may have incorrect beliefs about markets' crowdedness; this distorts traders' strategies and market prices. When traders overestimate the crowdedness, they believe markets to be less liquid and...

Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has rendered the latter a systemically important institution, whose failure poses a serious threat to global financial stability. This work investigates the potential failure of a...