Market Statistics and Technical Analysis: The Role of Volume
构建了一个均衡模型，研究成交量如何揭示信息质量，并证明利用成交量等市场统计信息的交易者表现更优，从而为技术分析提供了理论基础。
ABSTRACT We investigate the informational role of volume and its applicability for technical analysis. We develop a new equilibrium model in which aggregate supply is fixed and traders receive signals with differing quality. We show that volume provides information on information quality that cannot be deduced from the price statistic. We show how volume, information precision, and price movements relate, and demonstrate how sequences of volume and prices can be informative. We also show that traders who use information contained in market statistics do better than traders who do not. Technical analysis thus arises as a natural component of the agents' learning process.