Technical Analysis and Liquidity Provision
解释技术分析为何在有效市场中仍有价值：它能揭示流动性提供的信息。实证发现支撑位和阻力位对应限价订单簿的深度峰值，移动平均线预测反映深度相对位置，为估计订单簿流动性提供实用方法。
The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We offer an alternative explanation for the value of technical analysis that is consistent with market efficiency -- specifically, that it reveals information about liquidity provision. We find evidence consistent with the hypotheses that support and resistance levels coincide with peaks in depth on the limit order book and that moving average forecasts reveal information about the relative position of depth on the book. These results demonstrate that technical analysis can have value even in an efficient market, and provide a practical method for estimating the level of liquidity on the book. 1.