Markets: A Rigorous Course
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Readings and resources

Core about 5 min

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  1. M00 · 0.3 (charts for beginners) for the vocabulary of candles, support and resistance, volume and moving averages; 4A.1–4A.3 of this module restate it with the statistics.
  2. Karlin, S. and Taylor, H. M., A First Course in Stochastic Processes, 2nd ed., Academic Press, 1975, ch. 7 (Brownian motion; first-passage problems with drift). Alternatively Shreve, Stochastic Calculus for Finance II, Springer, 2004, 3.7 (reflection principle) and 7.2 (maximum of Brownian motion with drift).
  3. Lo, A. W., Mamaysky, H. and Wang, J. (2000), "Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation", Journal of Finance 55(4): 1705–1765. NBER WP 7613: https://www.nber.org/system/files/working_papers/w7613/w7613.pdf
  4. Osler, C. L. (2000), "Support for resistance: technical analysis and intraday exchange rates", FRBNY Economic Policy Review 6(2): 53–68: https://www.newyorkfed.org/medialibrary/media/research/epr/00v06n2/0007osle.pdf

For depth 5. Osler, C. L. (2003), "Currency orders and exchange rate dynamics: an explanation for the predictive success of technical analysis", Journal of Finance 58(5): 1791–1819 (working paper: FRBNY Staff Report 125, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr125.pdf). 6. Kavajecz, K. A. and Odders-White, E. R. (2004), "Technical analysis and liquidity provision", Review of Financial Studies 17(4): 1043–1071. 7. Marshall, B. R., Young, M. R. and Rose, L. C. (2006), "Candlestick technical trading strategies: Can they create value for investors?", Journal of Banking & Finance 30(8): 2303–2323. 8. Gervais, S., Kaniel, R. and Mingelgrin, D. H. (2001), "The high-volume return premium", Journal of Finance 56(3): 877–919. 9. Karpoff, J. M. (1987), "The relation between price changes and trading volume: a survey", Journal of Financial and Quantitative Analysis 22(1): 109–126. 10. Broadie, M., Glasserman, P. and Kou, S. (1997), "A continuity correction for discrete barrier options", Mathematical Finance 7(4): 325–349. 11. Taylor, H. M. (1975), "A stopped Brownian motion formula", Annals of Probability 3(2): 234–246; Lehoczky, J. P. (1977), "Formulas for stopped diffusion processes with stopping times based on the maximum", Annals of Probability 5(4): 601–607. (Volume and page details of these two from memory; check before citing.) 12. Wilder, J. W. (1978), New Concepts in Technical Trading Systems, Trend Research (ATR, RSI). 13. López de Prado, M. (2018), Advances in Financial Machine Learning, Wiley, ch. 3 (triple-barrier labelling: the stop, target and time stop of this module as a labelling scheme).

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