whodrivesthemarket.com - Identifying daily fractions of Technical Traders vs. Fundamentalists in the capital markets

The basic methodology to estimate fractions of strategies used by market participants is pointed out by the figure below. The data to estimate is on the micro level of real financial markets (see right part of the figure) and thus cannot be observed (at least not at high frequency). The collective behavior of the market [...]

The fraction of chartists is high at times of crises, crashes, and bubbles. These times correlate with highly active trading periods, thus volatility and trading volume are also high. The subsequent figure points this out by showing (1) the asian financial crisis, (2) the russion financial crisis), (3) the height of the new economy tech [...]