Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

Ryuichi Yamamoto*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)


This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the order-flow imbalance and (2) the order-book imbalance. Technical analysis using the imbalance-based trading rules is motivated by the evidence presented first in this paper that short-term returns can be predicted from the information regarding the order-flow and order-book imbalances for more than half of Nikkei 225-listed stocks. However, we demonstrate that no strategies, including limit order trading where trading signals are derived from the order-book imbalance, beat the buy-and-hold strategy within our sample. The results imply that past prices and demand/supply imbalances do not contribute to profiting in intraday trading and that non-execution and picking-off risks are too large for limit order trading to be profitable in our sample.

Original languageEnglish
Pages (from-to)3033-3047
Number of pages15
JournalJournal of Banking and Finance
Issue number11
Publication statusPublished - 2012 Nov
Externally publishedYes


  • Data snooping
  • Intraday trading
  • Japanese stock market
  • Order-book imbalance
  • Order-flow imbalance
  • Technical analysis

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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