For the signal processing engineers. Just read an interesting article (info below) on the effects that trading strategies have on price movement. From the conclusion: Trend following strategies act as signal filters, amplifying high frequency noise and inducing short-term positive autocorrelations. Value investing strategies act as signal transducers, incorporating information about value into prices, and inducing negative short-term autocorrelations.
J. Doyne Farmer and Shareen Joshi; Journal of Economic Behavior & Organization; Volume 49, Issue 2, October 2002, Pages 149-171