Article (Scientific journals)
Microeconomic co-evolution model for financial technical analysis signals
Rotundo, G.; Ausloos, Marcel
2007In Physica A. Statistical Mechanics and its Applications, 373, p. 569-585
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Keywords :
SOC model; technical analysis; large financial crashes
Abstract :
[en] Technical analysis (TA) has been used for a long time before the availability of more sophisticated instruments for financial forecasting in order to suggest decisions on the basis of the occurrence of data patterns. Many mathematical and statistical tools for quantitative analysis of financial markets have experienced a fast and wide growth and have the power for overcoming classical TA methods. This paper aims to give a measure of the reliability of some information used in TA by exploring the probability of their occurrence within a particular microeconomic agent-based model of markets, i.e., the co-evolution Bak-Sneppen model originally invented for describing species population evolutions. After having proved the practical interest of such a model in describing financial index so-called avalanches, in the prebursting bubble time rise, the attention focuses on the occurrence of trend line detection crossing of meaningful barriers, those that give rise to some usual TA strategies. The case of the NASDAQ crash of April 2000 serves as an illustration. (c) 2006 Elsevier B.V. All rights reserved.
Disciplines :
Physics
Author, co-author :
Rotundo, G.
Ausloos, Marcel ;  Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux
Language :
English
Title :
Microeconomic co-evolution model for financial technical analysis signals
Publication date :
01 January 2007
Journal title :
Physica A. Statistical Mechanics and its Applications
ISSN :
0378-4371
eISSN :
1873-2119
Publisher :
Elsevier Science Bv, Amsterdam, Netherlands
Volume :
373
Pages :
569-585
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 28 April 2011

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