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Microeconomic co-evolution model for financial technical analysis signals

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Title: Microeconomic co-evolution model for financial technical analysis signals
Authors: Rotundo, G.1 giulia.rotundo@uniroma1.it, Ausloos, M.2 marcel.ausloos@ulg.ac.be
Source: Physica A. Jan2007, Vol. 373, p569-585. 17p.
Subjects: Microeconomics, Electronic systems, Mass-wasting (Geology), NASDAQ Stock Market
Abstract: Abstract: 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. [Copyright &y& Elsevier]
Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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Header DbId: egs
DbLabel: Engineering Source
An: 22967774
AccessLevel: 6
PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Microeconomic co-evolution model for financial technical analysis signals
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  Data: <searchLink fieldCode="AR" term="%22Rotundo%2C+G%2E%22">Rotundo, G.</searchLink><relatesTo>1</relatesTo><i> giulia.rotundo@uniroma1.it</i><br /><searchLink fieldCode="AR" term="%22Ausloos%2C+M%2E%22">Ausloos, M.</searchLink><relatesTo>2</relatesTo><i> marcel.ausloos@ulg.ac.be</i>
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  Data: <searchLink fieldCode="JN" term="%22Physica+A%22">Physica A</searchLink>. Jan2007, Vol. 373, p569-585. 17p.
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  Data: <searchLink fieldCode="DE" term="%22Microeconomics%22">Microeconomics</searchLink><br /><searchLink fieldCode="DE" term="%22Electronic+systems%22">Electronic systems</searchLink><br /><searchLink fieldCode="DE" term="%22Mass-wasting+%28Geology%29%22">Mass-wasting (Geology)</searchLink><br /><searchLink fieldCode="DE" term="%22NASDAQ+Stock+Market%22">NASDAQ Stock Market</searchLink>
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  Data: Abstract: 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. [Copyright &y& Elsevier]
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  Data: <i>Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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RecordInfo BibRecord:
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      – Type: doi
        Value: 10.1016/j.physa.2006.04.062
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      – Code: eng
        Text: English
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        PageCount: 17
        StartPage: 569
    Subjects:
      – SubjectFull: Microeconomics
        Type: general
      – SubjectFull: Electronic systems
        Type: general
      – SubjectFull: Mass-wasting (Geology)
        Type: general
      – SubjectFull: NASDAQ Stock Market
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      – TitleFull: Microeconomic co-evolution model for financial technical analysis signals
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            NameFull: Rotundo, G.
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              Text: Jan2007
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              Y: 2007
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              Value: 373
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