eprintid: 2554
rev_number: 9
eprint_status: archive
userid: 6
dir: disk0/00/00/25/54
datestamp: 2015-02-05 10:17:38
lastmod: 2015-02-05 10:17:38
status_changed: 2015-02-05 10:17:38
type: article
metadata_visibility: show
creators_name: Garzarelli, Federico
creators_name: Cristelli, Matthieu
creators_name: Pompa, Gabriele
creators_name: Zaccaria, Andrea
creators_name: Pietronero, Luciano
creators_id: 
creators_id: 
creators_id: gabriele.pompa@imtlucca.it
creators_id: 
creators_id: 
title: Memory effects in stock price dynamics: evidences of technical trading
ispublished: pub
subjects: HA
subjects: HB
subjects: QC
divisions: CSA
full_text_status: public
abstract: Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns in price time series. According standard economical theories these strategies should not be used because they cannot be profitable. On the contrary, it is well-known that technical traders exist and operate on different time scales. In this paper we investigate if technical trading produces detectable signals in price time series and if some kind of memory effects are introduced in the price dynamics. In particular, we focus on a specific figure called supports and resistances. We first develop a criterion to detect the potential values of supports and resistances. Then we show that memory effects in the price dynamics are associated to these selected values. In fact we show that prices more likely re-bounce than cross these values. Such an effect is a quantitative evidence of the so-called self-fulfilling prophecy, that is the self-reinforcement of agents' belief and sentiment about future stock prices' behavior.
date: 2014-03
date_type: published
publication: Scientific Reports
volume: 4
publisher: Nature Publishing Group
pagerange: 1-9
id_number: doi:10.1038/srep04487
refereed: TRUE
issn: 2045-2322
official_url: http://dx.doi.org/10.1038/srep04487
citation:   Garzarelli, Federico and Cristelli, Matthieu and Pompa, Gabriele and Zaccaria, Andrea and Pietronero, Luciano  Memory effects in stock price dynamics: evidences of technical trading.  Scientific Reports, 4.  pp. 1-9.  ISSN 2045-2322      (2014)  
document_url: http://eprints.imtlucca.it/2554/1/srep04487_2014.pdf