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Memory effects in stock price dynamics: evidences of technical trading

Overview of attention for article published in Scientific Reports, March 2014
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About this Attention Score

  • Good Attention Score compared to outputs of the same age (72nd percentile)
  • Good Attention Score compared to outputs of the same age and source (71st percentile)

Mentioned by

twitter
5 tweeters

Citations

dimensions_citation
9 Dimensions

Readers on

mendeley
39 Mendeley
Title
Memory effects in stock price dynamics: evidences of technical trading
Published in
Scientific Reports, March 2014
DOI 10.1038/srep04487
Pubmed ID
Authors

Federico Garzarelli, Matthieu Cristelli, Gabriele Pompa, Andrea Zaccaria, Luciano Pietronero

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.

Twitter Demographics

The data shown below were collected from the profiles of 5 tweeters who shared this research output. Click here to find out more about how the information was compiled.

Mendeley readers

The data shown below were compiled from readership statistics for 39 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Germany 1 3%
Italy 1 3%
United Kingdom 1 3%
Japan 1 3%
Unknown 35 90%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 10 26%
Researcher 5 13%
Student > Master 5 13%
Student > Doctoral Student 4 10%
Lecturer 4 10%
Other 7 18%
Unknown 4 10%
Readers by discipline Count As %
Economics, Econometrics and Finance 9 23%
Business, Management and Accounting 8 21%
Physics and Astronomy 6 15%
Mathematics 6 15%
Neuroscience 2 5%
Other 4 10%
Unknown 4 10%

Attention Score in Context

This research output has an Altmetric Attention Score of 4. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 02 December 2014.
All research outputs
#3,013,378
of 11,287,458 outputs
Outputs from Scientific Reports
#16,597
of 48,058 outputs
Outputs of similar age
#50,522
of 185,184 outputs
Outputs of similar age from Scientific Reports
#191
of 697 outputs
Altmetric has tracked 11,287,458 research outputs across all sources so far. This one has received more attention than most of these and is in the 72nd percentile.
So far Altmetric has tracked 48,058 research outputs from this source. They typically receive a lot more attention than average, with a mean Attention Score of 15.3. This one has gotten more attention than average, scoring higher than 64% of its peers.
Older research outputs will score higher simply because they've had more time to accumulate mentions. To account for age we can compare this Altmetric Attention Score to the 185,184 tracked outputs that were published within six weeks on either side of this one in any source. This one has gotten more attention than average, scoring higher than 72% of its contemporaries.
We're also able to compare this research output to 697 others from the same source and published within six weeks on either side of this one. This one has gotten more attention than average, scoring higher than 71% of its contemporaries.