Abstract
This paper proposes the concept of “upward or downward momentum effect” and “low or high reversal effect” to revise the concept of the momentum life cycle of the stock price. Based on this, combining with the fractal fluctuation of the stock price, the “trend entropy dimension” is constructed as the measurement of the momentum life cycle stage. Also, the validity and robustness of the identification are analyzed empirically. The research shows that the trend entropy dimension can effectively identify the momentum life cycle stage, and it is robust. The results not only help to deepen the theoretical study of momentum life cycle, but also help investors using momentum life cycle to build investment strategy.
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Acknowledgements
This work is supported by the Ministry of Education in China Project of Humanities and Social Sciences (17YJC790168), National Natural Science Foundation of China (71771032, 71501018), National Social Science Foundation of China (17BJY188), Soft Science Research Plan Project of Sichuan Province (2017ZR0205), and Construction Plan of Scientific Research and Innovation Team of Provincial Universities in Sichuan Province (18TD0016).
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Wu, X., Chun, W., Lin, Y. et al. Identification of momentum life cycle stage of stock price. Nonlinear Dyn 94, 249–260 (2018). https://doi.org/10.1007/s11071-018-4356-1
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DOI: https://doi.org/10.1007/s11071-018-4356-1