Abstract
Right to now we have seen that Physics and mathematical methods and concepts derived from Complex System Theory and Statistical Physics can give a new insight to economic and financial problem. As briefly discussed in Chap. 3 chartist strategies, i.e. strategies based on the analysis of trends and recurrent patterns, should not exist according to the classical theory of financial markets because prices should follow their fundamental values. It is instead well-known that chartists exist and operates on different time scales. In this chapter we investigate if a specific chartist strategy, that is if there exist special values on which prices tend to bounce, produces a measurable effect on the statistical properties of the price series. As we are going to see we preliminarily must formalize this strategy in a mathematical framework in order to quantify its effect on the price time series under investigation.
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- 1.
Other disciplines such as physics do not have to face this issue.
- 2.
We have a record of the price for every operation.
- 3.
The square brackets \([\,\,]\) indicate the floor function defined as \([ x ] =\max \{ m \in \mathbf Z | m \le x\}. \)
- 4.
A tick is the minimum change of the price.
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Cristelli, M. (2014). Quantitative Analysis of Technical Trading. In: Complexity in Financial Markets. Springer Theses. Springer, Cham. https://doi.org/10.1007/978-3-319-00723-6_8
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DOI: https://doi.org/10.1007/978-3-319-00723-6_8
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Online ISBN: 978-3-319-00723-6
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