Hidden forces and fluctuations from moving averages: A test study (Articolo in rivista)

Type
Label
  • Hidden forces and fluctuations from moving averages: A test study (Articolo in rivista) (literal)
Anno
  • 2006-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1016/j.physa.2006.04.113 (literal)
Alternative label
  • V. Alfi (a,b); F. Coccetti (c); M. Marotta (d); L. Pietronero (a,d,e); M. Takayasu (f) (2006)
    Hidden forces and fluctuations from moving averages: A test study
    in Physica. A (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • V. Alfi (a,b); F. Coccetti (c); M. Marotta (d); L. Pietronero (a,d,e); M. Takayasu (f) (literal)
Pagina inizio
  • 30 (literal)
Pagina fine
  • 37 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#altreInformazioni
  • Econophysics Colloquium -- Proceedings of the International Conference \"Econophysics Colloquium\". (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url
  • http://www.sciencedirect.com/science/article/pii/S0378437106004316 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 370 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 1 (literal)
Note
  • Scopu (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • (a) Università \"La Sapienza\", Dip. di Fisica, 00185, Rome, Italy; (b) Università \"Roma Tre\" Dip. di Fisica, 00146, Rome, Italy; (c) Museo Storico della Fisica e Centro Studi e Ricerche \"Enrico Fermi\", Via Panisperna, Rome, Italy; (d) Applied Financial Science, NY, USA; (e) Istituto dei Sistemi Complessi-CNR, Via Fosso del Cavaliere 100, 00133 Rome, Italy; (f) Department of Computational Intelligence and Systems Science, Tokyo Institute of Technology, Mail Box G3-52 4259 Nagatuta-cho, Yokohama 226-8502, Japan; (literal)
Titolo
  • Hidden forces and fluctuations from moving averages: A test study (literal)
Abstract
  • The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with respect to its own moving average. We consider a number of tests for various models which clarify the advantages and limitations of this new approach. The analysis leads to the identification of an effective potential with respect to the moving average. Its specific implementation requires a detailed consideration of various effects which can alter the statistical methods used. However, the study of various model systems shows that this approach is indeed suitable to detect hidden forces in the market which go beyond usual correlations and volatility clustering. (literal)
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