dorsal/arxiv
View SchemaMicroeconomic co-evolution model for financial technical analysis signals
| Authors | G. Rotundo, M. Ausloos |
|---|---|
| Categories | |
| ArXiv ID | physics/0605179 |
| URL | https://arxiv.org/abs/physics/0605179 |
| DOI | 10.1016/j.physa.2006.04.062 |
| Journal | Physica A 373 (2007) 569-585 |
Abstract
Technical analysis (TA) has been used for a long time before the availability of more sophisticated instruments for financial forecasting in order to suggest decisions on the basis of the occurrence of data patterns. Many mathematical and statistical tools for quantitative analysis of financial markets have experienced a fast and wide growth and have the power for overcoming classical technical analysis methods. This paper aims to give a measure of the reliability of some information used in TA by exploring the probability of their occurrence within a particular $microeconomic$ agent based model of markets, i.e., the co-evolution Bak-Sneppen model originally invented for describing species population evolutions. After having proved the practical interest of such a model in describing financial index so called avalanches, in the prebursting bubble time rise, the attention focuses on the occurrence of trend line detection crossing of meaningful barriers, those that give rise to some usual technical analysis strategies. The case of the NASDAQ crash of April 2000 serves as an illustration.
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"abstract": "Technical analysis (TA) has been used for a long time before the availability\nof more sophisticated instruments for financial forecasting in order to suggest\ndecisions on the basis of the occurrence of data patterns. Many mathematical\nand statistical tools for quantitative analysis of financial markets have\nexperienced a fast and wide growth and have the power for overcoming classical\ntechnical analysis methods. This paper aims to give a measure of the\nreliability of some information used in TA by exploring the probability of\ntheir occurrence within a particular $microeconomic$ agent based model of\nmarkets, i.e., the co-evolution Bak-Sneppen model originally invented for\ndescribing species population evolutions. After having proved the practical\ninterest of such a model in describing financial index so called avalanches, in\nthe prebursting bubble time rise, the attention focuses on the occurrence of\ntrend line detection crossing of meaningful barriers, those that give rise to\nsome usual technical analysis strategies. The case of the NASDAQ crash of April\n2000 serves as an illustration.",
"arxiv_id": "physics/0605179",
"authors": [
"G. Rotundo",
"M. Ausloos"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2006.04.062",
"journal_ref": "Physica A 373 (2007) 569-585",
"title": "Microeconomic co-evolution model for financial technical analysis signals",
"url": "https://arxiv.org/abs/physics/0605179"
},
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