24 citations · 82 across the 7 of their papers we have counts for
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physics.soc-ph2006★ 24 cited
Detecting the traders' strategies in Minority-Majority games and real stock-prices
V. Alfi, A. De Martino, L. Pietronero +1
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the da…
physics.soc-ph2006★ 22 cited
Hidden Forces and Fluctuations from Moving Averages: A Test Study
V. Alfi, F. Coccetti, M. Marotta +2
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…
cond-mat.stat-mech2006★ 6 cited
Exact Results for the Roughness of a Finite Size Random Walk
V. Alfi, F. Coccetti, M. Marotta +2
We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high frequency daily stock-prices. Fo…