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Automatic identification and evaluation of Fibonacci retracements: Empirical evidence from three equity markets

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Automatic identification and evaluation of Fibonacci retracements: Empirical evidence from three equity markets

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dc.contributor.author Tsinaslanidis, Prodromos es_ES
dc.contributor.author Guijarro, Francisco es_ES
dc.contributor.author Voukelatos, Nikolaos es_ES
dc.date.accessioned 2023-07-17T18:02:31Z
dc.date.available 2023-07-17T18:02:31Z
dc.date.issued 2022-01 es_ES
dc.identifier.issn 0957-4174 es_ES
dc.identifier.uri http://hdl.handle.net/10251/195083
dc.description.abstract [EN] We examine the empirical performance of using Fibonacci retracements as a tool in technical analysis, in three main equity markets. To this end, we propose a novel algorithmic approach that not only identifies Fibonacci Support and Resistance levels but also constructs zones around them, in an attempt to address the inherent subjectivity associated with drawing and assessing these levels on a chart. Among our main findings we report a positive relationship between the width of the Fibonacci zone and the probability of identifying a price bounce. We show that although this finding does not necessarily imply a profitable strategy, it may potentially explain why Fibonacci retracements are widely used by practitioners. Our novel algorithmic approach can also be used to rigorously assess other variations of Support and Resistance levels. es_ES
dc.language Inglés es_ES
dc.publisher Elsevier es_ES
dc.relation.ispartof Expert Systems with Applications es_ES
dc.rights Reconocimiento - No comercial - Sin obra derivada (by-nc-nd) es_ES
dc.subject Fibonacci retracements es_ES
dc.subject Technical analysis es_ES
dc.subject Support and resistance levels es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Automatic identification and evaluation of Fibonacci retracements: Empirical evidence from three equity markets es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1016/j.eswa.2021.115893 es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses es_ES
dc.description.bibliographicCitation Tsinaslanidis, P.; Guijarro, F.; Voukelatos, N. (2022). Automatic identification and evaluation of Fibonacci retracements: Empirical evidence from three equity markets. Expert Systems with Applications. 187:1-14. https://doi.org/10.1016/j.eswa.2021.115893 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1016/j.eswa.2021.115893 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 14 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 187 es_ES
dc.relation.pasarela S\445090 es_ES


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