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Analysis of institutional authors

Martínez RgCorresponding AuthorMartín FdAuthor

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November 8, 2023
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Algorithmic Trading Based on the Incidence of Covid-19 in Europe

Publicated to:Review Of Economics And Finance. 20 536-545 - 2022-01-01 20(), DOI: 10.55365/1923.X2022.20.61

Authors: Martínez RG; García MLM; Martín FD

Affiliations

Universidad Rey Juan Carlos, Madrid, Spain - Author

Abstract

The study of behavioral finance is showing that profitable investment strategies can be implemented, alternatives to traditional analysis techniques, based on metrics on investors’ mood. In this paper, we describe an algorithmic trading system that opens long (short) positions if the cumulative incidence at 7 days is minor (greater) than the cumulative incidence at 14 days, which implies a metric of the fear of COVID-19. The backtests run, using 2020 data, on five of the main European indices (AEX, CAC, DAX, IBEX, and MIB) show that the strategy is profitable, with ROI between 21% and 68% and profit factors ranging from 1.11 to 1.32. This is new evidence that accurate indicators of investors’ mood (in this case the expansion of the COVID-19 pandemic) let us develop profitable alternative investment strategies based on behavioral finance. 2022– All Rights Reserved.

Keywords

Algorithmic tradingBehavioral financeCovid-19Cumulative incidenceIndex futures

Quality index

Bibliometric impact. Analysis of the contribution and dissemination channel

The work has been published in the journal Review Of Economics And Finance, Q4 Agency Scopus (SJR), its regional focus and specialization in Economics, Econometrics and Finance (Miscellaneous), give it significant recognition in a specific niche of scientific knowledge at an international level.

Impact and social visibility

From the perspective of influence or social adoption, and based on metrics associated with mentions and interactions provided by agencies specializing in calculating the so-called "Alternative or Social Metrics," we can highlight as of 2025-07-19:

  • The use of this contribution in bookmarks, code forks, additions to favorite lists for recurrent reading, as well as general views, indicates that someone is using the publication as a basis for their current work. This may be a notable indicator of future more formal and academic citations. This claim is supported by the result of the "Capture" indicator, which yields a total of: 15 (PlumX).

It is essential to present evidence supporting full alignment with institutional principles and guidelines on Open Science and the Conservation and Dissemination of Intellectual Heritage. A clear example of this is:

  • The work has been submitted to a journal whose editorial policy allows open Open Access publication.

Leadership analysis of institutional authors

There is a significant leadership presence as some of the institution’s authors appear as the first or last signer, detailed as follows: First Author (Gómez Martínez, Raúl) and Last Author (Díez Martín, Francisco de Asís).

the author responsible for correspondence tasks has been Gómez Martínez, Raúl.