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Profiling high-frequency equity price movements in directional changes

Tsang, Edward PK and Tao, Ran and Serguieva, Antoaneta and Ma, Shuai (2017) 'Profiling high-frequency equity price movements in directional changes.' Quantitative Finance, 17 (2). pp. 217-225. ISSN 1469-7688

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Market prices are traditionally sampled in fixed time intervals to form time series. Directional change (DC) is an alternative approach to record price movements. Instead of sampling at fixed intervals, DC is data driven: price changes dictate when a price is recorded. DC provides us with a complementary way to extract information from data. It allows us to observe features that may not be recognized in time series. The argument is that time series and DC-based analysis complement each other. With data sampled at irregular time intervals in DC, however, some of the time series indicators cannot be used in DC-based analysis. For example, returns must be time adjusted and volatility must be amended accordingly. A major objective of this paper is to introduce indicators for profiling markets under DC. We analyse empirical high-frequency data on major equities traded on the UK stock market, and through DC profiling extract information complementary to features observed through time series profiling.

Item Type: Article
Uncontrolled Keywords: Directional change; Time series; Profiling; Return; Volatility; Events
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health
Faculty of Science and Health > Computer Science and Electronic Engineering, School of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 13 Jul 2016 10:21
Last Modified: 18 Aug 2022 12:37

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