Tsang, EPK (2017) Directional Changes: A New Way to Look at Price Dynamics. In: Computational Intelligence, Communications, and Business Analytics. CICBA 2017., 2017-03-24 - 2017-03-25, Kolkata, India.

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Abstract

Prices in financial markets are normally summarized by time series, where transaction prices are sampled at fixed time intervals. Directional change is an alternative way of sampling data: transaction price is sampled when a significant change in the price is recorded. In this paper, we explain how directional changes can provide a valuable alternative perspective to price movements. We also describe the frontier of directional change research, which include forecasting, algorithmic trading and market tracking.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	Published proceedings: Communications in Computer and Information Science
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:	20 Oct 2017 13:06
Last Modified:	15 Jan 2022 01:20
URI:	http://repository.essex.ac.uk/id/eprint/20536

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